EE-636-MLE-IV - Parameter Estimation PDF

Parameter Estimation Methods
Parameter Estimation Method

Topics to be covered include:
Guiding Principles Behind Parameter Estimation Method.
Minimizing Prediction Error.
Linear Regressions and the Least-Squares Method.
A Statistical Framework for Parameter Estimation and the
Maximum Likelihood Method.
Correlation Prediction Errors with Past Data.
Instrumental Variable Methods. 2
Models of linear time invariant system

Instrumental Variable Methods.
3
Guiding Principles Behind Parameter Estimation Method
Parameter Estimation Method

Suppose that we have selected a certain model structure M. The set of models defined as:
M M ( ) | DM
Suppose the system is:
y(t ) G(q, )u(t ) H (q, )e(t )

For each , model represents a way of predicting future outputs. The predictor is a linear
filter as:
M ( ) : y (t | ) Wy (q, ) y (t ) Wu (q, )u (t )
Where:

Wy (q, ) 1 H 1 (q, ) , Wu (q, ) H 1 (q, )G(q, )
4
Suppose that we collect a set of data from system as:
Z N y (1) , u (1) , y(2) , u (2) , ..., y ( N ) , u ( N )
Formally we are going to find a map from the data ZN to the

set DM
ZN N DM
Such a mapping is a parameter estimation method.

5
Evaluating the candidate model

Let us define the prediction error as:
(t , ) y(t ) y (t | )
When the data set ZN is known, these errors can be computed for t=1, 2 , , N
A guiding principle for parameter estimation is:
Based on Zt we can compute the prediction error (t,). Select N so that the
prediction error (t ,N ) , t=1, 2, , N, becomes as small as possible.
?
Form a scalar-valued criterion function that measure the size of .
We describe
two approaches
Make (t ,N ) uncorrelated with a given data sequence. 6

7
Minimizing Prediction Error
Clearly the size of prediction error
(t , ) y(t ) y (t | )
is the same as ZN
Let to filter the prediction error by a stable linear filter L(q)
F (t , ) L(q) (t , )
Then use the following norm
1 N
VN ( , Z ) l F (t , )
N
N t 1
Where l(.) is a scalar-valued positive function.
The estimate N is then defined by:
N N ( Z N ) arg min VN ( , Z N )
DM 8
N
VN ( , Z N ) l F (t , )
1
F (t , ) L(q) (t , )
N t 1
DM
Generally the term prediction error identification methods (PEM) is used for
the family of this approaches.
Choice of l(.)
Particular methods Choice of L(.)

with specific names
are used according
Choice of model structure
to:
Method by which the minimization is realized
9
N
VN ( , Z N ) l F (t , )
1
F (t , ) L(q) (t , )
N t 1
DM
Choice of L
The effect of L is best understood in a frequency-domain interpretation.
Thus L acts like frequency weighting.
Exercise: Consider following system

y(t ) G(q, )u(t ) H (q, )e(t )
Show that the effect of prefiltering by L is identical to changing the noise
model from
H ( q, ) L1 (q) H (q, ) 10
N
VN ( , Z N ) l F (t , )
1
F (t , ) L(q) (t , )
N t 1
DM
Choice of l
A standard choice, which is convenient both for computation and analysis.
1 2
l ( )
2
One can also parameterize the norm independent of the model parameterization.
11

12
Linear Regressions and the Least-Squares Method
We introduce linear regressions before as:

y (t | ) T (t ) (t )
is the regression vector and for the ARX structure it is
(t ) y(t 1) ... y(t na ) u(t 1) ...u(t nb )T
(t) is a known data dependent vector. For simplicity let it zero in the
reminder of this section.
Least-squares criterion
Prediction error is : (t , ) y(t ) T (t )
Now let L(q)=1 and l()= 2/2 then

1 N 1 N 1

VN ( , Z ) l F (t , ) y(t ) T (t )
N
N t 1 N t 1 2
2
This is Least-squares criterion for the linear regression 13

