A solution to a linear integral equation with an application to statistics of infinitely divisible moving averages

Abstract

For a stationary moving average random field, a non-parametric low frequency estimator of the Lévy density of its infinitely divisible independently scattered integrator measure is given. The plug-in estimate is based on the solution $w$ of the linear integral equation $v(x)={\int }_{{\mathbb{R}}^d}g(s)w(h(s)x)ds$, where $g,h:{\mathbb{R}}^d\to \mathbb{R}$ are given measurable functions and $v$ is a (weighted) $L^2$-function on $\mathbb{R}$. We investigate conditions for the existence and uniqueness of this solution and give $L^2$-error bounds for the resulting estimates. An application to pure jump moving averages and a simulation study round off the paper.