Statistical analysis of the inhomogeneous telegrapher's process
We consider a problem of estimation for the telegrapher’s processon the line, say X(t), driven by a Poisson process with non constantrate. It turns out that the finite-dimensional law of the process X(t)is a solution to the telegraph equation with non constant coefficients.We give the explicit law (P) of the process X(t) for a parametricclass of intensity functions for the Poisson process. We propose anestimator for the parameter of P and we discuss its properties as afirst attempt to apply statistics to these models.
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