2024/11/11 by Ajay Jasra, Jasra, Ajay, Mohamed Maama +3
Mathematics · Physics and Astronomy · #FOS: Computer and information sciences #FOS: Mathematics #Gas Dynamics and Kinetic Theory #Methodology (stat.ME) #Numerical Analysis (math.NA) #Statistical Mechanics and Entropy
paper · pdf · doi:10.48550/arxiv.2411.06716
openalex publication_date 2024/11/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this article we consider likelihood-based estimation of static parameters for a class of partially observed McKean-Vlasov (POMV) diffusion process with discrete-time observations over a fixed time interval. In particular, using the framework of [5] we develop a new randomized multilevel Monte Carlo method for estimating the parameters, based upon Markovian stochastic approximation methodology. New Markov chain Monte Carlo algorithms for the POMV model are introduced facilitating the application of [5]. We prove, under assumptions, that the expectation of our estimator is biased, but with expected small and controllable bias. Our approach is implemented on several examples.