Next Page Previous Page Home Tools & Aids Search Handbook
4. Process Modeling
4.4. Data Analysis for Process Modeling


How are estimates of the unknown parameters obtained?

Parameter Estimation in General After selecting the basic form of the functional part of the model, the next step in the model-building process is estimation of the unknown parameters in the function. In general, this is accomplished by solving an optimization problem in which the objective function (the function being minimized or maximized) relates the response variable and the functional part of the model containing the unknown parameters in a way that will produce parameter estimates that will be close to the true, unknown parameter values. The unknown parameters are, loosely speaking, treated as variables to be solved for in the optimization, and the data serve as known coefficients of the objective function in this stage of the modeling process.
In theory, there are as many different ways of estimating parameters as there are objective functions to be minimized or maximized. However, a few principles have dominated because they result in parameter estimators that have good statistical properties. The two major methods of parameter estimation for process models are maximum likelihood and least squares. Both of these methods provide parameter estimators that have many good properties. Both maximum likelihood and least squares are sensitive to the presence of outliers, however. There are also many newer methods of parameter estimation, called robust methods, that try to balance the efficiency and desirable properties of least squares and maximum likelihood with a lower sensitivity to outliers.
Overview of Section 4.3 Although robust techniques are valuable, they are not as well developed as the more traditional methods and often require specialized software that is not readily available. Maximum likelihood also requires specialized algorithms in general, although there are important special cases that do not have such a requirement. For example, for data with normally distributed random errors, the least squares and maximum likelihood parameter estimators are identical. As a result of these software and developmental issues, and the coincidence of maximum likelihood and least squares in many applications, this section currently focuses on parameter estimation only by least squares methods. The remainder of this section offers some intuition into how least squares works and illustrates the effectiveness of this method.
Contents of Section 4.3
  1. Least Squares
  2. Weighted Least Squares
Home Tools & Aids Search Handbook Previous Page Next Page