Parametric estimation for the standard and geometric telegraph process observed at discrete times

DOI10.1007/S11203-007-9017-9zbMATH Open1204.60088arXivmath/0607633OpenAlexW3124839258MaRDI QIDQ623490FDOQ623490

Authors: Alessandro De Gregorio, Stefano M. Iacus 

Publication date: 5 February 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Abstract: The telegraph process $X(t)$, $t>0$, (Goldstein, 1951) and the geometric telegraph process $S(t)=s_{0}exp(mu-frac12sigm{a}^2)t+sigmaX(t)$ with $mu$ a known constant and $sigma>0$ a parameter are supposed to be observed at $n+1$ equidistant time points $t_i=iDelt{a}_n,i=0,1,\mathrm{...},n$. For both models $lambda$, the underlying rate of the Poisson process, is a parameter to be estimated. In the geometric case, also $sigma>0$ has to be estimated. We propose different estimators of the parameters and we investigate their performance under the high frequency asymptotics, i.e. $Delt{a}_{n}o0$, $nDelta=T<infty$ as $noinfty$, with $T>0$ fixed. The process $X(t)$ in non markovian, non stationary and not ergodic thus we use approximation arguments to derive estimators. Given the complexity of the equations involved only estimators on the first model can be studied analytically. Therefore, we run an extensive Monte Carlo analysis to study the performance of the proposed estimators also for small sample size $n$.

Full work available at URL: https://arxiv.org/abs/math/0607633

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zbMATH Keywords

inference for stochastic processestelegraph processdiscretely observed process

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Special processes (60K99)

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Cited In (14)

• On a jump-telegraph process driven by an alternating fractional Poisson process
• Generalized Telegraph Process with Random Jumps
• On parameter estimation of hidden telegraph process
• Discretely observed Brownian motion governed by telegraph process: estimation
• Least-squares change-point estimation for the telegraph process observed at discrete times
• Estimation of parameters of the Samuelson model with telegraph drift
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• Stochastic velocity motions and processes with random time
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• A note on the conditional probabilities of the telegraph process

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