327

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

Scandinavian Journal of Statistics (Scand. J. Stat.), 2018
Abstract

For given measurable functions g,h:RdRg,h:\mathbb{R}^d \rightarrow \mathbb{R} and a (weighted) L2L^2-function vv on R\mathbb{R} we study existence and uniqueness of a solution ww to the integral equation v(x)=Rdg(s)w(h(s)x)dsv(x) = \int_{\mathbb{R}^d} g(s) w(h(s)x)ds. Such integral equations arise in the study of infinitely divisible moving average random fields. As a consequence of our solution theory to the aforementioned equation, we can thus derive non-parametric estimators for the L\'{e}vy density of the underlying random measure.

View on arXiv
Comments on this paper