On estimation for Brownian motion governed by telegraph process with multiple off states

DOI10.48550/ARXIV.1806.00849zbMATH Open1457.62247arXiv1806.00849OpenAlexW3104431049WikidataQ126314765 ScholiaQ126314765MaRDI QIDQ124045FDOQ124045

Authors: L. Mark Elbroch, Chaoran Hu, Thomas Meyer, Yanyan Li, V. Pozdnyakov, Jun Yan 

Publication date: 3 June 2018

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Abstract: Brownian motion whose infinitesimal variance changes according to a three-state continuous time Markov Chain is studied. This Markov Chain can be viewed as a telegraph process with one on state and two off states. We first derive the distribution of occupation time of the on state. Then the result is used to develop a likelihood estimation procedure when the stochastic process at hand is observed at discrete, possibly irregularly spaced time points. The likelihood function is evaluated with the forward algorithm in the general framework of hidden Markov models. The analytic results are confirmed with simulation studies. The estimation procedure is applied to analyze the position data from a mountain lion.

Full work available at URL: https://arxiv.org/abs/1806.00849

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zbMATH Keywords

forward algorithmlikelihood estimationMarkov processoccupation time

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Brownian motion (60J65) Animal behavior (92D50)

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Cited In (5)

• On occupation time for on-off processes with multiple off-states
• Discretely observed Brownian motion governed by telegraph process: estimation
• smam
• Discretely observed Brownian motion governed by telegraph signal process: estimation and application to finance
• Estimation of regime-switching diffusions via Fourier transforms

Uses Software

• R
• smam
• coga

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