Mean-Field Nonparametric Estimation of Interacting Particle Systems
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This paper concerns the nonparametric estimation problem of the distribution-state dependent drift vector field in an interacting N-particle system. Observing single-trajectory data for each particle, we derive the mean-field rate of convergence for the maximum likelihood estimator (MLE), which depends on both Gaussian complexity and Rademacher complexity of the function class. In particular, when the function class contains α-smooth Hölder functions, our rate of convergence is minimax optimal on the order of N^-α/d+2α. Combining with a Fourier analytical deconvolution argument, we derive the consistency of MLE for the external force and interaction kernel in the McKean-Vlasov equation.
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