Maximum likelihood estimator consistency for ballistic random walk in a parametric random environment - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Stochastic Processes and their Applications Année : 2014

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

Résumé

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.
Fichier principal
Vignette du fichier
MLEConsistencyBallisticRWRE.pdf (296.45 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-00744629 , version 1 (23-10-2012)
hal-00744629 , version 2 (24-10-2012)

Identifiants

Citer

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, 2014, 124 (1), pp.268-288. ⟨hal-00744629v2⟩
483 Consultations
234 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More