Estimation for the discretely observed telegraph process

DOI10.1090/S0094-9000-09-00760-1MaRDI QIDQ5391362zbMATH OpenFDO

Authors Stefano M. Iacus, Nakahiro Yoshida

Publication date 6 April 2011

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0612784

zbMATH Keywords

asymptotic normalityasymptotically efficient estimatemoment type estimatorPoisson process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Asymptotic properties of parametric tests (62F05) Markov processes: estimation; hidden Markov models (62M05)

Abstract: The telegraph process $X(t),t>0$, is supposed to be observed at $n+1$ equidistant time points $t_i=iDelt{a}_n,i=0,1,\mathrm{...},n$. The unknown value of $lambda$, the underlying rate of the Poisson process, is a parameter to be estimated. The asymptotic framework considered is the following: $Delt{a}_{n}o0$, $nDelt{a}_n=Toinfty$ as $noinfty$. We show that previously proposed moment type estimators are consistent and asymptotically normal but not efficient. We study further an approximated moment type estimator which is still not efficient but comes in explicit form. For this estimator the additional assumption $nDelt{a}_n^{3}o0$ is required in order to obtain asymptotic normality. Finally, we propose a new estimator which is consistent, asymptotically normal and asymptotically efficient under no additional hypotheses.

Recommendations

• Parametric estimation for the standard and geometric telegraph process observed at discrete times
• On parameter estimation of hidden telegraph process
• Statistical analysis of the inhomogeneous telegrapher's process
• Least-squares change-point estimation for the telegraph process observed at discrete times
• Parameter estimation for continuous time hidden Markov processes

Cited in

(25)

• Statistical inference for reciprocal gamma diffusion process
• On estimation for Brownian motion governed by telegraph process with multiple off states
• On parameter estimation of hidden telegraph process
• A note on the conditional probabilities of the telegraph process
• Exact and approximate hidden Markov chain filters based on discrete observations
• How animals move along? Exactly solvable model of superdiffusive spread resulting from animal's decision making
• Stochastic velocity motions and processes with random time
• Least-squares change-point estimation for the telegraph process observed at discrete times
• scientific article; zbMATH DE number 6100376 (Why is no real title available?)
• Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model
• scientific article; zbMATH DE number 679926 (Why is no real title available?)
• Hypothesis testing for Fisher-Snedecor diffusion
• Linear combinations of the telegraph random processes driven by partial differential equations
• On a jump-telegraph process driven by an alternating fractional Poisson process
• Certain functionals of squared telegraph processes
• On the asymmetric telegraph processes
• The explicit probability distribution of the sum of two telegraph processes
• Statistical analysis of the inhomogeneous telegrapher's process
• Quantitative control of Wasserstein distance between Brownian motion and the Goldstein-Kac telegraph process
• Parametric estimation for the standard and geometric telegraph process observed at discrete times
• Estimation of regime-switching diffusions via Fourier transforms
• Discretely observed Brownian motion governed by telegraph signal process: estimation and application to finance
• One-dimensional and planar random motions with variable propagation speeds
• Parametric estimation for planar random flights
• Divergences test statistics for discretely observed diffusion processes

This page was built for publication: Estimation for the discretely observed telegraph process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5391362)