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Statistical analysis of the inhomogeneous telegrapher's process

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Stefano Iacus ()

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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.

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Paper provided by Department of Economics University of Milan Italy in its series Departemental Working Papers with number 2001-02.

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Date of creation: 01 Jan 2001
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Handle: RePEc:mil:wpdepa:2001-02

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Keywords: telegraph equation inhomogeneous Poisson process minimax

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  1. Massimo Florio, 1999. "La Valutazione delle Politiche di sviluppo locale," Departemental Working Papers 1999-07, Department of Economics University of Milan Italy. [Downloadable!]
  2. Achille Vernizzi & Alessandra Saba, 1999. "Alcuni effetti della riforma della legislazione fiscale Italiana nei confronti delle famiglie con reddito da lavoro dipendente," Departemental Working Papers 1999-01, Department of Economics University of Milan Italy. [Downloadable!]
  3. V. Cerasi & B. CHIZZOLINI & M. IVALDI, 1998. "Branching and Competitiveness across Regions in the Italian Banking Industry," Departemental Working Papers 1998-03, Department of Economics University of Milan Italy. [Downloadable!]
  4. D. Checchi, 1996. "L'efficacia del sistema scolastico in prospettiva storica," Departemental Working Papers 1996-08, Department of Economics University of Milan Italy.
  5. Cerasi, Vittoria & Daltung, Sonja, 2000. "The optimal size of a bank: Costs and benefits of diversification," European Economic Review, Elsevier, vol. 44(9), pages 1701-1726, October. [Downloadable!] (restricted)
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  6. A. Spranzi, 1996. "Il ratto dal serraglio di W.A. Mozart. Una lettura non autorizzata," Departemental Working Papers 1996-01, Department of Economics University of Milan Italy.
  7. Giacomo Boesso & Achille Vernizzi, 2000. "Carichi di famiglia nell'Imposta sui Redditi delle Persone Fisiche in Italia e in Europa: alcune proposte per l'Italia," Departemental Working Papers 2000-12, Department of Economics University of Milan Italy. [Downloadable!]
  8. Arnaldo Mauri, 2000. "La finanza informale nelle economie in via di sviluppo," Departemental Working Papers 2000-09, Department of Economics University of Milan Italy. [Downloadable!]
  9. Daniele Checchi, 1995. "La mobilità sociale: alcuni problemi interpretativi e alcune misure sul caso italiano," Departemental Working Papers 1995-10, Department of Economics University of Milan Italy.
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  14. G. Pizzutto, 1996. "Piecewise Deterministic Markov Processes and Investment Theory under Uncertainty: Preliminary Notes," Departemental Working Papers 1996-06, Department of Economics University of Milan Italy.
  15. G. Brunello - D. Checchi, 1995. "Does Imitation help? Forty Years of Wage Determination in the Italian Private Sector," Departemental Working Papers 1995-11, Department of Economics University of Milan Italy.
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  19. Checchi, D., 2000. "Does Educational Achievement Help to Explain Income Inequality?," Research Paper 208, World Institute for Development Economics Research.
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  20. G. Bognetti - R. Fazioli, 1995. "Lo sviluppo di una regolazione europea nei grandi servizi pubblici a rete," Departemental Working Papers 1995-14, Department of Economics University of Milan Italy.
  21. Giorgio Pizzutto, 1998. "La Teoria Fiscale dei Prezzi In un'Economia Aperta," Departemental Working Papers 1998-07, Department of Economics University of Milan Italy. [Downloadable!]
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  24. Giorgio Barba Navaretti & Isidro Soloaga & Wendy Takacs, 1998. "Bargains Rejected? Developing Country Trade Policy on Used Equipment," LABOUR, CEIS, Fondazione Giacomo Brodolini and Blackwell Publishing Ltd, vol. 12(2), pages 353-362, 07. [Downloadable!] (restricted)
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  34. Stefano Iacus & Yu. A. Kutoyants, 2000. "Semiparametric hypotheses testing for dynamical system with small noise," Departemental Working Papers 2000-02, Department of Economics University of Milan Italy. [Downloadable!]
  35. G. Pizzutto, 1995. "La domanda di lavoro in condizioni di incertezza," Departemental Working Papers 1995-12, Department of Economics University of Milan Italy.
  36. Daniele Checchi, 2000. "Time series evidence on union densities in European countries," Departemental Working Papers 2000-10, Department of Economics University of Milan Italy. [Downloadable!]
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Silvia Pezzini & Robert MacCulloch, 2003. "The role of freedom, growth and religion in the taste for revolution," Departemental Working Papers 2003-08, Department of Economics University of Milan Italy. [Downloadable!]
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  3. Massimo FLORIO & Silvia VIGNETTI, 2003. "Cost-benefit analysis of infrastructure projects in an enlarged European Union: an incentive-oriented approach," Departemental Working Papers 2003-13, Department of Economics University of Milan Italy. [Downloadable!]
  4. Giuseppe Bognetti & Barbara Antonioli, 2001. "Modelli di offerta dei servizi pubblici locali in Europa," Departemental Working Papers 2001-07, Department of Economics University of Milan Italy. [Downloadable!]
  5. Giovanna Nicolini & Anna Lo Presti, 2003. "Combined estimators for complex sampling," Departemental Working Papers 2003-12, Department of Economics University of Milan Italy. [Downloadable!]
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