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

DOI10.1016/j.spa.2016.04.034zbMath1349.62379arXiv1404.2551OpenAlexW1770629154MaRDI QIDQ326854

Francis Comets, Mikael Falconnet, Dasha Loukianova, Oleg Loukianov

Publication date: 12 October 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.2551

zbMATH Keywords

maximum likelihood estimationrandom walk in random environmentrecurrent regime

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Sums of independent random variables; random walks (60G50) Processes in random environments (60K37)

Related Items (6)

Non parametric estimation for random walks in random environment ⋮ Some recent advances in random walks and random environments ⋮ Density estimation for RWRE ⋮ Detecting periodicity from the trajectory of a random walk in random environment ⋮ Hidden Markov model for parameter estimation of a random walk in a Markov environment ⋮ The heavy range of randomly biased walks on trees

Uses Software

• LBFGS-B

Cites Work

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• DNA Unzipping via Stopped Birth and Death Processes with Unknown Transition Probabilities
• A Limited Memory Algorithm for Bound Constrained Optimization
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