Time Delay Embedding Increases Estimation Precision of Models of Intraindividual Variability.
Time Delay Embedding Increases Estimation Precision of Models of Intraindividual Variability.
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DOI：
10.1007/s11336-009-9137-9
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发表时间：
2010-03
期刊：
影响因子：
2.7
通讯作者：
Boker, Steven M.
中科院分区：
文献类型：
--
作者：
von Oertzen, Timo;Boker, Steven M.
本文研究了从时间相关函数的局部样本估计的参数的精度。我们发现，时间延迟嵌入，即在分析之前通过构建重叠样本的数据矩阵来构造数据，提高了参数估计的精度，从而提高了与标准独立面板数据行相比的统计功效。我们表明，这种效应的原因是，如果没有关于时间相关函数的初始条件的先验知识，估计偏差的符号取决于错误放置的数据点的位置。因此，我们推断时间延迟嵌入的优势可能适用于多种功能。我们通过数学分析和两次模拟来支持这些结论。
This paper investigates the precision of parameters estimated from local samples of time dependent functions. We find that time delay embedding, i.e. structuring data prior to analysis by constructing a data matrix of overlapping samples, increases the precision of parameter estimates and in turn statistical power compared to standard independent rows of panel data. We show that the reason for this effect is that the sign of estimation bias depends on the position of a misplaced data point if there is no a priori knowledge about initial conditions of the time dependent function. Hence, we reason that the advantage of time delayed embedding is likely to hold true for a wide variety of functions. We support these conclusions both by mathematical analysis and two simulations.