Mean-Field Nonparametric Estimation of Interacting Particle Systems

MaRDI QIDQ6399305zbMATH OpenFDO

Authors Rentian Yao, Xiaohui Chen, Yun Yang

Publication date 16 May 2022

Abstract: This paper concerns the nonparametric estimation problem of the distribution-state dependent drift vector field in an interacting $N$-particle system. Observing single-trajectory data for each particle, we derive the mean-field rate of convergence for the maximum likelihood estimator (MLE), which depends on both Gaussian complexity and Rademacher complexity of the function class. In particular, when the function class contains $alpha$-smooth H{"o}lder functions, our rate of convergence is minimax optimal on the order of $N^{-fracalphad+2alpha}$. Combining with a Fourier analytical deconvolution argument, we derive the consistency of MLE for the external force and interaction kernel in the McKean-Vlasov equation.

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