Least-squares criterion

N N
N 1
1 1
VN ( , Z ) l F (t , ) y(t ) T (t )
2
N t 1 N t 1 2
The least square estimate (LSE) is:
1
1 N
1 N
LS
N arg min V ( , Z ) (t ) (t )
N T
(t ) y(t )

N t 1 N t 1
R(N ) f (N )

N R( N ) f ( N )
LS 1
14
Properties of LSE
The least square method is a special case of PEM (prediction error method)
So we have
15
Properties of LSE
16
Weighted Least Squares

Different measurement could be assigned different weights
(t )
N 2
1
VN ( , Z )
N
N
t

t 1
y (t ) T
or

N 2
VN ( , Z N ) ( N , t ) y (t ) T (t )
t 1
The resulting estimate is the same as previous.
1 N
N

NLS ( N , t ) (t ) T (t ) ( N , t ) (t ) y(t )
t 1 t 1
17
Colored Equation-error Noise

We show that in a difference equation
y(t ) a1 y(t 1) ... ana y(t na )
b1u (t 1) ... bnb u (t nb ) v(t )
if the disturbance v(t) is not white noise, then the LSE will not converge to the
true value ai and bi .
To deal with this problem, we may incorporate further modeling of the equation
error v(t) as discussed in chapter 4, let us say
v(t ) k (q)e(t )
Now e(t) is white noise, but the new model take us out from LS environment,
except in two cases:
Known noise properties
High-order models 18
Colored Equation-error Noise Known noise properties

y(t ) a1 y(t 1) ... ana y(t na )
v(t ) k (q)e(t )
b1u (t 1) ... bnb u (t nb ) v(t )
Suppose the values of ai and bi are unknown, but k is a known filter (not too
realistic a situation), so we have
Filtering through k-1(q) gives
where
Since e(t) is white, the LS method can be applied without problems.

Notice that this is equivalent to applying the filter L(q)=k-1(q) . 19
Colored Equation-error Noise High-order models

y(t ) a1 y(t 1) ... ana y(t na )
v(t ) k (q)e(t )
b1u (t 1) ... bnb u (t nb ) v(t )
Suppose that the noise v can be well described by k(q)=1/D(q) where D(q) is a
polynomial of order r. So we have
1
A(q) y(t ) B(q)u (t ) e(t )
D( q )
or
A(q) D(q) y(t ) B(q) D(q)u(t ) e(t )
Now we can apply LS method. Note that nA=na+r, nB=nb+r

20
Consider a state space model as

x(t 1) Ax(t ) Bu(t ) w(t )
y (t ) Cx (t ) Du (t ) v(t )
1- Parameterize A, B, C, D as in section 4.3

To derive the system
2- We have no insight into the particular structure and
we would like to find any suitable matrices A, B, C, D.
Note: Since there are infinite number of such matrices that describe the same
system (similarity transformation), we will have to fix the coordinate basis of
the state space realization.
21
Consider a state space model as x(t 1) Ax(t ) Bu(t ) w(t )

y (t ) Cx (t ) Du (t ) v(t )
Note: Since there are infinite number of such matrices that describe the same
system (similarity transformation), we will have to fix the coordinate basis of
the state space realization.
Let us for a moment that not only y and u are measured the states are also
measured. This would, by the way, fix the state-space realization coordinate basis.
Now with known y, u, x the model becomes a linear regression
x(t 1) A B x(t ) w(t )
Y (t ) , , (t ) , E (t )
y (t ) C D u (t ) v(t )
Then
x(t 1) Ax(t ) Bu(t ) w(t )
Y (t ) (t ) E(t )
y (t ) Cx (t ) Du (t ) v(t )
But there is some problem? States are not available to measure! 22

Estimating State Space Models Using Least Squares Techniques

(Subspace Methods)
x(t 1) A B x(t ) w(t )
Y (t ) , , (t ) , E (t )
y (t ) C D u (t ) v (t )
By subspace algorithm x(t+1) derived from observations.
Chapter 10
23

