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Nonparametric estimation of nonlinear dynamics by metric-based local linear approximation

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  • Isao Shoji

Abstract

This paper discusses nonparametric estimation of nonlinear dynamical system models by a method of metric-based local linear approximation. We assume no functional form of a given model but estimate it from experimental data by approximating the curve implied by the function by the tangent plane around the neighborhood of a tangent point. To specify an appropriate neighborhood, we prepare a metric defined over the Euclidean space in which the curve exists and then evaluate the closeness to the tangent point according to the distances. The proposed method differs from the first order polynomial modeling in discerning the metric and the weighting function, but the first order polynomial modeling with Gaussian kernels is shown to be a special version of the proposed method. Simulation studies and application to ECG signals show the proposed method is easy to manipulate and has performance comparable to or better than the first order local polynomial modeling. Copyright Springer-Verlag Berlin Heidelberg 2013

Suggested Citation

  • Isao Shoji, 2013. "Nonparametric estimation of nonlinear dynamics by metric-based local linear approximation," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 22(3), pages 341-353, August.
    • Handle: RePEc:spr:stmapp:v:22:y:2013:i:3:p:341-353
    DOI: 10.1007/s10260-012-0226-z
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    Cited by:

    1. Otunuga Olusegun M. & Ladde Gangaram S. & Ladde Nathan G., 2019. "Local Lagged Adapted Generalized Method of Moments: An Innovative Estimation and Forecasting Approach and its Applications," Journal of Time Series Econometrics, De Gruyter, vol. 11(1), pages 1-72, January.

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