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Author : William A. Barnett
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (126 download)
Download or read book Maximum Likelihood Estimation of Nonlinear Systems of Equations written by William A. Barnett and published by . This book was released on 1974 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : L. D. Attaway
Publisher :
ISBN 13 :
Total Pages : 88 pages
Book Rating : 4.:/5 (731 download)
Download or read book Maximum-likelihood Prediction and Estimation for Nonlinear Dynamic Systems written by L. D. Attaway and published by . This book was released on 1968 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: A method is given for determining the system state using noise-corrupted observations of a non-linear dynamic invector process, with a numerical application to radar observation of a reentry body. The study examined the feasibility of numerically solving the vector-differential equations satisfied by the maximum-likelihood estimator. The maximum-likelihood estimate is that initial condition which minimizes a certain functional on itself, on the observation, and on the a priori statistics.
Author : William Gould
Publisher : Stata Press
ISBN 13 : 9781597180788
Total Pages : 352 pages
Book Rating : 4.1/5 (87 download)
Download or read book Maximum Likelihood Estimation with Stata, Fourth Edition written by William Gould and published by Stata Press. This book was released on 2010-10-27 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Maximum Likelihood Estimation with Stata, Fourth Edition is written for researchers in all disciplines who need to compute maximum likelihood estimators that are not available as prepackaged routines. Readers are presumed to be familiar with Stata, but no special programming skills are assumed except in the last few chapters, which detail how to add a new estimation command to Stata. The book begins with an introduction to the theory of maximum likelihood estimation with particular attention on the practical implications for applied work. Individual chapters then describe in detail each of the four types of likelihood evaluator programs and provide numerous examples, such as logit and probit regression, Weibull regression, random-effects linear regression, and the Cox proportional hazards model. Later chapters and appendixes provide additional details about the ml command, provide checklists to follow when writing evaluators, and show how to write your own estimation commands.
Author : Peter Ole Anderson
Publisher :
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.F/5 ( download)
Download or read book Estimation of Simultaneous Systems of Linear Equations with Nonlinear Constraints Among the Coefficients written by Peter Ole Anderson and published by . This book was released on 1969 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: The basic problem considered here is the estimation of the coefficients in a simultaneous system of linear equations. Maximum likelihood, linearized maximum likelihood, two-stage least-squares and three-stage least-squares methods have primarily been studied for the case of linear constraints among the coefficients. In this paper the case of nonlinear constraints is considered. It is shown that by linearizing the nonlinear constraints and using a three-stage least-squares procedure one can obtain similar large sample, and also small sigma, results. (Author).
Author : Erik Mellander
Publisher : Coronet Books
ISBN 13 :
Total Pages : 100 pages
Book Rating : 4.3/5 ( download)
Download or read book CONRAD written by Erik Mellander and published by Coronet Books. This book was released on 1987 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sherif Rushdy
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (144 download)
Download or read book Maximum Likelihood Estimation of a Nonlinear System Dynamic Market Growth Model written by Sherif Rushdy and published by . This book was released on 1981 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent efforts to determine the proper role of formal statistical estimation in modeling "System Dynamics" models show that the parameter estimates derived from Ordinary and Generalized Least Squares (OLS and GLS) are highly sensitive to errors in data measurement, and likely to prove misleading if used as a basis for selection of parameter values or structural analysis. Using the framework developed in this previous work, - where a nonlinear feedback model generates synthetic data, which is then used to estimate model parameters and thus provide a basis for the evaluation of an estimation technique, - this thesis reviews previous results with OLS and investigates alternative estimation techniques. A review of both econometric and engineering techniques, together with some preliminary experimental results revealed that no econometric estimation technique proved capable of meeting the requirements of the estimation of parameters in a nonlinear dynamic feedback model in the presence of measurement noise. The only promising method, the Filtering Form of the Maximum Likelihood algorithm, was found in the engineering literature where it is being used in a growing number of applications. A general FORTRAN program was developed to implement this algorithm and was tried out on three small-scale linear and nonlinear models. The method was found to be capable of drastically improving upon the Least Squares estimates, if sufficient Knowledge about the noise statistics (which present identifiability problems if they are all to be estimated) was available. However, experimentation on Forrester's "Market-Growth" model, while still modest in size compared to many System Dynamics models (nine equations and fifteen parameters to estimate), revealed the many limitations (in particular in convergence and cost) of this algorithm, that preclude its use in socio-economic applications. In the light of the above results, alternative methods of model validation, and in particular a more formal use of sensitivity testing, are suggested for further research.
