On Estimation for Brownian Motion Governed by Telegraph Process with Multiple Off States

Methodology and Computing in Applied Probability volume 22, pages1275–1291(2020)Cite this article

Abstract

Brownian motion whose infinitesimal variance changes according to a three-state continuous-time Markov Chain is studied. This Markov Chain can be viewed as a telegraph process with one on state and two off states. We first derive the distribution of occupation time of the on state. Then the result is used to develop a likelihood estimation procedure when the stochastic process at hand is observed at discrete, possibly irregularly spaced time points. The likelihood function is evaluated with the forward algorithm in the general framework of hidden Markov models. The analytic results are confirmed with simulation studies. The estimation procedure is applied to analyze the position data from a mountain lion.

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Affiliations

  1. Department of Statistics, University of Connecticut, 215 Glenbrook Road, Storrs, CT, 06269-4120, USA

    V. Pozdnyakov, C. Hu & J. Yan

  2. Panthera, 8 West 40th Street, 18th Floor, New York, NY, 10018, USA

    L. M. Elbroch

  3. Department of Natural Resources and the Environment, University of Connecticut, 1376 Storrs Road, Storrs, CT, 06269-4087, USA

    T. Meyer

  4. Center for Environmental Sciences and Engineering, University of Connecticut, 3107 Horsebarn Hill Road, Storrs, CT, 06269-4210, USA

    J. Yan

Authors
  1. V. Pozdnyakov
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  2. L. M. Elbroch
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  3. C. Hu
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  4. T. Meyer
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  5. J. Yan
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Correspondence to V. Pozdnyakov.

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Pozdnyakov, V., Elbroch, L.M., Hu, C. et al. On Estimation for Brownian Motion Governed by Telegraph Process with Multiple Off States. Methodol Comput Appl Probab 22, 1275–1291 (2020). https://doi.org/10.1007/s11009-020-09774-1

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Keywords

  • Forward algorithm
  • Likelihood estimation
  • Markov process
  • Occupation time

Mathematics Subject Classification (2010)

  • 62M05
  • 62P10