Consistent Density Deconvolution under Partially Known Error Distribution

Maik Schwarz and Sebastien Van Bellegem ()

No 09-097, TSE Working Papers from Toulouse School of Economics (TSE)

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.

Keywords: deconvolution; error measurement; density estimation (search for similar items in EconPapers)
Date: 2009-10
New Economics Papers: this item is included in nep-ecm
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Related works:
Journal Article: Consistent density deconvolution under partially known error distribution (2010)
Working Paper: Consistent Density Deconvolution under Partially Known Error Distribution (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:tse:wpaper:22200

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