CHOOSING A METHOD FOR ESTIMATING THE PARAMETERS OF LINEAR REGRESSION BASED ON IDENTIFICATION OF ANOMALOUS OBSERVATIONS

2021 ◽  
pp. 24-29
Author(s):  
С.И. Носков
Keyword(s):  
Parameter Estimation ◽  
Least Squares ◽  
Robust Estimation ◽  
Regression Models ◽  
Regression Line ◽  
Estimation Method ◽  
Model Parameters ◽  
Method Of Least Squares ◽  
Sharp Drop ◽  
Modulus Method

Описываются свойства методов оценивания параметров регрессионных моделей - наименьших квадратов, модулей, антиробастного, а также их применения для решения конкретных практических проблем. При этом метод наименьших модулей не реагирует на аномальные наблюдения выборки, метод антиробастного оценивания сильно отклоняет линию регрессии в их направлении, метод наименьших квадратов занимает промежуточное положение. Показано, что если целью построения модели является проведение на ее основе многовариантных прогнозных расчетов значений зависимой переменной, то выбор метода численной идентификации параметров модели следует производить на основе анализа характера выбросов. Если есть основания полагать, что подобные им ситуации могут иметь место в будущем, следует выбрать метод антиробастного оценивания, в противном же случае - метод наименьших модулей. Построена регрессионная модель грузооборота Красноярской железной дороги на основе применения всех трех методов оценивания параметров. Проведен анализ причин, имеющих место в 2010 году в ситуации резкого падения величины грузооборота, которая вполне может характеризоваться как аномальное наблюдение в данных. Сделаны рекомендации по выбору метода оценивания параметров в этом случае The article describes the properties of methods for estimating the parameters of regression models - least squares, moduli, anti-robust - as well as their application for solving specific practical problems. At the same time, the method of least modules does not respond to anomalous observations of the sample, the method of anti-robust estimation strongly deviates the regression line in their direction, the method of least squares occupies an intermediate position. I show that if the purpose of constructing a model is to carry out multivariate predictive calculations of the values of the dependent variable on its basis, then the choice of a method for the numerical identification of model parameters should be based on an analysis of the nature of emissions. If there is a reason to believe that similar situations may occur in the future, the anti-robust estimation method should be chosen, otherwise - the least modulus method. I built a regression model of the freight turnover of the Krasnoyarsk railway on the basis of the application of all three methods of parameter estimation. I carried out the analysis of the reasons for the situation of a sharp drop in the value of cargo turnover in 2010, which may well be characterized as anomalous observation in the data. I give recommendations on the choice of the parameter estimation method in this case

scholarly journals Application of Robust Estimation Methods for the Analysis of Outlier Measurements / Aplikácia Robustných Odhadovacích Metód Pri Analýze Odľahlých Meraní

2011 ◽  
Vol 57 (3) ◽  
pp. 14-29
Author(s):  
Silvia Gašincová ◽  
Juraj Gašinec ◽  
Gabriel Weiss ◽  
Slavomír Labant
Keyword(s):  
Linear Programming ◽  
Least Squares ◽  
Robust Estimation ◽  
Mathematical Analysis ◽  
Physical Environment ◽  
Regression Line ◽  
Measured Data ◽  
Estimation Methods ◽  
Method Of Least Squares ◽  
The Impact

Abstract The basis of mathematical analysis of geodetic measurements is the method of least squares (LSM), whose bicentenary we celebrated in 2006. In geodetic practice, we quite often encounter the phenomenon when outlier measurements penetrate into the set of measured data as a result of e.g. the impact of physical environment. That fact led to modifications of LSM that have been increasingly published mainly in foreign literature in recent years. The mentioned alternative estimation methods are e.g. robust estimation methods and methods in linear programming. The aim of the present paper is to compare LSM with the robust estimation methods on an example of a regression line.

