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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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