Semiparametric estimation in the normal variance-mean mixture model

DOI10.1080/02331888.2018.1425865MaRDI QIDQ4567919zbMATH OpenOpenAlexFDO

Authors

Publication date 20 June 2018

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.07578

zbMATH Keywords

Mellin transformsemiparametric inferencegeneralized hyperbolic distributiondeconvolution on groupsvariance-mean mixture model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Density estimation (62G07)

Abstract: In this paper we study the problem of statistical inference on the parameters of the semiparametric variance-mean mixtures. This class of mixtures has recently become rather popular in statistical and financial modelling. We design a semiparametric estimation procedure that first estimates the mean of the underlying normal distribution and then recovers nonparametrically the density of the corresponding mixing distribution. We illustrate the performance of our procedure on simulated and real data.

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Cited in

(8)

• Nonparametric statistical inference for compound models
• The Semiparametric Normal Variance‐Mean Mixture Model
• Semi-parametric modelling in finance: theoretical foundations
• Semiparametric estimation of normal mixture densities
• Semiparametric estimation of a two-component mixture model
• Normal-\(\text{GIG}\left(\frac{3}{2},\delta,\gamma \right)\) mixture with application to financial data
• Estimating the mixing proportion in a semiparametric mixture model
• Finite mixture approximation of CARMA(p,q) models

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