24
A Statistical Framework for Parameter Estimation
and the Maximum Likelihood Method
Estimation and the Principle of Maximum Likelihood
The area of statistical inference, deals with the problem of extracting information
from observations that themselves could be unreliable.
Suppose that observation yN=(y(1), y(2),,y(N)) has following probability density
function (PDF)
f ( ; x1 , x2 , ..., xN ) f y ( ; x N )
That is:
P( y N A) f y ( ; x N )dx N
x N A
is a d-dimensional parameter vector. The propose of the observation is in fact to

estimate the vector using yN.
( y N ) R N R d
Suppose the observed value of yN is yN*, then
25
* ( y*N )
Estimation and the Principle of Maximum Likelihood
( y N ) R N R d
Many such estimator functions are possible.
A particular one >>>>>>>>> maximum likelihood estimator (MLE) .
The probability that the realization(=observation) indeed should take the value yN* is
proportional to
f y ( , y* )
N
This is a deterministic function of once the numerical value yN* is inserted and it is
called Likelihood function.
A reasonable estimator of could then be
ML ( y*N ) arg max f y ( , y*N )

where the maximization performed for fixed yN* . This function is known as the
maximum likelihood estimator (MLE). 26
Example: Let
y(i) , i 1, ..., N
Be independent random variables with normal distribution with unknown means 0
and known variances i y(i) N ( 0 , i )
A common estimator is the sample mean:
N
1
SM ( y N )
N
y(i)
i 1
To calculate MLE, we start to determine the joint PDF for the observations. The
PDF for y(i) is:
1 ( xi ) 2
exp
2 i 2 i
Joint PDF for the observations is: (since y(i) are independent)
N
1 ( xi ) 2
f y ( ; x )
N
exp
i 1 2 i 2 i 27
Example: Let
y(i) , i 1, ..., N
and known variances i 1 N
A common estimator is the sample mean:

SM ( y N )
N
y(i)
i 1
Joint PDF for the observations is: (since y(i) are independent)
N
1 ( xi ) 2
f y ( ; x N ) exp
i 1 2 i 2 i
So the likelihood function is:
f y ( ; y N )
Maximizing likelihood function is the same as maximizing its logarithm. So
ML ( y N ) arg max log f y ( ; y N ) N
1 y (i)

ML ( y )
N
N 1 N y (i ) i
N 2 N
1
arg max log 2 i

2 i 1 2 2 i 1 i

1 / i 28i1
i 1
Example: Let y(i) , i 1, ..., N
and known variances i y(i) N ( 0 , i )
Suppose N=15 and y(i) is derived from a random generation (normal distribution)
such that the means is 10 but variances are:
10, 2, 3, 4, 61, 11, 0.1, 121, 10, 1, 6, 9, 11, 13, 15
The estimated means for 10 different 40
Different estimators
experiments are shown in the figure: SM ( y N )
N 20
1
SM ( y N )
N
y(i)
i 1
0
N
1 y (i) ML ( y N )
ML ( y N ) N i
1 /
i 1
i
i 1 -20
2 4 6 8 10
Different experiments
Exercise:Do the same procedure for another experiments and draw the corresponding figure.
Exercise:Do the same procedure for another experiments and draw the corresponding figure.
29
Suppose all variances as 10.
Maximum likelihood estimator (MLE)
ML ( y*N ) arg max f y ( , y*N )

Relationship to the Maximum A Posteriori (MAP) Estimate
The Bayesian approach is used to derive another parameter estimation problem.
In the Bayesian approach the parameter itself is thought of as a random variable.
Let the prior PDF for is:

g ( z ) P( z )
After some manipulation the Maximum A Posteriori (MAP) estimate is:
MAP ( y N ) arg maxf y ( , y N ).g ( ) 30

Cramer-Rao Inequality
The quality of an estimator can be assessed by its mean-square error matrix:

