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arXiv · 1210.6328

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

Francis Comets·Mikael Falconnet·Oleg Loukianov·Dasha Loukianova·Catherine Matias
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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.

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Francis Comets, Mikael Falconnet, Oleg Loukianov, Dasha Loukianova, Catherine Matias. 2012-10-24. Maximum likelihood estimator consistency for ballistic random walk in a parametric random environment. https://arxiv.org/abs/1210.6328

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