Genetic Algorithm-Based Maximum Likelihood Parameter Estimation for Transit Buses

2001 ◽  
Author(s):  
Jie Xiao ◽  
Bohdan T. Kulakowski
Keyword(s):  
Parameter Estimation ◽  
Maximum Likelihood ◽  
Dynamic Models ◽  
Estimation Method ◽  
Optimization Techniques ◽  
Model Parameters ◽  
Parameter Estimation Method ◽  
Transit Buses ◽  
Simulation And Control ◽  
And Control

Abstract Vehicle dynamic models include parameters that qualify the dependence of input forces and moments on state and control variables. The accuracy of the model parameter estimates is important for modeling, simulation, and control. In general, the most accurate method for determining values of model parameters is by direct measurement. However, some parameters of vehicle dynamics, such as suspension damping or moments of inertia, are difficult to measure accurately. This study aims at establishing an efficient and accurate parameter estimation method for developing dynamic models for transit buses, such that this method can be easily implemented for simulation and control design purposes. Based on the analysis of robustness, as well as accuracy and efficiency of optimization techniques, a parameter estimation method that integrates Genetic Algorithms and the Maximum Likelihood Estimation is proposed. Choices of output signals and estimation criterion are discussed involving an extensive sensitivity analysis of the predicted output with respect to model parameters. Other experiment-related aspects, such as imperfection of data acquisition, are also considered. Finally, asymptotic Cramer-Rao lower bounds for the covariance of estimated parameters are obtained. Computer simulation results show that the proposed method is superior to gradient-based methods in accuracy, as well as robustness to the initial guesses and measurement uncertainty.

Integrating Parameter Estimation Solutions From the Time and Time-Scale Domains

2009 ◽  
Author(s):  
James R. McCusker ◽  
Kourosh Danai
Keyword(s):  
Parameter Estimation ◽  
Least Squares ◽  
Time Scale ◽  
Prediction Error ◽  
Nonlinear Least Squares ◽  
Integrated Approach ◽  
Parameter Estimates ◽  
Model Parameters ◽  
Single Model ◽  
Iterative Estimation

A method of parameter estimation was recently introduced that separately estimates each parameter of the dynamic model [1]. In this method, regions coined as parameter signatures, are identified in the time-scale domain wherein the prediction error can be attributed to the error of a single model parameter. Based on these single-parameter associations, individual model parameters can then be estimated for iterative estimation. Relative to nonlinear least squares, the proposed Parameter Signature Isolation Method (PARSIM) has two distinct attributes. One attribute of PARSIM is to leave the estimation of a parameter dormant when a parameter signature cannot be extracted for it. Another attribute is independence from the contour of the prediction error. The first attribute could cause erroneous parameter estimates, when the parameters are not adapted continually. The second attribute, on the other hand, can provide a safeguard against local minima entrapments. These attributes motivate integrating PARSIM with a method, like nonlinear least-squares, that is less prone to dormancy of parameter estimates. The paper demonstrates the merit of the proposed integrated approach in application to a difficult estimation problem.

scholarly journals Suitability of Several Statistical Models to Simulate Observed Distribution of Sample Test Results in Inspections of Aflatoxin-Contaminated Peanut Lots

1996 ◽  
Vol 79 (4) ◽  
pp. 981-988 ◽  
Author(s):  
Thomas Whitaker ◽  
Francis Giesbrecht ◽  
Jeremy Wu
Keyword(s):  
Parameter Estimation ◽  
Negative Binomial Distribution ◽  
Binomial Distribution ◽  
Statistical Models ◽  
Negative Binomial ◽  
Estimation Method ◽  
Likelihood Method ◽  
Model Parameters ◽  
Test Results ◽  
Parameter Estimation Method

Abstract The acceptability of 10 theoretical distributions to simulate observed distribution of sample aflatoxin test results was evaluated by using 2 parameter estimation methods and 3 goodness of fit (GOF) tests. All theoretical distributions were compared with 120 observed distributions of aflatoxin test results of farmers' stock peanuts. For a given parameter estimation method and GOF test, the negative binomial distribution had the highest percentage of statistically acceptable fits. The log normal and Poisson-gamma (gamma shape parameter = 0.5) distributions had slightly fewer but an almost equal percentage of acceptable fits. For the 3 most acceptable statistical models, the negative binomial had the greatest percentage of best or closest fits. Both the parameter estimation method and the GOF test had an influence on which theoretical distribution had the largest number of acceptable fits. All theoretical distributions, except the negative binomial distribution, had more acceptable fits when model parameters were determined by the maximum likelihood method. The negative binomial had slightly more acceptable fits when model parameters were estimated by the method of moments. The results also demonstrated the importance of using the same GOF test for comparing the acceptability of several theoretical distributions.

