Open Access
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


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.


Received: 1 September 2015; Revised: 1 August 2016; Published: August 2018
First available in Project Euclid: 2 February 2018

zbMATH: 06839260
MathSciNet: MR3757523
Digital Object Identifier: 10.3150/16-BEJ920

Keywords: Asymptotic efficiency , method of moments estimator , one-step MLE , telegraph process

Rights: Copyright © 2018 Bernoulli Society for Mathematical Statistics and Probability

Vol.24 • No. 3 • August 2018
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