Consistent density deconvolution under partially known error distribution |
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Authors: | Maik Schwarz Sébastien Van Bellegem |
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Institution: | 1. Université catholique de Louvain (Institut de statistique), Voie du Roman Pays 20, 1348 Louvain-la-Neuve, Belgium;2. Toulouse School of Economics (GREMaQ), 21 allée de Brienne, 31000 Toulouse, France |
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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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