Electronic Journal of Statistics

Bayesian two-step estimation in differential equation models

Abstract

Ordinary differential equations (ODEs) are used to model dynamic systems appearing in engineering, physics, biomedical sciences and many other fields. These equations contain an unknown vector of parameters of physical significance, say $\boldsymbol{\theta}$ which has to be estimated from the noisy data. Often there is no closed form analytic solution of the equations and hence we cannot use the usual non-linear least squares technique to estimate the unknown parameters. The two-step approach to solve this problem involves fitting the data nonparametrically and then estimating the parameter by minimizing the distance between the nonparametrically estimated derivative and the derivative suggested by the system of ODEs. The statistical aspects of this approach have been studied under the frequentist framework. We consider this two-step estimation under the Bayesian framework. The response variable is allowed to be multidimensional and the true mean function of it is not assumed to be in the model. We induce a prior on the regression function using a random series based on the B-spline basis functions. We establish the Bernstein-von Mises theorem for the posterior distribution of the parameter of interest. Interestingly, even though the posterior distribution of the regression function based on splines converges at a rate slower than $n^{-1/2}$, the parameter vector $\boldsymbol{\theta}$ is nevertheless estimated at $n^{-1/2}$ rate.

Article information

Source
Electron. J. Statist., Volume 9, Number 2 (2015), 3124-3154.

Dates
First available in Project Euclid: 25 January 2016

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1453730083

Digital Object Identifier
doi:10.1214/15-EJS1099

Mathematical Reviews number (MathSciNet)
MR3453972

Zentralblatt MATH identifier
1330.62273

Citation

Bhaumik, Prithwish; Ghosal, Subhashis. Bayesian two-step estimation in differential equation models. Electron. J. Statist. 9 (2015), no. 2, 3124--3154. doi:10.1214/15-EJS1099. https://projecteuclid.org/euclid.ejs/1453730083