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

DOI10.3103/S1066530714010013zbMath1297.62184arXiv1302.0425OpenAlexW2042510347MaRDI QIDQ461821

Catherine Matias, Dasha Loukianova, Mikael Falconnet

Publication date: 15 October 2014

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.0425

zbMATH Keywords

asymptotic normalitymaximum likelihood estimationconfidence regionsrandom walk in random environmentballistic random walkCramér-Rao efficiency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Continuous-time Markov processes on general state spaces (60J25)

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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 ⋮ Maximum likelihood estimator consistency for a ballistic random walk in a parametric random environment ⋮ Density estimation for RWRE ⋮ Maximum likelihood estimation in the context of a sub-ballistic random walk in a parametric random environment ⋮ Hidden Markov model for parameter estimation of a random walk in a Markov environment ⋮ The heavy range of randomly biased walks on trees ⋮ M-estimator and its weak consistency for a (2, 1) random walk in a parametric random environment

Cites Work

• Scenery reconstruction in two dimensions with many colors
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• Maximum likelihood estimator consistency for a ballistic random walk in a parametric random environment
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• Random Walk in a One-Dimensional Random Medium
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