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Statistical analysis of the inhomogeneous telegrapher's process

  • Iacus, Stefano Maria

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 finite-dimensional law of the process X(t) is a solution to the telegraph equation with non-constant coefficients. We present the explicit law (P[theta]) 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 [theta] of P[theta] and we discuss its properties as a first attempt to apply statistics to these models.

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Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 55 (2001)
Issue (Month): 1 (November)
Pages: 83-88

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Handle: RePEc:eee:stapro:v:55:y:2001:i:1:p:83-88
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