P E ( y N ) 0 ( y N ) 0 T
True value of
We may be interested in selecting estimators that make P small. Cramer-Rao
inequality give a lower bound for P
M is Fisher
Information
matrix
31
Asymptotic Properties of the MLE
Calculation of
P E ( y N ) 0 ( y N ) 0 T
Is not an easy task.
Therefore, limiting properties as the sample size tends to infinity are calculated
instead.
For the MLE in case of independent observations, Wald and Cramer obtain
Suppose that the random variable {y(i)} are independent and identically
distributed, so that N
f y ( ; x1 , x2 ,...,xN ) f y (i ) ( ; xi )
i 1
Suppose also that the distribution of yN is given by fy(0 ;xN) for some value
0. Then ML ( y N ) tends to 0 with probability 1 as N tends to infinity, and

N ML ( y N ) 0
converges in distribution to the normal distribution with zero mean covariance
matrix given by Cramer-Rao lower bound M-1. 32
Probabilistic Models of Dynamical Systems
Suppose
M ( ) : y (t | ) g (t , Z t 1 ; )
(t , ) y (t ) y (t | )
is independen t and have the
PDF f e ( x, t; )
Recall this kind of model a complete probabilistic model.

Likelihood function for Probabilistic Models of Dynamical Systems
We note that, the output is:
y(t ) y (t | ) (t , ) where (t , ) has the PDF f e ( x, t; )
Now we must determine the likelihood function
f y ( ; y N ) 33
f y ( ; y N ) ?
Lemma: Suppose ut is given as a deterministic sequence, and assume that the
generation of yt is described by the model
y (t ) g (t , Z t 1 ) (t ) where the conditiona l PDF of (t ) is f e ( x, t )
Then the joint probability density function for yt , given ut is:

t
f m (t , y | u ) f e y (k ) g (k , Z k 1 ), k
t t
(I )
k 1
Proof: CPDF of y(t), given Zt-1 , is

p( xt | Z t 1 ) f e xt g (t , Z t 1 ), t
Using Bayess rule, the joint CPDF of y(t) and y(t-1), given Zt-2 can be expressed as:
p( xt , xt 1 | Z t 2 ) p( xt | y (t 1) xt 1 , Z t 2 ). p( xt 1 | Z t 2 )

f e xt g (t , Z t 1 ), t . f e xt 1 g (t 1, Z t 2 ), t 1
34
Similarly we derive (I)
Suppose
M ( ) : y (t | ) g (t , Z t 1 ; ) is independen t and have the
(t , ) y (t ) y (t | ) PDF f e ( x, t; )
Now we must determine the likelihood function

By previous lemma
f (t, ), t;
N N
f y ( ; y N ) f e y (t ) g (t , Z t 1; ), t; e
t 1 t 1
Maximizing this function is the same as maximizing

N
log f y ( ; y N ) log f e (t , ), t;
1 1
N N t 1
If we define
l ( , , t ) log f e ( , t ; )
35
Maximizing this function is the same as maximizing
1 N
log f y ( ; y ) log f e (t , ), t;
1 N
N N t 1
If we define
l ( , , t ) log f e ( , t ; )
We may write
N
1
ML ( y ) arg min l ( (t , ), t; )
N
N t 1
The ML method can thus be seen as a special case of the PEM.
Exercise: Find the Fisher information matrix for this system.
Exercise: Derive a lower bound for CovN .

