A solution to a linear integral equation with an application to statistics of infinitely divisible moving averages

DOI10.1111/SJOS.12553MaRDI QIDQ5043798zbMATH OpenOpenAlexFDO

Authors Jochen Glück, Stefan Roth, Evgeny Spodarev

Publication date 6 October 2022

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/1807.02003

zbMATH Keywords

\(L^2\)-error boundexistence of unique solutionFourier transform on the multiplicative group \(\mathbb{R} \setminus \{0\}\)inverse problemlinear integral equationLévy densityLévy-Kchintchin representationmoving average pure jump infinitely divisible random fieldnonparametric low-frequency estimation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic integral equations (60H20) Density estimation (62G07) Random fields; image analysis (62M40)

Abstract: For a stationary moving average random field, a non-parametric low frequency estimator of the L'evy density of its infinitely divisible independently scattered integrator measure is given. The plug-in estimate is based on the solution $w$ of the linear integral equation $v(x)=in{t}_{mathbb{R}^d}g(s)w(h(s)x)ds$, where $g,h:mathbb{R}^{d}ightarrowmathbbR$ are given measurable functions and $v$ is a (weighted) $L^2$-function on $mathbbR$. We investigate conditions for the existence and uniqueness of this solution and give $L^2$-error bounds for the resulting estimates. An application to pure jump moving averages and a simulation study round off the paper.

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(2)

• On a linear functional for infinitely divisible moving average random fields
• An inverse problem for infinitely divisible moving average random fields

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