Green’s matching: an efficient approach to parameter estimation in complex dynamic systems
Tan, J; Zhang, G; Wang, X; Huang, H; Yao, F
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology
Parameters of differential equations are essential to characterize intrinsic behaviours of dynamic systems. Numerous methods for estimating parameters in dynamic systems are computationally and/or statistically inadequate, especially for complex systems with general-order differential operators, such as motion dynamics. This article presents Green’s matching, a computationally tractable and statistically efficient two-step method, which only needs to approximate trajectories in dynamic systems but not their derivatives due to the inverse of differential operators by Green’s function. This yields a statistically optimal guarantee for parameter estimation in general-order equations, a feature not shared by existing methods, and provides an efficient framework for broad statistical inferences in complex dynamic systems.
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