A two-parameter random walk with approximate exponential probability distribution

DOI10.1088/0305-4470/39/23/005MaRDI QIDQ5478424zbMATH OpenOpenAlexFDO

Authors Erik Van der Straeten, Jan Naudts

Publication date 13 July 2006

Published in Journal of Physics A: Mathematical and General (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math-ph/0512077

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41)

Abstract: We study a non-Markovian random walk in dimension 1. It depends on two parameters eps_r and eps_l, the probabilities to go straight on when walking to the right, respectively to the left. The position x of the walk after n steps and the number of reversals of direction k are used to estimate eps_r and eps_l. We calculate the joint probability distribution p_n(x,k) in closed form and show that, approximately, it belongs to the exponential family.

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(3)

• Random walk density function with unknown origin
• On a random walk with memory and its relation with Markovian processes
• Maximum entropy estimation of transition probabilities of reversible Markov chains

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