Various types of decompositions of discrete-time stochastic processes and their applications to time series analysis
| Project/Area Number |
22740067
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
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| Research Institution | Ehime University |
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Principal Investigator |
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| Research Collaborator |
KLIMEK Maciej ウプサラ大学(スウェーデン), 数学科, 教授
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| Project Period (FY) |
2010-04-01 – 2014-03-31
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| Project Status |
Completed (Fiscal Year 2013)
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| Budget Amount *help |
¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
Fiscal Year 2013: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2012: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2011: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2010: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
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| Keywords | 時系列解析 / 確率過程 / 数理工学 |
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| Research Abstract |
In this research we investigated methods for the analysis of time series (set of data observed over time; e.g. stock prices, seismic waves), especially from the viewpoint of decompositions of discrete-time stochastic processes (such as "Fluctuation-dissipation decomposition", "Trigonometric decomposition" and "White noise decomposition"). These decompositions have potential applications to, e.g., detection of abnormal behavior in time series, classification of time series by extracting their characteristics, and secret sharing schemes for time series. With this in mind, we implemented the algorithms for these decompositions based on the fundamental mathematical research.
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Report
(5 results)
Research Products
(6 results)
