Semiparametric estimation in the normal variance-mean mixture model

摘要

In this paper we study the problem of statistical inference on the parametersof the semiparametric variance-mean mixtures. This class of mixtures hasrecently become rather popular in statistical and financial modelling. Wedesign a semiparametric estimation procedure that first estimates the mean ofthe underlying normal distribution and then recovers nonparametrically thedensity of the corresponding mixing distribution. We illustrate the performanceof our procedure on simulated and real data.