Non-parametric estimations for graphon mean-field particle systems

We consider the graphon mean-field system introduced in the work of Bayraktar, Chakraborty, and Wu. It is the large-population limit of a heterogeneously interacting diffusive particle system, where the interaction is of mean-field type with weights characterized by an underlying graphon function. Observing continuous-time trajectories of a finite-population particle system, we build plug-in estimators of the particle densities, drift coefficients, and graphon interaction weights of the mean-field system. Our estimators for the densities and drifts are direct results of kernel interpolation on the empirical data, and a deconvolution method leads to an estimator of the underlying graphon function. We prove that the estimator converges to the true graphon function as the number of particles tends to infinity, when all other parameters are properly chosen. Besides, we also justify the pointwise optimality of the density estimator via a minimax analysis over a particular class of particle systems.