Maximum likelihood estimator consistency for a ballistic random walk in a parametric random environment

DOI10.1016/J.SPA.2013.08.002zbMATH Open1279.62058arXiv1210.6328OpenAlexW2022630403MaRDI QIDQ2434481FDOQ2434481

Authors: Francis Comets, Oleg Loukianov, Dasha Loukianova, Catherine Matias, Mikael Falconnet 

Publication date: 6 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1210.6328

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zbMATH Keywords

branching processes in random environmentsballistic regime

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Asymptotic distribution theory in statistics (62E20) Sums of independent random variables; random walks (60G50) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

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Cited In (11)

• Hidden Markov model for parameter estimation of a random walk in a Markov environment
• Density estimation for RWRE
• Detecting periodicity from the trajectory of a random walk in random environment
• Maximum likelihood estimator consistency for recurrent random walk in a parametric random environment with finite support
• Asymptotic normality and efficiency of the maximum likelihood estimator for the parameter of a ballistic random walk in a random environment
• Some recent advances in random walks and random environments
• Almost sure behavior for the local time of a diffusion in a spectrally negative Lévy environment
• Non parametric estimation for random walks in random environment
• \(M\)-estimator and its weak consistency for a \((2,1)\) random walk in a parametric random environment
• The maximum of the local time of a diffusion process in a drifted Brownian potential
• Maximum likelihood estimation in the context of a sub-ballistic random walk in a parametric random environment

Uses Software

• LBFGS-B

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