Maximum likelihood estimation in the context of a sub-ballistic random walk in a parametric random environment

We consider a one dimensional sub-ballistic random walk evolving in a parametric i.i.d. random environment. We study the asymptotic properties of the maximum likelihood estimator (MLE) of the parameter based on a single observation of the path till the time it reaches a distant site. In that purpose, we adapt the method developed in the ballistic case by Comets et al (2014) and Falconnet, Loukianova and Matias (2014). Using a supplementary assumption due to the specificity of the sub-ballistic regime, we prove consistency and asymptotic normality as the distant site tends to infinity. To emphazis the role of the additional assumption, we investigate the Temkin model with unknown support, and it turns out that the MLE is consistent but, unlike in the ballistic regime, the Fisher information is infinite. We also explore the numerical performance of our estimation procedure.

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Source https://hal.science/hal-00990005
Author Falconnet, Mikael, Loukianova, Dasha, Gloter, Arnaud
Maintainer CCSD
Last Updated May 5, 2026, 11:29 (UTC)
Created May 5, 2026, 11:29 (UTC)
Identifier hal-00990005
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Laboratoire de Mathématiques et Modélisation d'Evry (LaMME) ; Institut National de la Recherche Agronomique (INRA)-Université d'Évry-Val-d'Essonne (UEVE)-Centre National de la Recherche Scientifique (CNRS)
creator Falconnet, Mikael
date 2014-05-12T00:00:00
harvest_object_id b613ffa5-be63-49d7-aec2-5d15bc685c7a
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2025-04-17T00:00:00
relation info:eu-repo/semantics/altIdentifier/arxiv/1405.2880
set_spec type:UNDEFINED