n-consistent parameter estimation for systems of ordinary differential equations: bypassing numerical integration via smoothing

DOI10.3150/11-BEJ362zbMATH Open1257.49033arXiv1007.3880MaRDI QIDQ442091FDOQ442091

Authors: Shota Gugushvili, Chris A. J. Klaassen 

Publication date: 9 August 2012

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We consider the problem of parameter estimation for a system of ordinary differential equations from noisy observations on a solution of the system. In case the system is nonlinear, as it typically is in practical applications, an analytic solution to it usually does not exist. Consequently, straightforward estimation methods like the ordinary least squares method depend on repetitive use of numerical integration in order to determine the solution of the system for each of the parameter values considered, and to find subsequently the parameter estimate that minimises the objective function. This induces a huge computational load to such estimation methods. We study the consistency of an alternative estimator that is defined as a minimiser of an appropriate distance between a nonparametrically estimated derivative of the solution and the right-hand side of the system applied to a nonparametrically estimated solution. This smooth and match estimator (SME) bypasses numerical integration altogether and reduces the amount of computational time drastically compared to ordinary least squares. Moreover, we show that under suitable regularity conditions this smooth and match estimation procedure leads to a $sqrtn$-consistent estimator of the parameter of interest.

Full work available at URL: https://arxiv.org/abs/1007.3880

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zbMATH Keywords

nonparametric regression\(\sqrt{n}\)-consistency\(M\)-estimatorODE systemPriestley-Chao estimator

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonlinear ordinary differential equations and systems (34A34) Numerical methods in optimal control (49M99)

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Cited In (31)

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Uses Software

• Mathematica
• RODAS
• KernSmooth
• Ipopt

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