Robust Parameter Estimation in Dynamical Systems by Stochastic Differential Equations
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arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866908370051530752 |
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| author | Sun, Qingchuan Ditlevsen, Susanne |
| author_facet | Sun, Qingchuan Ditlevsen, Susanne |
| contents | Ordinary and stochastic differential equations (ODEs and SDEs) are widely used to model continuous-time processes across various scientific fields. While ODEs offer interpretability and simplicity, SDEs incorporate randomness, providing robustness to noise and model misspecifications. Recent research highlights the statistical advantages of SDEs, such as improved parameter identifiability and stability under perturbations. This paper investigates the robustness of parameter estimation in SDEs versus ODEs under three types of model misspecifications: unrecognized noise sources, external perturbations, and simplified models. Furthermore, the effect of missing data is explored. Through simulations and an analysis of Danish COVID-19 data, we demonstrate that SDEs yield more stable and reliable parameter estimates, making them a strong alternative to traditional ODE modeling in the presence of uncertainty. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2505_00491 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Robust Parameter Estimation in Dynamical Systems by Stochastic Differential Equations Sun, Qingchuan Ditlevsen, Susanne Methodology Computation Ordinary and stochastic differential equations (ODEs and SDEs) are widely used to model continuous-time processes across various scientific fields. While ODEs offer interpretability and simplicity, SDEs incorporate randomness, providing robustness to noise and model misspecifications. Recent research highlights the statistical advantages of SDEs, such as improved parameter identifiability and stability under perturbations. This paper investigates the robustness of parameter estimation in SDEs versus ODEs under three types of model misspecifications: unrecognized noise sources, external perturbations, and simplified models. Furthermore, the effect of missing data is explored. Through simulations and an analysis of Danish COVID-19 data, we demonstrate that SDEs yield more stable and reliable parameter estimates, making them a strong alternative to traditional ODE modeling in the presence of uncertainty. |
| title | Robust Parameter Estimation in Dynamical Systems by Stochastic Differential Equations |
| topic | Methodology Computation |
| url | https://arxiv.org/abs/2505.00491 |