Moment estimation for parameters in high-order uncertain differential equations

Zhe Liu and Ying Yang

Applied Mathematics and Computation, 2022, vol. 433, issue C

Abstract: As a type of differential equations with high-order derivatives of uncertain processes, high-order uncertain differential equations are widely applied to modelling dynamic systems in uncertain environment, which usually involve unknown parameters to be estimated. Since observations are always discrete in practice, based on these discrete observations of solution processes, we propose moment estimations for unknown parameters by Euler method approximation of high-order uncertain differential equations. Matching sample moments with corresponding population moments, a system of equations whose solution is the moment estimation of the set of unknown parameters is derived. Finally, some examples illustrate our method in detail.

Keywords: Uncertain differential equation; Parameter estimation; Moment method; Uncertainty theory (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:433:y:2022:i:c:s0096300322004738

DOI: 10.1016/j.amc.2022.127399

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