On nonparametric estimation of the interaction function in particle system models
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arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866909116814852096 |
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| author | Belomestny, Denis Podolskij, Mark Zhou, Shi-Yuan |
| author_facet | Belomestny, Denis Podolskij, Mark Zhou, Shi-Yuan |
| contents | 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 analysis of the stochastic and approximation errors associated with both procedures, along with an examination of certain minimax lower bounds. In particular, we show that there is a natural metric under which the corresponding minimax estimation error of the interaction function converges to zero with parametric rate. This result is rather suprising given complexity of the underlying estimation problem and rather large classes of interaction functions for which the above parametric rate holds. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2402_14419 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | On nonparametric estimation of the interaction function in particle system models Belomestny, Denis Podolskij, Mark Zhou, Shi-Yuan Statistics Theory 62G20, 62M05, 60G07, 60H10 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 analysis of the stochastic and approximation errors associated with both procedures, along with an examination of certain minimax lower bounds. In particular, we show that there is a natural metric under which the corresponding minimax estimation error of the interaction function converges to zero with parametric rate. This result is rather suprising given complexity of the underlying estimation problem and rather large classes of interaction functions for which the above parametric rate holds. |
| title | On nonparametric estimation of the interaction function in particle system models |
| topic | Statistics Theory 62G20, 62M05, 60G07, 60H10 |
| url | https://arxiv.org/abs/2402.14419 |