Fast stable parameter estimation for linear dynamical systems

DOI10.1016/J.CSDA.2020.107124MaRDI QIDQ830432zbMATH OpenOpenAlexFDO

Authors Michelle Carey, James O. Ramsay

Publication date 7 May 2021

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2002.02024

zbMATH Keywords

functional data analysisdifferential equationsparameter cascadingmodel based smoothing

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

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• Linear mixed-effects modeling by parameter cascading
• Numerical data fitting in dynamical systems. A practical introduction with applications and software. With CD-ROM
• Optimization by simulated annealing
• Parameter Estimation for Differential Equations: a Generalized Smoothing Approach
• Parameter cascades and profiling in functional data analysis
• Parameter estimation for differential equation models using a framework of measurement error in regression models
• Parameter estimation of ODE's via nonparametric estimators
• Quick and Easy One-Step Parameter Estimation in Differential Equations
• Smooth functional tempering for nonlinear differential equation models
• Topics in mathematical modeling

Cited in

(12)

• Asymptotic scaling laws for precision of parameter estimates in dynamical systems
• Fast state estimation scheme for multidimensional dynamic systems
• Dynamical modeling for non-Gaussian data with high-dimensional sparse ordinary differential equations
• Kernel-based parameter estimation of dynamical systems with unknown observation functions
• scientific article; zbMATH DE number 1304520 (Why is no real title available?)
• Sparse estimation within Pearson's system, with an application to financial market risk
• An on-line parameter estimator for quick convergence and time-varying linear systems
• A joint estimation approach to sparse additive ordinary differential equations
• Fast Stable Parameter Estimation for Linear Dynamical Systems
• Parameter and uncertainty estimation for dynamical systems using surrogate stochastic processes
• Fast interval estimation for discrete-time linear systems: an \(L_1\) optimization method
• Variable gain parameter estimation algorithms for fast tracking and smooth steady state

Describes a project that uses

Uses Software

• Schittkowski
• fda (R)

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