Maximum likelihood estimator consistency for a ballistic random walk in a parametric random environment - INRAE - Institut national de recherche pour l’agriculture, l’alimentation et l’environnement Accéder directement au contenu
Article Dans Une Revue Stochastic Processes and their Applications Année : 2014

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

Résumé

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 parameters based on a single observation of the path till the time it reaches a distant site, and prove that the estimator is consistent as the distant site tends to infinity. Our main tool consists in using the link between random walks and branching processes in random environments and explicitly characterising the limiting distribution of the process that arises. We also explore the numerical performance of our estimation procedure.

Dates et versions

hal-02633373 , version 1 (27-05-2020)

Identifiants

Citer

Francis Comets, Mikael Falconnet, Oleg Loukianov, Dasha Loukianova, Catherine Matias. Maximum likelihood estimator consistency for a ballistic random walk in a parametric random environment. Stochastic Processes and their Applications, 2014, 124 (1), pp.268 - 288. ⟨10.1016/j.spa.2013.08.002⟩. ⟨hal-02633373⟩
11 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More