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Maximum likelihood estimator consistency for ballistic random walk in a parametric random environment

By Francis Comets, Mikael Falconnet, Oleg Loukianov, Dasha Loukianova and Catherine Matias


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

Topics: 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]
Publisher: Elsevier
Year: 2014
OAI identifier: oai:HAL:hal-00744629v2
Provided by: Hal-Diderot

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