Maximum likelihood estimator consistency for ballistic random walk in a parametric random environment
Statistics Theory
2014-02-13 v2 Statistics Theory
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.
Cite
@article{arxiv.1210.6328,
title = {Maximum likelihood estimator consistency for ballistic random walk in a parametric random environment},
author = {Francis Comets and Mikael Falconnet and Oleg Loukianov and Dasha Loukianova and Catherine Matias},
journal= {arXiv preprint arXiv:1210.6328},
year = {2014}
}