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تسجيل مستخدم جديدSemiparametric estimation of McKean-Vlasov SDEs
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نشر من قبل
Vytaut\\.e Pilipauskait\\.e
تاريخ النشر
2021
مجال البحث
الاحصاء الرياضي
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English
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In this paper we study the problem of semiparametric estimation for a class of McKean-Vlasov stochastic differential equations. Our aim is to estimate the drift coefficient of a MV-SDE based on observations of the corresponding particle system. We propose a semiparametric estimation procedure and derive the rates of convergence for the resulting estimator. We further prove that the obtained rates are essentially optimal in the minimax sense.
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