On parameter estimation of hidden telegraph process
نویسندگان
چکیده
منابع مشابه
On Parameter Estimation of Hidden Telegraph Process
The problem of parameter estimation is considered for the twostate telegraph process, observed in white Gaussian observation noise. An online one-step Maximum Likelihood Estimator (MLE) process is constructed, using a preliminary Method of Moments (MM) estimator. The obtained estimation procedure is shown to be asymptotically normal and efficient in the large sample regime. MSC 2000 Classificat...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2018
ISSN: 1350-7265
DOI: 10.3150/16-bej920