Maximum likelihood estimator and its consistency for an $(L,1)$ random walk in a parametric random environment
Statistics Theory
2018-08-31 v1 Statistics Theory
Abstract
Consider an random walk in an i.i.d. random environment, whose environment involves certain parameter. We get the maximum likelihood estimator(MLE) of the environment parameter which can be written as functionals of a multitype branching process with immigration in a random environment(BPIRE). Because the offspring distributions of the involved multitype BPIRE are of the linear fractional type, the limit invariant distribution of the multitype BPIRE can be computed explicitly. As a result, we get the consistency of the MLE. Our result is a generalization of Comets et al. [Stochastic Process. Appl. 2014, 124, 268-288].
Cite
@article{arxiv.1808.10092,
title = {Maximum likelihood estimator and its consistency for an $(L,1)$ random walk in a parametric random environment},
author = {Hua-Ming Wang and Meijuan Zhang},
journal= {arXiv preprint arXiv:1808.10092},
year = {2018}
}
Comments
with 2 figures