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

Abstract : We 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.
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  • HAL Id : hal-00744629, version 2
  • ARXIV : 1210.6328

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Francis Comets, Mikael Falconnet, Oleg Loukianov, Dasha Loukianova, Catherine Matias. Maximum likelihood estimator consistency for ballistic random walk in a parametric random environment. Stochastic Processes and their Applications, Elsevier, 2014, 124 (1), pp.268-288. ⟨hal-00744629v2⟩

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