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

@article{Comets2012MaximumLE,
  title={Maximum likelihood estimator consistency for a ballistic random walk in a parametric random environment},
  author={F. Comets and M. Falconnet and O. Loukianov and D. Loukianova and C. Matias},
  journal={Stochastic Processes and their Applications},
  year={2012},
  volume={124},
  pages={268-288}
}
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… Expand

Figures and Tables from this paper

Hidden Markov model for parameter estimation of a random walk in a Markov environment
Detecting periodicity from the trajectory of a random walk in random environment
Density Estimation for RWRE
...
1
2
...

References

SHOWING 1-10 OF 32 REFERENCES
Random walks in random environment: What a single trajectory tells
Reconstructing a random potential from its random walks
DNA Unzipping via Stopped Birth and Death Processes with Unknown Transition Probabilities
Random Walks in Random Environment
  • O. Zeitouni
  • Mathematics, Computer Science
  • Encyclopedia of Complexity and Systems Science
  • 2009
Probability
A limit law for random walk in a random environment
Inferring DNA sequences from mechanical unzipping data: the large-bandwidth case.
Inference of DNA sequences from mechanical unzipping: an ideal-case study.
...
1
2
3
4
...