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 normalityPoisson processasymptotically efficient estimatemoment type estimator

Mathematics Subject Classification ID

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

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.

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