Application of one‐step method to parameter estimation in ODE models

DOI10.1111/STAN.12124MaRDI QIDQ6089166zbMATH OpenWikidataFDO

Authors Itai Dattner, Shota Gugushvili

Publication date 14 December 2023

Published in Statistica Neerlandica (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1503.07973

zbMATH Keywords

ordinary differential equationsLevenberg-Marquardt algorithmnon-linear least squaresintegral estimatorsmooth and match estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Abstract: In this paper we study application of Le Cam's one-step method to parameter estimation in ordinary differential equations models. This computationally simple technique can serve as an alternative to numerical evaluation of the popular nonlinear least squares estimator, which typically requires the use of a multi-step iterative algorithm and repetitive numerical integration of the ODE system. The one-step method starts from a preliminary $sqrtn$-consistent estimator of the parameter of interest and next turns it into an asymptotic (as the sample size $nightarrowinfty$) equivalent of the least squares estimator through a numerically straightforward procedure. We demonstrate performance of the one-step estimator via extensive simulations and real data examples. The method enables the researcher to obtain both point and interval estimates. The preliminary $sqrtn$-consistent estimator that we use depends on nonparametric smoothing, and we provide a data driven methodology for choosing its tuning parameter and support it by theory. An easy implementation scheme of the one-step method for practical use is pointed out.

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Cited in

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