Universiteit Utrecht

Department of Mathematics

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

Shota Gugushvili

25 March 2010

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 a sequence of parameter values and to find subsequently the parameter value that minimises the objective function. This induces a huge computational load on such estimation methods. We propose an 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. Our estimator 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 estimation procedure leads to a -consistent estimator of the parameter of interest.

Joint work with Chris Klaassen.

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Alexandra Babenko