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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.

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File URL: http://www.sciencedirect.com/science/article/B6V1D-4XH5MDN-1/2/569f1ea42f71a9f822d18281c0463466
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Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 80 (2010)
Issue (Month): 3-4 (February)
Pages: 236-241

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Handle: RePEc:eee:stapro:v:80:y:2010:i:3-4:p:236-241

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1. Johannes, Jan & Van Bellegem, Sébastien & Vanhems, Anne, 2011. "Convergence Rates For Ill-Posed Inverse Problems With An Unknown Operator," Econometric Theory, Cambridge University Press, vol. 27(03), pages 522-545, June.
   
   • Johannes, Jan & Van Bellegem, Sébastien & Vanhems, Anne, 2011. "Convergence Rates for Ill-posed Inverse Problems with an Unknown Operator," Open Access publications from University of Toulouse 1 Capitole http://neeo.univ-tlse1.fr, University of Toulouse 1 Capitole.
   • Johannes, Jan & Van Bellegem, Sébastien & Vanhems, Anne, 2009. "Convergence Rates for III-Posed Inverse Problems with an Unknown Operator," TSE Working Papers 09-030, Toulouse School of Economics (TSE).
2. Neumann, Michael H., 2007. "Deconvolution from panel data with unknown error distribution," Journal of Multivariate Analysis, Elsevier, vol. 98(10), pages 1955-1968, November.
3. Li, Tong & Vuong, Quang, 1998. "Nonparametric Estimation of the Measurement Error Model Using Multiple Indicators," Journal of Multivariate Analysis, Elsevier, vol. 65(2), pages 139-165, May.

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Cited by:

1. Johannes, Jan & Van Bellegem, Sébastien & Vanhems, Anne, 2011. "Convergence Rates For Ill-Posed Inverse Problems With An Unknown Operator," Econometric Theory, Cambridge University Press, vol. 27(03), pages 522-545, June.
   
   • Johannes, Jan & Van Bellegem, Sébastien & Vanhems, Anne, 2011. "Convergence Rates for Ill-posed Inverse Problems with an Unknown Operator," Open Access publications from University of Toulouse 1 Capitole http://neeo.univ-tlse1.fr, University of Toulouse 1 Capitole.
   • Johannes, Jan & Van Bellegem, Sébastien & Vanhems, Anne, 2009. "Convergence Rates for III-Posed Inverse Problems with an Unknown Operator," TSE Working Papers 09-030, Toulouse School of Economics (TSE).

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