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

DOI10.1016/j.spa.2013.08.002zbMath1279.62058arXiv1210.6328OpenAlexW2022630403MaRDI QIDQ2434481

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

Publication date: 6 February 2014

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

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

zbMATH Keywords

branching processes in random environmentsballistic regime

Mathematics Subject Classification ID

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

Related Items (11)

Maximum likelihood estimator consistency for recurrent random walk in a parametric random environment with finite support ⋮ Non parametric estimation for random walks in random environment ⋮ Almost sure behavior for the local time of a diffusion in a spectrally negative Lévy environment ⋮ Some recent advances in random walks and random environments ⋮ Asymptotic normality and efficiency of the maximum likelihood estimator for the parameter of a ballistic random walk in a random environment ⋮ Density estimation for RWRE ⋮ Maximum likelihood estimation in the context of a sub-ballistic random walk in a parametric random environment ⋮ Detecting periodicity from the trajectory of a random walk in random environment ⋮ Hidden Markov model for parameter estimation of a random walk in a Markov 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

Uses Software

• LBFGS-B

Cites Work

• Asymptotic normality and efficiency of the maximum likelihood estimator for the parameter of a ballistic random walk in a random environment
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