✦ LIBER ✦

Parameter estimation in systems of differential equations, based on three-way data arrays and random time changes

✍ Scribed by Bassan, Bruno ;Terzi, Silvia

Publisher: John Wiley and Sons
Year: 1996
Tongue: English
Weight: 504 KB
Volume: 12
Category: Article
ISSN: 8755-0024
DOI: 10.1002/(sici)1099-0747(199606)12:2<63::aid-asm277>3.0.co;2-f

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✦ Synopsis

Consider a system of 11, x ti2 differential equations depending on a vector 8 of unknown parameters. We suggest an iterative estimation procedure for 8, based on a three-way array of observations. The method involves random time changes driven by multidimensional integrated Omstein-Uhlenbeck processes.