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Parameter estimation and inference in dynamic systems described by linear partial differential equations. (English) Zbl 1443.62075

Summary: Differential equations (DEs) are commonly used to describe dynamic systems evolving in one (ordinary differential equations or ODEs) or in more than one dimensions (partial differential equations or PDEs). In real data applications, the parameters involved in the DE models are usually unknown and need to be estimated from the available measurements together with the state function. In this paper, we present frequentist and Bayesian approaches for the joint estimation of the parameters and of the state functions involved in linear PDEs. We also propose two strategies to include state (initial and/or boundary) conditions in the estimation procedure. We evaluate the performances of the proposed strategy through simulated examples and a real data analysis involving (known and necessary) state conditions.

MSC:

62G05 Nonparametric estimation
62P05 Applications of statistics to actuarial sciences and financial mathematics

Software:

S-PLUS; FITPACK; SemiPar
PDFBibTeX XMLCite
Full Text: DOI

References:

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