26 citations · 35 across the 6 of their papers we have counts for
4 papers · 1 filter
Kinetic interacting particle system: parameter estimation from complete and partial discrete observations
Chiara Amorino, Vytautė Pilipauskaitė
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 eq…
Polynomial rates via deconvolution for nonparametric estimation in McKean-Vlasov SDEs
Chiara Amorino, Denis Belomestny, Vytautė Pilipauskaitė +2
This paper investigates the estimation of the interaction function for a class of McKean-Vlasov stochastic differential equations. The estimation is based on observations of the as…
Parameter estimation of discretely observed interacting particle systems
Chiara Amorino, Akram Heidari, Vytautė Pilipauskaitė +1
In this paper, we consider the problem of joint parameter estimation for drift and diffusion coefficients of a stochastic McKean-Vlasov equation and for the associated system of in…
Semiparametric estimation of McKean-Vlasov SDEs
Denis Belomestny, Vytautė Pilipauskaitė, Mark Podolskij
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…