Maximum likelihood estimator consistency for recurrent random walk in a parametric random environment with finite support

Francis Comets, Mikael Falconnet, Oleg Loukianov and Dasha Loukianova

Stochastic Processes and their Applications, 2016, vol. 126, issue 11, 3578-3604

Abstract: We consider a one-dimensional recurrent random walk in random environment (RWRE) when the environment is i.i.d. with a parametric, finitely supported distribution. Based on a single observation of the path, we provide a maximum likelihood estimation procedure of the parameters of the environment.

Keywords: Recurrent regime; Maximum likelihood estimation; Random walk in random environment (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:126:y:2016:i:11:p:3578-3604

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DOI: 10.1016/j.spa.2016.04.034

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