Nonparametric estimation for interacting particle systems: McKean-Vlasov models
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Publication:2073184
DOI10.1007/s00440-021-01044-6OpenAlexW3151351251MaRDI QIDQ2073184
Publication date: 27 January 2022
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.03762
interacting particle systemsnonparametric estimationoracle inequalitiesMcKean-Vlasov modelsanisotropic estimationGoldenshluger-Lepski methodstatistics and PDE
Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Population dynamics (general) (92D25) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)
Related Items (10)
Statistical inference for mean-field queueing models ⋮ Nonparametric drift estimation from diffusions with correlated Brownian motions ⋮ Nadaraya–Watson estimator for I.I.D. paths of diffusion processes ⋮ Online parameter estimation for the McKean-Vlasov stochastic differential equation ⋮ Parameter estimation of discretely observed interacting particle systems ⋮ Nonparametric adaptive estimation for interacting particle systems ⋮ Semiparametric estimation of McKean-Vlasov SDEs ⋮ Identifiability of interaction kernels in mean-field equations of interacting particles ⋮ The LAN property for McKean-Vlasov models in a mean-field regime ⋮ Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
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