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.
Citation
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
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