Hidden Markov model for parameter estimation of a random walk in a Markov environment

DOI10.1051/ps/2015008zbMath1392.62246OpenAlexW2245070833MaRDI QIDQ2786496

Dasha Loukianova, Catherine Matias, Pierre Andreoletti

Publication date: 12 February 2016

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.esaim-ps.org/10.1051/ps/2015008/pdf

zbMATH Keywords

maximum likelihood estimationhidden Markov modelrandom walk in random environmentMarkov environment

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Sums of independent random variables; random walks (60G50) Processes in random environments (60K37)

Related Items

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, Some recent advances in random walks and random environments, Density estimation for RWRE, Detecting periodicity from the trajectory of a random walk in random environment, The heavy range of randomly biased walks on trees

Uses Software

• LBFGS-B

Cites Work

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