hal-02883351
https://utt.hal.science/hal-02883351
doi:10.3182/20120711-3-BE-2027.00045
[CNRS] CNRS - Centre national de la recherche scientifique
[UNIV-TROYES] Université de Technologie de Troyes
[UTT] UTT
[UTT-LIST3N] LIST3N - Laboratoire Informatique et Société Numérique
[LM2S-UTT] LM2S
Asymptotically Efficient Estimation of a Nonlinear Model of the Heteroscedasticity*
Nikiforov, Igor,
[INFO] Computer Science [cs]
[INFO.INFO-DS] Computer Science [cs]/Data Structures and Algorithms [cs.DS]
COMM
The paper is devoted to the estimation of a nonlinear parametric model of the heteroscedasticity. The heteroscedasticity occurs in regression when the measurement noise variance is non-constant. Sometimes, the noise variance can be represented as a parameterized function of independent variables, so-called variance function. The maximum likelihood estimation (MLE) of variance function parameters leads to a system of nonlinear equations. The iterative solution of these nonlinear equations is based entirely on a successful choice of initial conditions. Hence, in the practice, the nonlinear MLE is intractable. To overcome this difficulty, another linear quasi-MLE estimator is proposed. It is strongly consistent, asymptotically Gaussian and only slightly less efficient than the Cramer-Rao lower bound. By using this estimator as an initial condition, an asymptotically efficient estimation is obtained by using one-step non-iterative Newton method. This approach has been applied to the GPS navigation in the constrained (urban) environment.
2012-10-27
en
16th IFAC Symposium on System Identification
Brussels, Belgium