Seminar on Probability and Statistics

Seminar information archive ~09/27Next seminarFuture seminars 09/28~

Organizer(s) Nakahiro Yoshida, Teppei Ogihara, Yuta Koike


15:00-16:10   Room #128 (Graduate School of Math. Sci. Bldg.)
Stefano IACUS (Department of Economics Business and Statistics, University of Milan, Italy)
Inference problems for the standard and geometric telegraph process
[ Abstract ]
The telegraph process {X(t), t>0}, has been introduced (see Goldstein, 1951) as an alternative model to the Brownian motion B(t). This process describes a motion of a particle on the real line which alternates its velocity, at Poissonian times, from +v to -v. The density of the distribution of the position of the particle at time t solves the hyperbolic differential equation called telegraph equation and hence the name of the process. Contrary to B(t) the process X(t) has finite variation and continuous and differentiable paths. At the same time it is mathematically challenging to handle.

In this talk we will discuss inference problems for the estimation of the intensity of the Poisson process, either homogeneous and non homogeneous, from continuous and discrete time observations of X(t). We further discuss estimation problems for the geometric telegraph process S(t) = S(0) * exp{m - 0.5 * s^2) * t + s X(t)} where m is a known constant and s>0 and the intensity of the underlying Poisson process are two parameter of interest to be estimated. The geometric telegraph process has been recently introduced in Mathematical Finance to describe the dynamics of assets as an alternative to the usual geometric Brownian motion.

For discrete time observations we consider the "high frequency" approach, which means that data are collected at n+1 equidistant time points Ti=i * Dn, i=0,1,..., n, n*Dn = T, T fixed and such that Dn shrinks to 0 as n increases.

The process X(t) in non Markovian, non stationary and not ergodic thus we use approximation arguments to derive estimators. Given the complexity of the equations involved only estimators on the standard telegraph process can be studied analytically. We will also present a Monte Carlo study on the performance of the estimators for small sample size, i.e. Dn not shrinking to 0.
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