No. 1023

Title:

Estimation for the discretely observed telegraph process

Author(s):

Iacus S.M. (University of Milan, Italy)
Yoshida, Nakahiro (University of Tokyo);

Key words:

telegraph process, discretely observed process, inference for stochastic processes

Abstract:

The telegraph process {X(t), t>0}, is supposed to be  observed at n+1 equidistant time points t_i=i Delta_n, i=0,1,...,n. The unknown value of lambda, the underlying rate of the Poisson process, is a parameter to be estimated. The asymptotic framework considered is the following:  Delta_n -> 0, n Delta_n = T -> infty as n -> infty. We show that previously proposed moment type estimators are consistent and asymptotically normal but not efficient. We study further an approximated moment type estimator which is still not efficient but comes in explicit form. For this estimator the additional assumption n Delta_n^3 -> 0 is required in order to obtain asymptotic normality. Finally, we propose a new estimator which is consistent, asymptotically normal and asymptotically efficient under no additional hypotheses.