Maximum likelihood estimation of potential energy in interacting particle systems from single-trajectory data

DOI10.1214/21-ECP416zbMath1479.60125arXiv2007.11048MaRDI QIDQ2064853

Xiaohui Chen

Publication date: 6 January 2022

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.11048

zbMATH Keywords

symmetry; maximum likelihood estimation; interacting particle systems; stochastic Vlasov equation; mean-field regime

Mathematics Subject Classification ID

62M05: Markov processes: estimation; hidden Markov models

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

Related Items

Eigenfunction Martingale Estimators for Interacting Particle Systems and Their Mean Field Limit, Learning theory for inferring interaction kernels in second-order interacting agent systems, Online parameter estimation for the McKean-Vlasov stochastic differential equation, Parameter estimation of discretely observed interacting particle systems, Nonparametric adaptive estimation for interacting particle systems, The LAN property for McKean-Vlasov models in a mean-field regime, Learning mean-field equations from particle data using WSINDy

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