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Asymptotic normality and efficiency of the maximum likelihood estimator for the parameter of a ballistic random walk in a random environment
Abstract : We consider a one dimensional ballistic random walk evolving in a parametric independent and identically distributed random environment. We study the asymptotic properties of the maximum likelihood estimator of the parameter based on a single observation of the path till the time it reaches a distant site. We prove an asymptotic normality result for this consistent estimator as the distant site tends to infinity and establish that it achieves the Cramér-Rao bound. We also explore in a simulation setting the numerical behaviour of asymptotic confidence regions for the parameter value.
Cited literature [16 references]
https://hal.archives-ouvertes.fr/hal-00783980
Contributor : Catherine Matias Connect in order to contact the contributor
Submitted on : Thursday, November 14, 2013 - 2:53:48 PM
Last modification on : Wednesday, February 16, 2022 - 10:56:02 AM
Long-term archiving on: : Saturday, February 15, 2014 - 4:34:52 AM
Contributor : Catherine Matias Connect in order to contact the contributor
Submitted on : Thursday, November 14, 2013 - 2:53:48 PM
Last modification on : Wednesday, February 16, 2022 - 10:56:02 AM
Long-term archiving on: : Saturday, February 15, 2014 - 4:34:52 AM
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