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

Francis Comets, Mikael Falconnet, Oleg Loukianov, Dasha Loukianova and Catherine Matias

Stochastic Processes and their Applications, 2014, vol. 124, issue 1, 268-288

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 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.

Keywords: Ballistic regime; Branching process in random environment; Maximum likelihood estimation; Random walk in random environment (search for similar items in EconPapers)
Date: 2014
References: View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spa.2013.08.002

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