Asymptotic normality and efficiency of the maximum likelihood estimator for the parameter of a ballistic random walk in a random environment - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2013

Asymptotic normality and efficiency of the maximum likelihood estimator for the parameter of a ballistic random walk in a random environment

Résumé

We consider a one dimensional ballistic random walk evolving in a parametric independent and identically distributed random environment. We study the asymptotic properties of the maximum likelihood estimator of the parameter based on a single observation of the path till the time it reaches a distant site. We prove an asymptotic normality result for this consistent estimator as the distant site tends to infinity and establish that it achieves the Cramér-Rao bound. We also explore in a simulation setting the numerical behaviour of asymptotic confidence regions for the parameter value.
Fichier principal
Vignette du fichier
MLEAsymNormalityBallisticRWRE.pdf (298.27 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-00783980 , version 1 (02-02-2013)
hal-00783980 , version 2 (14-11-2013)

Identifiants

Citer

Mikael Falconnet, Dasha Loukianova, Catherine Matias. Asymptotic normality and efficiency of the maximum likelihood estimator for the parameter of a ballistic random walk in a random environment. 2013. ⟨hal-00783980v1⟩
292 Consultations
647 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More