The Annals of Statistics

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

Xin Qi and Hongyu Zhao

Full-text: Open access

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.

Article information

Source
Ann. Statist. Volume 38, Number 1 (2010), 435-481.

Dates
First available: 31 December 2009

Permanent link to this document
http://projecteuclid.org/euclid.aos/1262271620

Digital Object Identifier
doi:10.1214/09-AOS724

Zentralblatt MATH identifier
1181.62156

Mathematical Reviews number (MathSciNet)
MR2589327

Subjects
Primary: 62F12: Asymptotic properties of estimators
Secondary: 65L05: Initial value problems 65D07: Splines

Keywords
Ordinary differential equations parameters estimation profiling procedure consistency asymptotic normality

Citation

Qi, Xin; Zhao, Hongyu. Asymptotic efficiency and finite-sample properties of the generalized profiling estimation of parameters in ordinary differential equations. The Annals of Statistics 38 (2010), no. 1, 435--481. doi:10.1214/09-AOS724. http://projecteuclid.org/euclid.aos/1262271620.


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