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research article

Eigenfunction Martingale Estimators for Interacting Particle Systems and Their Mean Field Limit

Pavliotis, Grigorios A.
•
Zanoni, Andrea  
January 1, 2022
Siam Journal On Applied Dynamical Systems

We study the problem of parameter estimation for large exchangeable interacting particle systems when a sample of discrete observations from a single particle is known. We propose a novel method based on martingale estimating functions constructed by employing the eigenvalues and eigenfunctions of the generator of the mean field limit, where the law of the process is replaced by the (unique) invariant measure of the mean field dynamics. We then prove that our estimator is asymptotically unbiased and asymptotically normal when the number of observations and the number of particles tend to infinity, and we provide a rate of convergence toward the exact value of the parameters. Finally, we present several numerical experiments which show the accuracy of our estimator and corroborate our theoretical findings, even in the case that the mean field dynamics exhibit more than one steady state.

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Type
research article
DOI
10.1137/21M1464348
Web of Science ID

WOS:001126711800002

Author(s)
Pavliotis, Grigorios A.
Zanoni, Andrea  
Date Issued

2022-01-01

Publisher

Siam Publications

Published in
Siam Journal On Applied Dynamical Systems
Volume

21

Issue

4

Start page

2338

End page

2370

Subjects

Physical Sciences

•

Interacting Particle Systems

•

Exchangeability

•

Mean Field Limit

•

Inference

•

Fokker-Planck Operator

•

Eigenvalue Problem

•

Martingale Estimators

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
CSQI  
FunderGrant Number

EPSRC

EP/P031587/1

Swiss National Science Foundation

200020 172710

JPMorgan Chase \ Co.

Available on Infoscience
February 23, 2024
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/205223
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