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Parameter estimation of discretely observed interacting particle systems

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  • Amorino, Chiara
  • Heidari, Akram
  • Pilipauskaitė, Vytautė
  • Podolskij, Mark

Abstract

In this paper, we consider the problem of joint parameter estimation for drift and diffusion coefficients of a stochastic McKean–Vlasov equation and for the associated system of interacting particles. The analysis is provided in a general framework, as both coefficients depend on the solution and on the law of the solution itself. Starting from discrete observations of the interacting particle system over a fixed interval [0,T], we propose a contrast function based on a pseudo likelihood approach. We show that the associated estimator is consistent when the discretization step (Δn) and the number of particles ( N) satisfy Δn→0 and N→∞, and asymptotically normal when additionally the condition ΔnN→0 holds.

Suggested Citation

  • Amorino, Chiara & Heidari, Akram & Pilipauskaitė, Vytautė & Podolskij, Mark, 2023. "Parameter estimation of discretely observed interacting particle systems," Stochastic Processes and their Applications, Elsevier, vol. 163(C), pages 350-386.
    • Handle: RePEc:eee:spapps:v:163:y:2023:i:c:p:350-386
    DOI: 10.1016/j.spa.2023.06.011
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    References listed on IDEAS

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    2. Chiara Amorino & Arnaud Gloter, 2020. "Contrast function estimation for the drift parameter of ergodic jump diffusion process," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(2), pages 279-346, June.
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