Author : Jan Salomon Cramer
Publisher : CUP Archive
ISBN 13 : 9780521378574
Total Pages : 232 pages
Book Rating : 4.3/5 (785 download)
Download or read book Econometric Applications of Maximum Likelihood Methods written by Jan Salomon Cramer and published by CUP Archive. This book was released on 1989-04-28 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The advent of electronic computing permits the empirical analysis of economic models of far greater subtlety and rigour than before, when many interesting ideas were not followed up because the calculations involved made this impracticable. The estimation and testing of these more intricate models is usually based on the method of Maximum Likelihood, which is a well-established branch of mathematical statistics. Its use in econometrics has led to the development of a number of special techniques; the specific conditions of econometric research moreover demand certain changes in the interpretation of the basic argument. This book is a self-contained introduction to this field. It consists of three parts. The first deals with general features of Maximum Likelihood methods; the second with linear and nonlinear regression; and the third with discrete choice and related micro-economic models. Readers should already be familiar with elementary statistical theory, with applied econometric research papers, or with the literature on the mathematical basis of Maximum Likelihood theory. They can also try their hand at some advanced econometric research of their own.
Author : W. J. H. Stortelder
Publisher :
ISBN 13 :
Total Pages : 196 pages
Book Rating : 4.F/5 ( download)
Download or read book Parameter Estimation in Nonlinear Dynamic Systems written by W. J. H. Stortelder and published by . This book was released on 1998 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : C. Giese
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (498 download)
Download or read book Estimation of Nonlinear System States and Parameters by Regression Methods written by C. Giese and published by . This book was released on 1964 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern theories of optimal control are generally based on an assumption that a precise quantitative mathematical model exists for a dynamic system which is to be controlled or observed. In fact, such models are often lacking and must be inferred from experimental response data. When basic physical theory is sufficient to permit the object involved to be described by a differential equation with certain free parameters, the determination of a quantitative model becomes a problem in statistical estimation. This report formulates nonlinear dynamic system state and parameter estimation as a regression problem. An attempt is made to treat least squares regression, maximum likelihood estimation, and Bayes estimation from a unifying point of view. Experimental results relating to the nonlinear pendulum equation and to the ballistic vehicle atmospheric re-entry equation are included. These results show that it is possible to construct general algorithms for the automatic determination of parameter vectors by a digital computer. (Author).
Author : Jeremy Blackwell
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (227 download)
Download or read book A Maximum Likelihood Parameter Estimation Program for General Non-linear Systems (U) written by Jeremy Blackwell and published by . This book was released on 1987 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: A computer program has been developed for the Maximum Likelihood estimation of parameters in general non-linear systems. Sensitivity matrix elements are calculated numerically, overcoming the need for explicit sensitivity equations. Parameters such as break points and time shifts are successfully determined using both simulated and actual test data. Keywords: Non linear systems, Time lag, Drop tests, Parameter estimation, Maximum likelihood, Landing gear.
Author : Geraldo da Silva e Souza
Publisher :
ISBN 13 :
Total Pages : 63 pages
Book Rating : 4.:/5 (818 download)
Download or read book Statistical Inference in Nonlinear Models written by Geraldo da Silva e Souza and published by . This book was released on 1979 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: Estimation and hypothesis testing are considered for a system of simultaneous, monlinear, implicit equations. These problems are studied in a general setting. A given objective function, the pseudo likelihood, defines an estimator. Conditions are set forth such that this estimator is consistent and asymptotically normaly distributed. The Wald's test and analogs of the lagrange multiplier test and the likelihood ratio test are derived from this estimator and their null and non-null distributions are given. To illustrate the theory, results are applied in three instances: maximum likelihood estimation in simultaneous nonlinear systems, single equation nonlinear explicit models, and seemingly unrelated nonlinear regression models.
