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Generalized moment estimation for uncertain differential equations

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  • Liu, Z.

Abstract

Parameter estimation is a critical problem for the uncertain differential equation to achieve its full potential. Based on the Liu process’s properties and the difference form of the uncertain differential equation, the existing method of moments is intuitive but sometimes has no solution. As a result, this method is invalid and alternative ways are needed to estimate unknown parameters in the uncertain differential equation. Motivated by this, this paper proposes the generalized moment estimation which is the optimal solution of a minimization problem. Generalized moment estimation is equivalent to moment estimation when moment estimation exists, and still works well when moment estimation is invalid. Numerical examples and an empirical analysis on the interest rate illustrate the rationality and superiority of the generalized moment estimation.

Suggested Citation

  • Liu, Z., 2021. "Generalized moment estimation for uncertain differential equations," Applied Mathematics and Computation, Elsevier, vol. 392(C).
    • Handle: RePEc:eee:apmaco:v:392:y:2021:i:c:s0096300320306779
    DOI: 10.1016/j.amc.2020.125724
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    References listed on IDEAS

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    1. Yang, Xiangfeng & Ralescu, Dan A., 2015. "Adams method for solving uncertain differential equations," Applied Mathematics and Computation, Elsevier, vol. 270(C), pages 993-1003.
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    4. Kai Yao & Baoding Liu, 2020. "Parameter estimation in uncertain differential equations," Fuzzy Optimization and Decision Making, Springer, vol. 19(1), pages 1-12, March.
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    Citations

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    Cited by:

    1. Tang, Han & Yang, Xiangfeng, 2022. "Moment estimation in uncertain differential equations based on the Milstein scheme," Applied Mathematics and Computation, Elsevier, vol. 418(C).
    2. Tingqing Ye & Baoding Liu, 2022. "Uncertain hypothesis test with application to uncertain regression analysis," Fuzzy Optimization and Decision Making, Springer, vol. 21(2), pages 157-174, June.
    3. Shen, Jiayu & Shi, Jianxin & Gao, Lingceng & Zhang, Qiang & Zhu, Kai, 2023. "Uncertain green product supply chain with government intervention," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 208(C), pages 136-156.
    4. Liu, Zhe & Li, Xiaoyang & Kang, Rui, 2022. "Uncertain differential equation based accelerated degradation modeling," Reliability Engineering and System Safety, Elsevier, vol. 225(C).
    5. Liu, Z. & Yang, Y., 2021. "Uncertain pharmacokinetic model based on uncertain differential equation," Applied Mathematics and Computation, Elsevier, vol. 404(C).
    6. Liu, Z. & Yang, Y., 2021. "Selection of uncertain differential equations using cross validation," Chaos, Solitons & Fractals, Elsevier, vol. 148(C).
    7. Lu, Jing & Yang, Xiangfeng & Tian, Miao, 2022. "Barrier swaption pricing formulae of mean-reverting model in uncertain environment," Chaos, Solitons & Fractals, Elsevier, vol. 160(C).
    8. Wang, Weiwei & Ralescu, Dan A., 2021. "Valuation of lookback option under uncertain volatility model," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
    9. Zhang, Guidong & Sheng, Yuhong, 2022. "Estimating time-varying parameters in uncertain differential equations," Applied Mathematics and Computation, Elsevier, vol. 425(C).
    10. Waichon Lio & Rui Kang, 2023. "Bayesian rule in the framework of uncertainty theory," Fuzzy Optimization and Decision Making, Springer, vol. 22(3), pages 337-358, September.
    11. Yang Liu & Baoding Liu, 2022. "Residual analysis and parameter estimation of uncertain differential equations," Fuzzy Optimization and Decision Making, Springer, vol. 21(4), pages 513-530, December.
    12. Liu He & Yuanguo Zhu & Yajing Gu, 2023. "Nonparametric estimation for uncertain differential equations," Fuzzy Optimization and Decision Making, Springer, vol. 22(4), pages 697-715, December.
    13. Noorani, Idin & Mehrdoust, Farshid, 2022. "Parameter estimation of uncertain differential equation by implementing an optimized artificial neural network," Chaos, Solitons & Fractals, Elsevier, vol. 165(P1).
    14. Liu, Zhe & Yang, Ying, 2022. "Moment estimation for parameters in high-order uncertain differential equations," Applied Mathematics and Computation, Elsevier, vol. 433(C).
    15. Farshid Mehrdoust & Idin Noorani & Wei Xu, 2023. "Uncertain energy model for electricity and gas futures with application in spark-spread option price," Fuzzy Optimization and Decision Making, Springer, vol. 22(1), pages 123-148, March.

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