An improvement of weak stationary test of time series and non-linear causal analysis.
| Project/Area Number |
08640271
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
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| Research Institution | Shiga University |
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Principal Investigator |
NAKANO Yuji Faculty of Economics, Professor, 経済学部, 教授 (60024981)
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| Project Period (FY) |
1996 – 1998
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| Project Status |
Completed (Fiscal Year 1998)
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| Budget Amount *help |
¥1,100,000 (Direct Cost: ¥1,100,000)
Fiscal Year 1998: ¥300,000 (Direct Cost: ¥300,000)
Fiscal Year 1997: ¥300,000 (Direct Cost: ¥300,000)
Fiscal Year 1996: ¥500,000 (Direct Cost: ¥500,000)
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| Keywords | stationary / KM_2 O-Langevin equation / causality / time series / Test(S) / 局所因果性 / 検定(S) / 局所因果解析 / 因果解析 |
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| Research Abstract |
A weakly stationary process, whose time parameter space is a finite interval, is called a local and weakly stationary process. Okabe and Nakano constructed Test(S) which states a criterion that multi-dimensional data are a realization of a local and weakly stationary process. In this study, we propose a revised test of Test(S), say R-Test(S) . R-Test(S) has a better efficient than Test(S) when non-linear data are tested. We apply R-Test(S) to well-known data, sunspot numbers and Lynx in Canada from 1921 to 1934. We worked up R-Test(S) into the paper "On a revised test of Test(S) in time series" .
We defined two kinds of causality. One is linear local causality and other is non-linear local causality. We introduce a causal value between time series. Furthermore, we propose a test which tests the linear local causality between given time series. As an application, The causal relation between sunspot numbers and Lynx in Canada are analyzed. We worked up R-Test(S) into the paper. "On a causal function between time series" .
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Report
(4 results)
Research Products
(8 results)
