Statistical analysis of the inhomogeneous telegrapher's process

✍ Scribed by Stefano Maria Iacus

• Publisher: Elsevier Science
• Year: 2001
• Tongue: English
• Weight: 82 KB
• Volume: 55
• Category: Article
• ISSN: 0167-7152
• DOI: 10.1016/s0167-7152(01)00133-x

✦ Synopsis

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. The ÿnite-dimensional law of the process X (t) is a solution to the telegraph equation with non-constant coe cients. We present the explicit law (P  ) of the process X (t) for a parametric class of intensity functions for the Poisson process. This is one rare example where an explicit law can be obtained. We propose further, an estimator for the parameter  of P  and we discuss its properties as a ÿrst attempt to apply statistics to these models.