Author : Dan Simon
Publisher : John Wiley & Sons
ISBN 13 : 0470045337
Total Pages : 554 pages
Book Rating : 4.4/5 (7 download)
Download or read book Optimal State Estimation written by Dan Simon and published by John Wiley & Sons. This book was released on 2006-06-19 with total page 554 pages. Available in PDF, EPUB and Kindle. Book excerpt: A bottom-up approach that enables readers to master and apply the latest techniques in state estimation This book offers the best mathematical approaches to estimating the state of a general system. The author presents state estimation theory clearly and rigorously, providing the right amount of advanced material, recent research results, and references to enable the reader to apply state estimation techniques confidently across a variety of fields in science and engineering. While there are other textbooks that treat state estimation, this one offers special features and a unique perspective and pedagogical approach that speed learning: * Straightforward, bottom-up approach begins with basic concepts and then builds step by step to more advanced topics for a clear understanding of state estimation * Simple examples and problems that require only paper and pen to solve lead to an intuitive understanding of how theory works in practice * MATLAB(r)-based source code that corresponds to examples in the book, available on the author's Web site, enables readers to recreate results and experiment with other simulation setups and parameters Armed with a solid foundation in the basics, readers are presented with a careful treatment of advanced topics, including unscented filtering, high order nonlinear filtering, particle filtering, constrained state estimation, reduced order filtering, robust Kalman filtering, and mixed Kalman/H? filtering. Problems at the end of each chapter include both written exercises and computer exercises. Written exercises focus on improving the reader's understanding of theory and key concepts, whereas computer exercises help readers apply theory to problems similar to ones they are likely to encounter in industry. With its expert blend of theory and practice, coupled with its presentation of recent research results, Optimal State Estimation is strongly recommended for undergraduate and graduate-level courses in optimal control and state estimation theory. It also serves as a reference for engineers and science professionals across a wide array of industries.
Author : Thomas B. Schön
Publisher :
ISBN 13 :
Total Pages : 9 pages
Book Rating : 4.:/5 (185 download)
Download or read book Maximum Likelihood Nonlinear System Estimation written by Thomas B. Schön and published by . This book was released on 2005 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Joachim Inkmann
Publisher : Springer Science & Business Media
ISBN 13 : 3642565719
Total Pages : 224 pages
Book Rating : 4.6/5 (425 download)
Download or read book Conditional Moment Estimation of Nonlinear Equation Systems written by Joachim Inkmann and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Generalized method of moments (GMM) estimation of nonlinear systems has two important advantages over conventional maximum likelihood (ML) estimation: GMM estimation usually requires less restrictive distributional assumptions and remains computationally attractive when ML estimation becomes burdensome or even impossible. This book presents an in-depth treatment of the conditional moment approach to GMM estimation of models frequently encountered in applied microeconometrics. It covers both large sample and small sample properties of conditional moment estimators and provides an application to empirical industrial organization. With its comprehensive and up-to-date coverage of the subject which includes topics like bootstrapping and empirical likelihood techniques, the book addresses scientists, graduate students and professionals in applied econometrics.
Author :
Publisher : BoD – Books on Demand
ISBN 13 : 1789234042
Total Pages : 264 pages
Book Rating : 4.7/5 (892 download)
Download or read book Nonlinear Systems written by and published by BoD – Books on Demand. This book was released on 2018-07-18 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on several key aspects of nonlinear systems including dynamic modeling, state estimation, and stability analysis. It is intended to provide a wide range of readers in applied mathematics and various engineering disciplines an excellent survey of recent studies of nonlinear systems. With its thirteen chapters, the book brings together important contributions from renowned international researchers to provide an excellent survey of recent studies of nonlinear systems. The first section consists of eight chapters that focus on nonlinear dynamic modeling and analysis techniques, while the next section is composed of five chapters that center on state estimation methods and stability analysis for nonlinear systems.
Author :
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (317 download)
Download or read book Recursive Identification and Tracking of Parameters for Linear and Nonlinear Multivariable Systems written by and published by . This book was released on 1975 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Joachim Inkmann
Publisher : Springer
ISBN 13 : 9783540412076
Total Pages : 214 pages
Book Rating : 4.4/5 (12 download)
Download or read book Conditional Moment Estimation of Nonlinear Equation Systems written by Joachim Inkmann and published by Springer. This book was released on 2000-11-06 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Generalized method of moments (GMM) estimation of nonlinear systems has two important advantages over conventional maximum likelihood (ML) estimation: GMM estimation usually requires less restrictive distributional assumptions and remains computationally attractive when ML estimation becomes burdensome or even impossible. This book presents an in-depth treatment of the conditional moment approach to GMM estimation of models frequently encountered in applied microeconometrics. It covers both large sample and small sample properties of conditional moment estimators and provides an application to empirical industrial organization. With its comprehensive and up-to-date coverage of the subject which includes topics like bootstrapping and empirical likelihood techniques, the book addresses scientists, graduate students and professionals in applied econometrics.
