Maximum likelihood estimation in the context of a sub-ballistic random walk in a parametric random environment

Abstract : We consider a one dimensional sub-ballistic random walk evolving in a parametric i.i.d. random environment. We study the asymptotic properties of the maximum likelihood estimator (MLE) of the parameter based on a single observation of the path till the time it reaches a distant site. In that purpose, we adapt the method developed in the ballistic case by Comets et al (2014) and Falconnet, Loukianova and Matias (2014). Using a supplementary assumption due to the specificity of the sub-ballistic regime, we prove consistency and asymptotic normality as the distant site tends to infinity. To emphazis the role of the additional assumption, we investigate the Temkin model with unknown support, and it turns out that the MLE is consistent but, unlike in the ballistic regime, the Fisher information is infinite. We also explore the numerical performance of our estimation procedure.
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https://hal.archives-ouvertes.fr/hal-00990005
Contributor : Mikael Falconnet <>
Submitted on : Monday, May 12, 2014 - 6:34:58 PM
Last modification on : Tuesday, May 14, 2019 - 12:46:06 PM
Long-term archiving on : Tuesday, August 12, 2014 - 12:15:36 PM

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  • HAL Id : hal-00990005, version 1
  • ARXIV : 1405.2880

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Mikael Falconnet, Dasha Loukianova, Arnaud Gloter. Maximum likelihood estimation in the context of a sub-ballistic random walk in a parametric random environment. 2014. ⟨hal-00990005⟩

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