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

Abstract

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.

Cited by in corpus (1)

• Maximum likelihood estimator and its consistency for an $(L,1)$ random walk in a parametric random environment