Estimation for the discretely observed telegraph process
Estimation for the discretely observed telegraph process
The telegraph process $\{X(t), t>0\}$ is supposed to be observed at $n+1$ equidistant time points $t_i=i\Delta _n$, $i=0,1,\dots , n$. 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: $\Delta _n \to 0$, $n\Delta …