Statistical analysis of the inhomogeneous telegrapher's process

Stefano Iacus ()

Departmental Working Papers from Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano

Abstract: We consider a problem of estimation for the telegrapher's process on the line, say X(t), driven by a Poisson process with non constant rate. It turns out that the finite-dimensional law of the process X(t)is a solution to the telegraph equation with non constant coefficients. We give the explicit law (P) of the process X(t) for a parametric class of intensity functions for the Poisson process. We propose anestimator for the parameter of P and we discuss its properties as a first attempt to apply statistics to these models.

Keywords: telegraph equation; inhomogeneous Poisson process; minimax (search for similar items in EconPapers)
Date: 2001-01-01
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (5)

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Journal Article: Statistical analysis of the inhomogeneous telegrapher's process (2001)
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