Year: 2026
Type: preprint
Abstract: In this paper, we address the joint parameter estimation of drift and diffusion coefficients for heterogeneously interacting particle systems. Unlike the homogeneous setting, the interactions are governed by a graphon-weighted mean-field framework, which introduces significant analytical complexity: while homogeneous systems yield i.i.d. limits, our setting results in particles that are independent but non-identically distributed in the limit. Based on discrete observations of the system over a fixed time interval $[0, T]$, we propose a contrast function based on a pseudo-likelihood approach. We prove the consistency of the resulting estimators as the discretization step $Δ_n \to 0$ and the number of particles $N \to \infty$. Furthermore, we establish asymptotic normality under the additional constraint $N Δ_n \to 0$, demonstrating that the underlying graphon structure can be rigorously handled despite the lack of identical distribution in the limit.
Source: arXiv (Cornell University)
Authors: Amorino, Chiara, Sfragara, Matteo
Subfield: Finance
Domain: Social Sciences
Open Access status: green
Funder: Agencia Estatal de Investigación
OpenAlex ID: W7213864150
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