Related papers: A method of moments estimator for interacting part…
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…
We study a system of $N$ interacting particles on $\bf{Z}$. The stochastic dynamics consists of two components: a free motion of each particle (independent random walks) and a pair-wise interaction between particles. The interaction belongs…
We introduce a new method for online parameter estimation in stochastic interacting particle systems, based on continuous observation of a small number of particles from the system. Our method recursively updates the model parameters using…
In this article, we study the parameter estimation of interacting particle systems subject to the Newtonian aggregation and Brownian diffusion. Specifically, we construct an estimator $\widehat{\nu}$ with partial observed data to…
This paper delves into a nonparametric estimation approach for the interaction function within diffusion-type particle system models. We introduce two estimation methods based upon an empirical risk minimization. Our study encompasses an…
Parameter estimation in linear errors-in-variables models typically requires that the measurement error distribution be known (or estimable from replicate data). A generalized method of moments approach can be used to estimate model…
For algorithms based on interacting particle systems that admit a mean-field description, convergence analysis is often more accessible at the mean-field level. In order to transfer convergence results obtained at the mean-field level to…
We investigate the moment estimation for an ergodic diffusion process with unknown trend coefficient. We consider nonparametric and parametric estimation. In each case, we present a lower bound for the risk and then construct an…
Assuming that a threshold Ornstein-Uhlenbeck process is observed at discrete time instants, we propose generalized moment estimators to estimate the parameters. Our theoretical basis is the celebrated ergodic theorem. To use this theorem we…
The Random Batch Method proposed in our previous work [Jin et al., J. Comput. Phys., 400(1), 2020] is not only a numerical method for interacting particle systems and its mean-field limit, but also can be viewed as a model of particle…
Assuming that a reflected Ornstein-Uhlenbeck state process is observed at discrete time instants, we propose generalized moment estimators to estimate all drift and diffusion parameters via the celebrated ergodic theorem. With the sampling…
Discrete-state stochastic models have become a well-established approach to describe biochemical reaction networks that are influenced by the inherent randomness of cellular events. In the last years severalmethods for accurately…
Interacting particle systems are in frequent use to model collective behaviour in various situations and applications. For many systems, the interaction between the agents is restricted to an underlying network structure and often, the…
We study the problem of parameter estimation for a univariate discretely observed ergodic diffusion process given as a solution to a stochastic differential equation. The estimation procedure we propose consists of two steps. In the first…
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…
We consider stochastic systems of interacting particles or agents, with dynamics determined by an interaction kernel which only depends on pairwise distances. We study the problem of inferring this interaction kernel from observations of…
Estimation of stochastic processes evolving in a random environment is of crucial importance for example to predict aircraft trajectories evolving in an unknown atmosphere. For fixed parameter, interacting particle systems are a convenient…
A novel approach to the problem of partial state estimation of nonlinear systems is proposed. The main idea is to translate the state estimation problem into one of estimation of constant, unknown parameters related to the systems initial…
Stochastic processes have found numerous applications in science, as they are broadly used to model a variety of natural phenomena. Due to their intrinsic randomness and uncertainty, they are, however, difficult to characterize. Here, we…
We study an interacting particle system whose dynamics depends on an interacting random environment. As the number of particles grows large, the transition rate of the particles slows down (perhaps because they share a common resource of…