scholarly journals Length-weight relationships of the ichthyofauna associated with the Brazilian sardine, Sardinella brasiliensis, on the Southeastern Brazilian Bight (22°S-29°S) between 2008 and 2010

2013 ◽  
Vol 13 (2) ◽  
pp. 326-330 ◽  
Author(s):  
André Martins Vaz-dos-Santos ◽  
Carmen Lúcia Del Bianco Rossi-Wongtschowski
Keyword(s):  
Iterative Method ◽  
Least Squares ◽  
Residual Analysis ◽  
Coefficient Of Determination ◽  
Model Parameters ◽  
Method Of Least Squares ◽  
Positive Allometry ◽  
B Values ◽  
Acoustic Methods ◽  
Nonlinear Iterative Method

In this study, estimates of length-weight relationships are presented for twenty-four species caught in association with the Brazilian sardine, Sardinella brasiliensis, during four acoustics surveys carried out under the Program ECOSAR (Prospecting and evaluation of biomass of the stock of Brazilian sardine on the southeast coast by acoustic methods), which was to evaluate the biomass of species that were caught. The model parameters were estimated with the nonlinear iterative method of least squares. The value of the coefficient of determination (r2) and residual analysis were employed to verify the appropriateness of fit. The coefficient b values were tested with respect to isometry (β=3) using a tα1,0.05 test. The values of coefficient b ranged from 2.377 to 3.538. There is a tendency for positive allometry (b) in the sampled ichythyocenose.

Application of the Weighted Least Squares Parameter Estimation Method to the Robot Calibration

1994 ◽  
Vol 116 (3) ◽  
pp. 890-893 ◽  
Author(s):  
G. Zak ◽  
B. Benhabib ◽  
R. G. Fenton ◽  
I. Saban
Keyword(s):  
Parameter Estimation ◽  
Least Squares ◽  
Weighted Least Squares ◽  
Kinematic Model ◽  
Measurement Data ◽  
Estimation Method ◽  
Kinematic Parameter ◽  
Measuring System ◽  
Parameter Estimates ◽  
Robot Calibration

Significant attention has been paid recently to the topic of robot calibration. To improve the robot’s accuracy, various approaches to the measurement of the robot’s position and orientation (pose) and correction of its kinematic model have been proposed. Little attention, however, has been given to the method of estimation of the kinematic parameters from the measurement data. Typically, a least-squares solution method is used to estimate the corrections to the parameters of the model. In this paper, a method of kinematic parameter estimation is proposed where a standard least-squares estimation procedure is replaced by weighted least-squares. The weighting factors are calculated based on all the a priori available statistical information about the robot and the pose-measuring system. By giving greater weight to the measurements made where the standard deviation of the noise in the data is expected to be lower, a significant reduction in the error of the kinematic parameter estimates is made possible. The improvement in the calibration results was verified using a calibration simulation algorithm.

scholarly journals Likelihood and its use in Parameter Estimation and Model Comparison

2016 ◽  
Vol 37 (3) ◽  
pp. 63-98 ◽  
Author(s):  
Denis Cousineau ◽  
Teresa A. Allan
Keyword(s):  
Parameter Estimation ◽  
Model Comparison ◽  
Regression Line ◽  
Model Fitting ◽  
Estimation Method ◽  
Test Statistics ◽  
Likelihood Methods ◽  
Student’S T ◽  
The Relationship ◽  
Student’S T Test

Parameter estimation and model fitting underlie many statistical procedures. Whether the objective is to examine central tendency or the slope of a regression line, an estimation method must be used. Likelihood is the basis for parameter estimation, for determining the best relative fit among several statistical models, and for significance testing. In this review, the concept of Likelihood is explained and applied computation examples are given. The examples provided serve to illustrate how likelihood is relevant, and related to, the most frequently applied test statistics (Student’s t-test, ANOVA). Additional examples illustrate the computation of Likelihood(s) using common population model assumptions (e.g., normality) and alternative assumptions for cases where data are non-normal. To further describe the interconnectedness of Likelihood and the Likelihood Ratio with modern test statistics, the relationship between Likelihood, Least Squares Modeling, and Bayesian Inference are discussed. Finally, the advantages and limitations of Likelihood methods are listed, alternatives to Likelihood are briefly reviewed, and R code to compute each of the examples in the text is provided.

