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Schwarz, Maik and Van Bellegem, Sébastien
(2009)
Consistent Density Deconvolution under Partially Known Error Distribution.
TSE Working Paper, n. 09-097
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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: | 02 Apr 2021 15:36 |
| OAI Identifier: | oai:tse-fr.eu:22200 |
| URI: | https://publications.ut-capitole.fr/id/eprint/3252 |
