Parametric estimation for the standard and geometric telegraph process observed at discrete times

Alessandro De Gregorio, Stefano M. Iacus

The telegraph process $X(t)$, $t>0$, (Goldstein, 1951) and the geometric telegraph process $S(t)=s_0\exp \{(\mu -\frac{1}{2}{\sigma }^2)t+\sigma X(t)\}$ with $\mu$ a known constant and $\sigma >0$ a parame…