Asymptotic normality and efficiency of the maximum likelihood estimator for the parameter of a ballistic random walk in a random environment
type: Dataset
description: 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.
issued: 2026-05-08T06:02:07.086901
language: en
modified: 2026-05-08T06:02:07.086904
contact point: Organization
  fn: CCSD
keyword: asymptotic-normality
keyword: ballistic-random-walk
keyword: confidence-regions
keyword: cramer-rao-efficiency
keyword: infoeu-reposemanticsarticle
keyword: journal-articles
keyword: mathmath-stmathematics-mathstatistics-mathst
keyword: maximum-likelihood-estimation
keyword: msc-2000--primary-62m05-62f12-secondary-60j25
keyword: random-walk-in-random-environment
keyword: statthstatistics-statstatistics-theory-statth
landing page: 1066-5307

Asymptotic normality and efficiency of the maximum likelihood estimator for the parameter of a ballistic random walk in a random environment
type: Distribution
format: HTML
issued: 2026-05-08T06:02:07.092413
modified: 2026-05-08T06:02:07.071401
access URL: https://hal.science/hal-00783980

test_moissonnage_selune
type: Agent