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Nonparametric and Robust Approach in Time Series Analysis

Research Project

Project/Area Number 16540110
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field General mathematics (including Probability theory/Statistical mathematics)
Research InstitutionKagoshima University

Principal Investigator

KONDO Masao  Kagoshima University, Faculty of Science, Professor, 理学部, 教授 (70117505)

Co-Investigator(Kenkyū-buntansha) YAMATO Hajime  Kagoshima University, Faculty of Science, Professor, 理学部, 教授 (90041227)
INADA Koichi  Kagoshima University, Faculty of Science, Professor, 理学部, 教授 (20018899)
Project Period (FY) 2004 – 2005
Project Status Completed (Fiscal Year 2005)
Budget Amount *help
¥2,400,000 (Direct Cost: ¥2,400,000)
Fiscal Year 2005: ¥1,000,000 (Direct Cost: ¥1,000,000)
Fiscal Year 2004: ¥1,400,000 (Direct Cost: ¥1,400,000)
Keywordstime series analysis / nonparametric / robust / ノンパラメトリック法 / ロバスト性
Research Abstract

This research is concerned with the estimation of the autocorrelation of a stationary Gaussian process by nonparametric and robust method without assuming a specific parametric model, and the tests based on nonparametric spectral estimators in time series analysis.
We discuss the estimation of the autocorrelation based on limiter estimating functions for a stationary Gaussian process having the representation of an infinite moving average. Several new estimators are proposed and their asymptotic distributions are obtained. The estimation of the autocorrelation of a stationary Gaussian process with additive outliers is discussed. The biases of several estimators of the autocorrelation based on limiter estimating functions are compared.
We consider to test whether the integral of appropriate function of the spectral density is equal to a given constant or not. For this problem a test based on a nonparametric spectral estimator is proposed, and the asymptotic power evaluation under a sequence of nonparametric contiguous alternatives is given. We discuss to test whether the integral of appropriate function of the spectral density of a process, is equal to that of the other process, or not.

Report

(3 results)
  • 2005 Annual Research Report   Final Research Report Summary
  • 2004 Annual Research Report
  • Research Products

    (2 results)

All 2005

All Journal Article (2 results)

  • [Journal Article] Asymptotic properties of linear combinations of U-statistics with degenerate kernels2005

    • Author(s)
      H.Yamato, M.Kondo,, K.Toda
    • Journal Title

      Journal of Nonparametric Statistics 17・2

    • NAID

      120001391200

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2005 Final Research Report Summary
  • [Journal Article] Asymptotic properties of linear combinations of U-statistics with degenerate kernels2005

    • Author(s)
      H.Yamato, M.Kondo, K.Toda
    • Journal Title

      Journal of Nonparametric Statistics 17・2

      Pages: 187-199

    • NAID

      120001391200

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2005 Annual Research Report 2005 Final Research Report Summary

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Published: 2004-04-01   Modified: 2016-04-21  

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