CFE 2020: Start Registration
View Submission - CMStatistics
B0793
Title: Detecting periodicity from the trajectory of a random walk in random environment Authors:  Jean Vaillancourt - HEC Montreal (Canada) [presenting]
Bruno N Remillard - HEC Montreal (Canada)
Abstract: For nearest neighbour univariate random walks in a periodic environment, where the probability of moving depends on a periodic function, we show how to estimate the period and the function. For random walks in non-periodic environments, we find that the asymptotic limit of the estimator is constant in the ballistic case when the random walk is transient, and the law of large numbers holds with a non zero limit. Numerical examples are given in the recurrent case, as well as in the sub-ballistic case (where the random walk is transient, but the law of large numbers yields a zero limit).