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Statistical analysis of the inhomogeneous telegrapher's process

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  • Stefano Iacus

Abstract

We consider a problem of estimation for the telegrapher?s processon the line, say X(t), driven by a Poisson process with non constantrate. 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 parametricclass of intensity functions for the Poisson process. We propose anestimator for the parameter of P and we discuss its properties as afirst attempt to apply statistics to these models.

Suggested Citation

  • Stefano Iacus, 2001. "Statistical analysis of the inhomogeneous telegrapher's process," Departmental Working Papers 2001-002, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    • Handle: RePEc:mil:wpdepa:2001-002
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