36

37
Correlation Prediction Errors with Past Data
Ideally, the prediction error (t,) for good model should be independent of the past
data Zt-1
If (t,) is correlated with Zt-1 then there was more information available in Zt-1
about y(t) than picked up by y (t | )
To test if (t,) is independent of the data set Zt-1we must check
Uncorrelated All possible function of

All transformation of (t,) with Zt-1
This is of course not feasible in practice.
Instead, we may select a certain finite-dimensional vector sequence {(t)} derived
from Zt-1 and a certain transformation of {(t,)} to be uncorrelated with this
sequence. This would give
N
(t ) (t , ) 0
1
N t 1
38
Derived would be the best estimate based on the observed data.
Choose a linear filter L(q) and let

F (t , ) L(q) (t , )
Choose a sequence of correlation vectors
(t , ) (t , Z t 1 , )
Choose a function () and define
1 N
f N ( , Z ) (t , ) F (t , )
N
N t 1
Then calculate
N sol f N ( , Z N ) 0
DM
Instrumental variable method (next section) is the best known

39
representative of this family.
N sol f N ( , Z N ) 0
N
(t , ) F (t , )
1
f N ( , Z )
N
N DM
t 1
Normally, the dimension of would be chosen so that fN is a d-dimensional vector.

Then there is many equations as unknowns. Sometimes one use with higher
dimension than d so there is an over determined set of equations, typically without
solution. so
N arg min f N ( , Z N )
DM
Exercise: Show that the prediction-error estimate obtained from

DM
can be also seen as a correlation estimate for a particular choice of L, and .

40
Pseudolinear Regressions
We saw in chapter 4 that a number of common prediction models could be
written as:
y (t | ) T (t , )
Pseudo-regression vector (t,) contains relevant past data, it is reasonable to

require the resulting prediction errors be uncorrelated with (t,) so:
(t , ) (t , ) 1

N
( )

PLR
N sol
N

t 1
(t , ) y (t ) (t , ) 0
T
Which the term PLR estimate.

41

42
Instrumental Variable Methods
Consider linear regression as:
y (t | ) T (t )
The least-square estimate of is given by
1
(t ) 0

N
NLS sol
N

t 1
(t ) y (t ) T
So it is a kind of PEM with L(q)=1 and (t,)=(t)
Now suppose that the data actually described by
y (t ) T (t ) 0 v0 (t )
We found in section 7.3 that LSE N will not tend to 0 in typical cases.
43
1

N
y (t ) (t ) 0 v0 (t )
T
LS
N sol
N

t 1
(t ) y (t ) (t ) 0
T

1

N
IV
N sol
N

t 1
(t ) y (t ) (t ) 0
T

Such an application to a linear regression is called instrumental-variable method.
The elements of are then called instruments or instrumental variables.
Estimated is:
1
1 N
1 N
IV
N (t ) (t )
T
(t ) y(t )
N t 1 N t 1 44
(t ) y (t ) T (t ) 0
1 N

LS
N sol
N

t 1
1

N 1
1 N 1 N
NIV sol
N

t 1
(t ) y (t ) T (t ) 0

NIV (t ) (t )
t 1
N
T
N

t 1
(t ) y(t )
Does N 0 as N in IV method ?
Exercise: Show that NIV will be exist and tend to 0 if following equations
exists.
E (t ) T (t ) be nonsingula r
E (t )v0 (t ) 0
45
Choices of instruments
Suppose an ARX model:

y(t ) a1 y(t 1) ... ana y(t na )
b1u (t 1) ... bnb u (t nb ) e(t )
A natural idea is to generate the instruments similarly to above

model. But at the same time not let them be influenced by{v 0 (t )}
this leads to
T
(t ) K (q ) x (t 1) x (t 2)... x (t na ) u (t 1)...u (t nb )

Where K is a linear filter and x(t) is generated from the input through
a linear system 46
N (q )x (t ) M (q )u (t )
Here
N (q ) 1 n1q 1 ... n n n q n n
M (q ) m 0 m1q 1 ... m n m q n m
Most instruments used in practice are generated in this way.

