Consistent Density Deconvolution under Partially Known Error Distribution

Schwarz, Maik and Van Bellegem, Sébastien (2009) Consistent Density Deconvolution under Partially Known Error Distribution. TSE Working Paper, n. 09-097

[img]
Preview
Text
Download (303kB) | Preview
Official URL: http://tse-fr.eu/pub/22200

Abstract

We estimate the distribution of a real-valued random variable from contaminated observations. The additive error is supposed to be normally distributed, but with unknown variance. The distribution is identifiable from the observations if we restrict the class of considered distributions by a simple condition in the time domain. A minimum distance estimator is shown to be consistent imposing only a slightly stronger assumption than the identification condition.

Item Type: Monograph (Working Paper)
Language: English
Date: 6 October 2009
Uncontrolled Keywords: deconvolution, error measurement, density estimation
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 18 Jan 2012 06:00
Last Modified: 07 Mar 2018 13:22
OAI ID: oai:tse-fr.eu:22200
URI: http://publications.ut-capitole.fr/id/eprint/3252

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year