Article ID Journal Published Year Pages File Type
1152894 Statistics & Probability Letters 2010 6 Pages PDF
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 an 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.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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