Obviously, (t ) is obtained from past inputs by linear filtering and
can be written, consequently, as
(t ) (t ,u t 1 )
47
If the input is generated in open loop so that is does not depend on

the noise v 0 (t ) in the system. Then clearly the following property
holds:
E (t )v 0 (t ) 0
Since both the -vector and -vector are generated form the same
input sequence, it might be expected that the following property
should hold in general.
E (t )T (t ) be nonsingular
48
Model-dependent Instruments
It may be desirable to choose the filetrs N and M to those of the true
system
N (q ) A0 (q ); M (q ) B 0 (q )
They are clearly not known, but we may let the instruments depend
on the parameters in the obvious way
(t , ) K (q )[x (t 1, )... x (t na , ) u (t 1)...u (t nb )]T

A (q )x (t , ) B (q )u (t )
49
In general, we could write the generation of (t , )
(t , ) Ku (q , )u (t )
Where Ku (q , ) is a d-dimentional column vector of linear filters
The IV method could be summarized as follows
F (t , ) L (q )[ y (t ) T ]
NIV sol f N ( , Z N ) 0
D M
where
N
(t , ) (t , )
1
f N ( , Z )
N
F
N t 1
(t , ) Ku (q , )u (t )
50

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Parameter Estimation Methods

Parameter Estimation Method

Topics to be covered include:

Guiding Principles Behind Parameter Estimation Method.

Parameter Estimation Method

y(t ) G(q, )u(t ) H (q, )e(t )

Suppose that we collect a set of data from system as:

Z N y (1) , u (1) , y(2) , u (2) , ..., y ( N ) , u ( N )

Formally we are going to find a map from the data ZN to the

Such a mapping is a parameter estimation method.

Evaluating the candidate model

A guiding principle for parameter estimation is:

Topics to be covered include:

Guiding Principles Behind Parameter Estimation Method.

Clearly the size of prediction error

The estimate N is then defined by:

Particular methods Choice of L(.)

Exercise: Consider following system

Topics to be covered include:

Guiding Principles Behind Parameter Estimation Method.

We introduce linear regressions before as:

Now let L(q)=1 and l()= 2/2 then

This is Least-squares criterion for the linear regression 13

Weighted Least Squares

The resulting estimate is the same as previous.

Colored Equation-error Noise

Colored Equation-error Noise Known noise properties

Filtering through k-1(q) gives

Since e(t) is white, the LS method can be applied without problems.

Colored Equation-error Noise High-order models

A(q) D(q) y(t ) B(q) D(q)u(t ) e(t )

Now we can apply LS method. Note that nA=na+r, nB=nb+r

Consider a state space model as

1- Parameterize A, B, C, D as in section 4.3

Consider a state space model as x(t 1) Ax(t ) Bu(t ) w(t )

But there is some problem? States are not available to measure! 22

Estimating State Space Models Using Least Squares Techniques

Topics to be covered include:

Guiding Principles Behind Parameter Estimation Method.

is a d-dimensional parameter vector. The propose of the observation is in fact to

ML ( y*N ) arg max f y ( , y*N )

A common estimator is the sample mean:

ML ( y*N ) arg max f y ( , y*N )

Relationship to the Maximum A Posteriori (MAP) Estimate

The Bayesian approach is used to derive another parameter estimation problem.

In the Bayesian approach the parameter itself is thought of as a random variable.

Let the prior PDF for is:

MAP ( y N ) arg maxf y ( , y N ).g ( ) 30

Recall this kind of model a complete probabilistic model.

Proof: CPDF of y(t), given Zt-1 , is

Now we must determine the likelihood function

Maximizing this function is the same as maximizing

The ML method can thus be seen as a special case of the PEM.

Exercise: Find the Fisher information matrix for this system.

Exercise: Derive a lower bound for CovN .

Topics to be covered include:

Guiding Principles Behind Parameter Estimation Method.

To test if (t,) is independent of the data set Zt-1we must check

Uncorrelated All possible function of

Choose a linear filter L(q) and let

Instrumental variable method (next section) is the best known

Normally, the dimension of would be chosen so that fN is a d-dimensional vector.

Exercise: Show that the prediction-error estimate obtained from

ML ( yN ) arg max f y ( , yN )

ML ( yN ) arg max f y ( , yN )