A High Accuracy Stochastic Estimation of a Nonlinear Deterministic Model

Abstract

In this paper, an approach to estimating a nonlinear deterministic model is presented. We introduce a stochastic model with extremely small variances so that the deterministic and stochastic models are essentially indistinguishable from each other. This point is explained in the paper. The estimation is then carried out using stochastic optimisation based on Markov chain Monte Carlo (MCMC) methods.