Semiparametric estimation in the normal variance-mean mixture model

Denis Belomestny; Vladimir Panov

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arXiv · 1705.07578

Semiparametric estimation in the normal variance-mean mixture model

Denis Belomestny·Vladimir Panov

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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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Denis Belomestny, Vladimir Panov. 2017-05-22. Semiparametric estimation in the normal variance-mean mixture model. https://arxiv.org/abs/1705.07578

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