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On Parameter Estimation of Hidden Telegraph Process
Published 9 Sep 2015 in math.ST and stat.TH | (1509.02704v1)
Abstract: The problem of parameter estimation by the observations of the two-state telegraph process in the presence of white Gaussian noise is considered. The properties of estimator of the method of moments are described in the asymptotics of large samples. Then this estimator is used as preliminary one to construct the one-step MLE-process, which provides the asymptotically normal and asymptotically efficient estimation of the unknown parameters.
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