Asymptotic efficiency and finite-sample properties of the generalized profiling estimation of parameters in ordinary differential equations

DOI10.1214/09-AOS724zbMATH Open1181.62156arXiv0903.3400OpenAlexW3098144642MaRDI QIDQ847643FDOQ847643

Xin Qi, Hongyu Zhao

Publication date: 19 February 2010

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Ordinary differential equations (ODEs) are commonly used to model dynamic behavior of a system. Because many parameters are unknown and have to be estimated from the observed data, there is growing interest in statistics to develop efficient estimation procedures for these parameters. Among the proposed methods in the literature, the generalized profiling estimation method developed by Ramsay and colleagues is particularly promising for its computational efficiency and good performance. In this approach, the ODE solution is approximated with a linear combination of basis functions. The coefficients of the basis functions are estimated by a penalized smoothing procedure with an ODE-defined penalty. However, the statistical properties of this procedure are not known. In this paper, we first give an upper bound on the uniform norm of the difference between the true solutions and their approximations. Then we use this bound to prove the consistency and asymptotic normality of this estimation procedure. We show that the asymptotic covariance matrix is the same as that of the maximum likelihood estimation. Therefore, this procedure is asymptotically efficient. For a fixed sample and fixed basis functions, we study the limiting behavior of the approximation when the smoothing parameter tends to infinity. We propose an algorithm to choose the smoothing parameters and a method to compute the deviation of the spline approximation from solution without solving the ODEs.

Full work available at URL: https://arxiv.org/abs/0903.3400

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zbMATH Keywords

asymptotic normalityparameter estimationconsistencyordinary differential equationsprofiling procedure

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes (62M99) Numerical computation using splines (65D07) Numerical methods for initial value problems involving ordinary differential equations (65L05)

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Cited In (33)

• Tracking for parameter and state estimation in possibly misspecified partially observed linear ordinary differential equations
• Kernel-Based Profile Estimation for Ordinary Differential Equations with Partially Measured State Variables
• Differential equations in data analysis
• Asymptotically efficient parameter estimation for ordinary differential equations
• Bayesian estimation of ordinary differential equation models when the likelihood has multiple local modes
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• Adaptive Semiparametric Bayesian Differential Equations Via Sequential Monte Carlo
• Optimal Control and Additive Perturbations Help in Estimating Ill-Posed and Uncertain Dynamical Systems
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• Generalized Ordinary Differential Equation Models
• Smooth functional tempering for nonlinear differential equation models
• Maximum profile likelihood estimation of differential equation parameters through model based smoothing state estimates
• Estimating Varying Coefficients for Partial Differential Equation Models
• Time-course window estimator for ordinary differential equations linear in the parameters
• Numerical discretization-based estimation methods for ordinary differential equation models via penalized spline smoothing with applications in biomedical research
• A regularization method for the parameter estimation problem in ordinary differential equations via discrete optimal control theory

Uses Software

• fda (R)

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