A tracking approach to parameter estimation in linear ordinary differential equations

DOI10.1214/15-EJS1086zbMATH Open1330.62168arXiv1410.7554OpenAlexW2963491733MaRDI QIDQ902223FDOQ902223

Authors: Quentin Clairon, Nicolas J.-B. Brunel 

Publication date: 7 January 2016

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: Ordinary Differential Equations are widespread tools to model chemical, physical, biological process but they usually rely on parameters which are of critical importance in terms of dynamic and need to be estimated directly from the data. Classical statistical approaches (nonlinear least squares, maximum likelihood estimator) can give unsatisfactory results because of computational difficulties and ill-posedness of the statistical problem. New estimation methods that use some nonparametric devices have been proposed to circumvent these issues. We present a new estimator that shares properties with Two-Step estimator and Generalized Smoothing (introduced by Ramsay et al, 2007). We introduce a perturbed model and we use optimal control theory for constructing a criterion that aims at minimizing the discrepancy with data and the model. Here, we focus on the case of linear Ordinary Differential Equations as our criterion has a closed-form expression that permits a detailed analysis. Our approach avoids the use of a nonparametric estimator of the derivative, which is one of the main cause of inaccuracy in Two-Step estimators. Moreover, we take into account model discrepancy and our estimator is more robust to model misspecification than classical methods. The discrepancy with the parametric ODE model correspond to the minimum perturbation (or control) to apply to the initial model. Its qualitative analysis can be informative for misspecification diagnosis. In the case of well-specified model, we show the consistency of our estimator and that we reach the parametric root-n rate when regression splines are used in the first step.

Full work available at URL: https://arxiv.org/abs/1410.7554

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zbMATH Keywords

parameter estimationsmoothingoptimal controlordinary differential equationsRiccati differential equationasymptotic statisticsplug-in property

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Parametric inference (62F99) Estimation and detection in stochastic control theory (93E10)

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Cited In (10)

• Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations
• Tracking for parameter and state estimation in possibly misspecified partially observed linear ordinary differential equations
• Parametric estimation of ordinary differential equations with orthogonality conditions
• Differential equations in data analysis
• Parameter estimation of ODE's via nonparametric estimators
• Consistent estimation of ordinary differential equation when the transformation parameter is unknown
• Application of one‐step method to parameter estimation in ODE models
• Asymptotic efficiency and finite-sample properties of the generalized profiling estimation of parameters in ordinary differential equations
• Optimal control and additive perturbations help in estimating ill-posed and uncertain dynamical systems
• A regularization method for the parameter estimation problem in ordinary differential equations via discrete optimal control theory

Uses Software

• SemiPar

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