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arxiv: 1210.6328 · v2 · pith:UTAMRBTBnew · submitted 2012-10-23 · 🧮 math.ST · stat.TH

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

classification 🧮 math.ST stat.TH
keywords randomenvironmentballisticdistantestimationestimatorlikelihoodmaximum
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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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