Inference for nonlinear dynamical systems

被引:320
作者
Ionides, E. L.
Breto, C.
King, A. A.
机构
[1] Univ Michigan, Dept Stat, Ann Arbor, MI 48109 USA
[2] Univ Michigan, Dept Ecol & Evolutionary Biol, Ann Arbor, MI 48109 USA
关键词
maximum likelihood; cholera; time series;
D O I
10.1073/pnas.0603181103
中图分类号
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号
07 ; 0710 ; 09 ;
摘要
Nonlinear stochastic dynamical systems are widely used to model systems across the sciences and engineering. Such models are natural to formulate and can be analyzed mathematically and numerically. However, difficulties associated with inference from time-series data about unknown parameters in these models have been a constraint on their application. We present a new method that makes maximum likelihood estimation feasible for partially-observed nonlinear stochastic dynamical systems (also known as state-space models) where this was not previously the case. The method is based on a sequence of filtering operations which are shown to converge to a maximum likelihood parameter estimate. We make use of recent advances in nonlinear filtering in the implementation of the algorithm. We apply the method to the study of cholera in Bangladesh. We construct confidence intervals, perform residual analysis, and apply other diagnostics. Our analysis, based upon a model capturing the intrinsic nonlinear dynamics of the system, reveals some effects overlooked by previous studies.
引用
收藏
页码:18438 / 18443
页数:6
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