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Estimation for the discretely observed telegraph process

Stefano Iacus () and Nakahiro Yoshida
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Nakahiro Yoshida: Graduate School of Mathematical Sciences, University of Tokyo

No unimi-1045, UNIMI - Research Papers in Economics, Business, and Statistics from Universitá degli Studi di Milano

Abstract: The telegraph process {X(t), t>0}, is supposed to be observed at n+1 equidistant time points t_i=i Delta_n,i=0,1,... , 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: Delta_n -> 0, n Delta_n = T -> infty as n -> infty. 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 n Delta_n^3 -> 0 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.

Keywords: telegraph process; discretely observed process; inference for stochastic processes (search for similar items in EconPapers)
Date: 2006-12-27
Note: oai:cdlib1:unimi-1045
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