research
Maximum likelihood estimator consistency for ballistic random walk in a parametric random environment
Abstract
International audienceWe consider a one dimensional ballistic random walk evolving in an i.i.d. parametric random environment. We provide a maximum likelihood estimation procedure of the environment parameters based on a single observation of the path till the time it reaches a distant site, and prove that this estimator is consistent as the distant site tends to infinity. We also explore the numerical performances of our estimation procedure- info:eu-repo/semantics/article
- Journal articles
- random walk in random environment
- Ballistic regime
- maximum likelihood estimation
- random walk in random environment.
- AMS 2000 subject classification: Primary 62M05, 62F12; secondary 60J25
- [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST]
- [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH]