In this talk 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.
Personal Website of Mark Podolskij
The talk also can be joined online via our ZOOM MEETING
Meeting room opens at: November 21, 2022, 4.30 pm Vienna
Meeting ID: 613 5453 0395
Password: 601338