Inference for differential equation models using relaxation via dynamical systems

DOI10.1016/J.CSDA.2018.05.014zbMATH Open1469.62094arXiv1705.04436OpenAlexW2963355322WikidataQ115358155 ScholiaQ115358155MaRDI QIDQ1663113FDOQ1663113

Kyoungjae Lee, Sarat C. Dass, Jaeyong Lee

Publication date: 21 August 2018

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

Abstract: Statistical regression models whose mean functions are represented by ordinary differential equations (ODEs) can be used to describe phenomenons dynamical in nature, which are abundant in areas such as biology, climatology and genetics. The estimation of parameters of ODE based models is essential for understanding its dynamics, but the lack of an analytical solution of the ODE makes the parameter estimation challenging. The aim of this paper is to propose a general and fast framework of statistical inference for ODE based models by relaxation of the underlying ODE system. Relaxation is achieved by a properly chosen numerical procedure, such as the Runge-Kutta, and by introducing additive Gaussian noises with small variances. Consequently, filtering methods can be applied to obtain the posterior distribution of the parameters in the Bayesian framework. The main advantage of the proposed method is computation speed. In a simulation study, the proposed method was at least 14 times faster than the other methods. Theoretical results which guarantee the convergence of the posterior of the approximated dynamical system to the posterior of true model are presented. Explicit expressions are given that relate the order and the mesh size of the Runge-Kutta procedure to the rate of convergence of the approximated posterior as a function of sample size.

Full work available at URL: https://arxiv.org/abs/1705.04436

zbMATH Keywords

ordinary differential equationRunge-Kutta methoddynamic modelextended Liu and West filter

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to biology and medical sciences; meta analysis (62P10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

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Cited In (3)

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Uses Software

• fda (R)
• FME

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