The correct statement is, “I missed the bus,” or “I missed the train.” It is important to understand that “to miss” someone or something can mean two things. As with buses and trains, it can mean you didn't arrive on time to get a ride.
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They are only similar in that both refer to not getting something. However, when we 'miss' something, we are late, but when we 'lose' something, we do not have it anymore.
So long as you've left enough time to change trains, then it's no problem that you've missed the train. Do you have a flexible train ticket, such as an Off-Peak or Super Off-Peak ticket? No problem. Just hop on the next train, so long as your ticket doesn't have any restrictions on which company you can use.
If you have an Advance ticket, you can get the next train operated by the same company that's specified on your ticket. If there's widespread disruption, or a very long wait until the next train (over 60 minutes), then you should be accommodated on a different company at no extra cost.
Just hop on the next train, so long as your ticket doesn't have any restrictions on which company you can use. In this case, you might need to stick to the operator on the ticket. If you have an Advance ticket, you can get the next train operated by the same company that's specified on your ticket.
Yes, get off the train is the correct idiom. We also get off the bus and get off of the boat and get off the motorbike. But, we get out of the car. If you said I got out of the train, personally I might imagine you climbing out the top of the train, or escaping from a train that had crashed.