A Method of Moments Estimator for Interacting Particle Systems and their Mean Field Limit

Abstract

SIAM/ASA Journal on Uncertainty Quantification, Volume 12, Issue 2, Page 262-288, June 2024.
Abstract.We study the problem of learning unknown parameters in stochastic interacting particle systems with polynomial drift, interaction, and diffusion functions from the path of one single particle in the system. Our estimator is obtained by solving a linear system which is constructed by imposing appropriate conditions on the moments of the invariant distribution of the mean field limit and on the quadratic variation of the process. Our approach is easy to implement as it only requires the approximation of the moments via the ergodic theorem and the solution of a low-dimensional linear system. Moreover, we prove that our estimator is asymptotically unbiased in the limits of infinite data and infinite number of particles (mean field limit). In addition, we present several numerical experiments that validate the theoretical analysis and show the effectiveness of our methodology to accurately infer parameters in systems of interacting particles.