| Budget Amount *help |
¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
Fiscal Year 2012: ¥520,000 (Direct Cost: ¥400,000、Indirect Cost: ¥120,000)
Fiscal Year 2011: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2010: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Research Abstract |
ARMA models are parsimonious stochastic models for time series. Given a set of time series, we can cluster them by regarding that they were drawn from a mixture of ARMA models and by fitting the model to them, where if the mixture model is a Dirichlet process mixture, the number of the clusters can be simultaneously estimated. In this work, we have developed a Markov Chain Monte Carlo method to fit a Dirichlet process mixture of ARMA models to a set of time series.
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