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Statistical analysis of the inhomogeneous telegrapher's process

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Author Info
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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