Parameter estimation of discretely observed interacting particle systems

DOI10.1016/j.spa.2023.06.011arXiv2208.11965MaRDI QIDQ6116557

Vytautė Pilipauskaitė, Chiara Amorino, Mark Podolskij, Akram Heidari

Publication date: 14 August 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2208.11965

zbMATH Keywords

parameter estimationconsistencyasymptotic normalitynonlinear diffusioninteracting particle systemsMcKean-Vlasov equation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) General theory of stochastic processes (60G07)

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