On parameter estimation of hidden telegraph process

Rafail Z. Khasminskii; Yury A. Kutoyants

doi:10.3150/16-BEJ920

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Home > Journals > Bernoulli > Volume 24 > Issue 3 > Article

August 2018 On parameter estimation of hidden telegraph process

Rafail Z. Khasminskii, Yury A. Kutoyants

Bernoulli 24(3): 2064-2090 (August 2018). DOI: 10.3150/16-BEJ920

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Abstract

The problem of parameter estimation is considered for the two-state telegraph process, observed in the white Gaussian observation noise. An online one-step Maximum Likelihood Estimator process is constructed, using a preliminary Method of Moments Estimator. The obtained estimation procedure is shown to be asymptotically normal and asymptotically efficient in the large sample regime.

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Rafail Z. Khasminskii. Yury A. Kutoyants. "On parameter estimation of hidden telegraph process." Bernoulli 24 (3) 2064 - 2090, August 2018. https://doi.org/10.3150/16-BEJ920