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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.
Cited literature [21 references]
https://hal.archives-ouvertes.fr/hal-00744629
Contributor : Catherine Matias Connect in order to contact the contributor
Submitted on : Wednesday, October 24, 2012 - 9:17:20 AM
Last modification on : Wednesday, February 16, 2022 - 10:56:02 AM
Long-term archiving on: : Friday, January 25, 2013 - 3:41:57 AM
Contributor : Catherine Matias Connect in order to contact the contributor
Submitted on : Wednesday, October 24, 2012 - 9:17:20 AM
Last modification on : Wednesday, February 16, 2022 - 10:56:02 AM
Long-term archiving on: : Friday, January 25, 2013 - 3:41:57 AM
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