Estimation for the discretely observed telegraph process
نویسندگان
چکیده
منابع مشابه
Parametric estimation for the standard and geometric telegraph process observed at discrete times
The telegraph process X(t), t > 0, (Goldstein, 1951) and the geometric telegraph process S(t) = s0 exp{(μ− 12σ)t+σX(t)} with μ a known constant and σ > 0 a parameter are supposed to be observed at n+1 equidistant time points ti = i∆n, i = 0, 1, . . . , n. For both models λ, the underlying rate of the Poisson process, is a parameter to be estimated. In the geometric case, also σ > 0 has to be es...
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ژورنال
عنوان ژورنال: Theory of Probability and Mathematical Statistics
سال: 2009
ISSN: 0094-9000,1547-7363
DOI: 10.1090/s0094-9000-09-00760-1