Kinetic interacting particle system: parameter estimation from complete and partial discrete observations
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arXiv
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| Format: | Preprint |
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2024
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| _version_ | 1866914430345805824 |
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| author | Amorino, Chiara Pilipauskaitė, Vytautė |
| author_facet | Amorino, Chiara Pilipauskaitė, Vytautė |
| contents | 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 cases over a fixed time horizon [0, T] and propose novel contrast functions for parameter estimation. In the partial observation scenario, we tackle the challenge posed by unobserved velocities by introducing a surrogate process based on the increments of the observed positions. This requires a modified contrast function to account for the correlation between successive increments. Our analysis demonstrates that, despite the loss of Markovianity due to the velocity approximation in the partial observation case, the estimators converge to a Gaussian distribution (with a correction factor in the partial observation case). The proofs are based on Ito like bounds and an adaptation of the Euler scheme. Additionally, we provide insights into Hörmander's condition, which helps establish hypoellipticity in our model within the framework of stochastic calculus of variations. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2410_10226 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Kinetic interacting particle system: parameter estimation from complete and partial discrete observations Amorino, Chiara Pilipauskaitė, Vytautė Statistics Theory Probability 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 cases over a fixed time horizon [0, T] and propose novel contrast functions for parameter estimation. In the partial observation scenario, we tackle the challenge posed by unobserved velocities by introducing a surrogate process based on the increments of the observed positions. This requires a modified contrast function to account for the correlation between successive increments. Our analysis demonstrates that, despite the loss of Markovianity due to the velocity approximation in the partial observation case, the estimators converge to a Gaussian distribution (with a correction factor in the partial observation case). The proofs are based on Ito like bounds and an adaptation of the Euler scheme. Additionally, we provide insights into Hörmander's condition, which helps establish hypoellipticity in our model within the framework of stochastic calculus of variations. |
| title | Kinetic interacting particle system: parameter estimation from complete and partial discrete observations |
| topic | Statistics Theory Probability |
| url | https://arxiv.org/abs/2410.10226 |