On Parameter Estimation of Hidden Telegraph Process
نویسنده
چکیده
The problem of parameter estimation is considered for the twostate telegraph process, observed in white Gaussian observation noise. An online one-step Maximum Likelihood Estimator (MLE) process is constructed, using a preliminary Method of Moments (MM) estimator. The obtained estimation procedure is shown to be asymptotically normal and efficient in the large sample regime. MSC 2000 Classification: 62M05, 62F12, 62F10.
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