ESTIMATION OF WEIBULL PARAMETERS USING A FUZZY LEAST-SQUARES METHOD

2004 ◽  
Vol 12 (05) ◽  
pp. 701-711 ◽  
Author(s):  
WEN-LIANG HUNG ◽  
YUAN-CHEN LIU
Keyword(s):  
Weibull Distribution ◽  
Least Squares ◽  
Robust Estimation ◽  
Least Squares Method ◽  
Estimation Method ◽  
Reliability Theory ◽  
Life Testing ◽  
Least Squares Algorithm ◽  
Two Parameter ◽  
Noise Cluster

The purpose of this paper is to find a robust estimation method for a two-parameter Weibull distribution when outliers are present. This is a relevant problem because of the usefulness of the Weibull distribution in life testing and reliability theory. For that purpose, a cluster-wise fuzzy least-squares algorithm with a noise cluster is used. This is because a noise cluster can be used for compensating the effects of outliers. Numerical comparisons between this fuzzy least-squares algorithm and the existing methods are implemented. According to these comparisons, it is suggested that the proposed fuzzy least-squares algorithm is preferable when the sample size is large.

scholarly journals MODELING AND CHARACTERIZATION OF OSCILLATOR CIRCUITS BY VAN DER POL MODEL USING PARAMETER ESTIMATION

2012 ◽  
Vol 21 (05) ◽  
pp. 1250043 ◽  
Author(s):  
IULIA DUMITRESCU ◽  
SMAIL BACHIR ◽  
DAVID CORDEAU ◽  
JEAN-MARIE PAILLOT ◽  
MIHAI IORDACHE
Keyword(s):  
Parameter Estimation ◽  
Optimal Parameter ◽  
Estimation Method ◽  
Van Der Pol Oscillator ◽  
Space Representation ◽  
Model Parameters ◽  
Identification Algorithm ◽  
Van Der Pol ◽  
Oscillator Circuit

In this paper, we present a new method for the modeling and characterization of oscillator circuit with a Van Der Pol (VDP) model using parameter identification. We also discussed and investigated the problem of estimation in nonlinear system based on time domain data. The approach is based on an appropriate state space representation of Van der Pol oscillator that allows an optimal parameter estimation. Using sampled output voltage signal, model parameters are obtained by an iterative identification algorithm based on Output Error method. Normalization issues are fixed by an appropriate transformation allowing a quickly global minimum search. Finally, the proposed estimation method is tested and validated using simulation data from a 1 GHz oscillator circuit in GaAs technology.

scholarly journals Parameter Estimation for Composite Dynamical Systems Based on Sequential Order Statistics from Burr Type XII Mixture Distribution

Mathematics ◽  
2021 ◽  
Vol 9 (8) ◽  
pp. 810
Author(s):  
Tzong-Ru Tsai ◽  
Yuhlong Lio ◽  
Hua Xin ◽  
Hoang Pham
Keyword(s):  
Monte Carlo ◽  
Parameter Estimation ◽  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Survival Function ◽  
Estimation Method ◽  
Mixture Distribution ◽  
Likelihood Estimation ◽  
Model Parameters ◽  
Burr Type Xii

Considering the impact of the heterogeneous conditions of the mixture baseline distribution on the parameter estimation of a composite dynamical system (CDS), we propose an approach to infer the model parameters and baseline survival function of CDS using the maximum likelihood estimation and Bayesian estimation methods. The power-trend hazard rate function and Burr type XII mixture distribution as the baseline distribution are used to characterize the changes of the residual lifetime distribution of surviving components. The Markov chain Monte Carlo approach via using a new Metropolis–Hastings within the Gibbs sampling algorithm is proposed to overcome the computation complexity when obtaining the Bayes estimates of model parameters. A numerical example is generated from the proposed CDS to analyze the proposed procedure. Monte Carlo simulations are conducted to investigate the performance of the proposed methods, and results show that the proposed Bayesian estimation method outperforms the maximum likelihood estimation method to obtain reliable estimates of the model parameters and baseline survival function in terms of the bias and mean square error.

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