Related papers: Eigenfunction martingale estimators for interactin…
Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of…
We study the asymptotic behavior of the least squares estimators of the unknown parameters of bifurcating autoregressive processes. Under very weak assumptions on the driven noise of the process, namely conditional pair-wise independence…
Large ensembles of stochastically evolving interacting particles describe phenomena in diverse fields including statistical physics, neuroscience, biology, and engineering. In such systems, the infinitesimal evolution of each particle…
We introduce and develop a novel particle exchange Monte Carlo method. Whereas existing methods apply to eigenfunction problems where the eigenvalue is known (e.g., integrals with respect to a Gibbs measure, which can be interpreted as…
We investigate the mean-field limit for interacting particle systems through a duality-based framework and obtain quantitative estimates on the convergence of marginals as well as on correlation functions. In particular, for merely…
A parameter estimation problem is considered, in which dispersed sensors transmit to the statistician partial information regarding their observations. The sensors observe the paths of continuous semimartingales, whose drifts are linear…
We propose a moving horizon estimation scheme for estimating the states and time-varying parameters of nonlinear systems. We consider the case where observability of the parameters depends on the excitation of the system and may be absent…
In this paper, we study the estimation of drift and diffusion coefficients in a two dimensional system of N interacting particles modeled by a degenerate stochastic differential equation. We consider both complete and partial observation…
In this paper we consider a class of interacting particle systems on dynamic random networks, in which the joint dynamics of vertices and edges acts as one-way feedback, i.e., edges appear and disappear over time depending on the state of…
We consider a system consisting of $n$ particles, moving forward in jumps on the real line. System state is the empirical distribution of particle locations. Each particle ``jumps forward'' at some time points, with the instantaneous rate…
We develop a class of interacting particle systems for implementing a maximum marginal likelihood estimation (MMLE) procedure to estimate the parameters of a latent variable model. We achieve this by formulating a continuous-time…
The random batch method provides an efficient algorithm for computing statistical properties of a canonical ensemble of interacting particles. In this work, we study the error estimates of the fully discrete random batch method, especially…
Important gaps remain in our understanding of the thermodynamics and statistical physics of self-gravitating systems. Using mean field theory, here we investigate the equilibrium properties of several spherically symmetric model systems…
We consider the graphon mean-field system introduced in the work of Bayraktar, Chakraborty, and Wu. It is the large-population limit of a heterogeneously interacting diffusive particle system, where the interaction is of mean-field type…
The slow processes of metastable stochastic dynamical systems are difficult to access by direct numerical simulation due the sampling problem. Here, we suggest an approach for modeling the slow parts of Markov processes by approximating the…
We consider a bipartite mean-field model in which both the interaction constant and the external field take different values only depending on the groups particles belong to. We compute the exact value of the thermodynamic limit of the…
We study an interacting particle system in $\mathbf{R}^d$ motivated by Stein variational gradient descent [Q. Liu and D. Wang, NIPS 2016], a deterministic algorithm for sampling from a given probability density with unknown normalization.…
By making use of martingale representations, we derive the asymptotic normality of particle filters in hidden Markov models and a relatively simple formula for their asymptotic variances. Although repeated resamplings result in complicated…
We investigate active electrolytes within the mean-field level of description. The focus is on how the double-layer structure of passive, thermalized charges is affected by active dynamics of all constituting ions. One feature of active…
We introduce a new approach to derive mean-field limits for first- and second-order particle systems with singular interactions. It is based on a duality approach combined with the analysis of linearized dual correlations, and it allows to…