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1998 Fiscal Year Final Research Report Summary

Research on Seasonal Adjustment of Economic Time Series

Research Project

Project/Area Number 08045018
Research Category

Grant-in-Aid for international Scientific Research

Allocation TypeSingle-year Grants
SectionUniversity-to-University Cooperative Research
Research Field Economic statistics
Research InstitutionThe Institute of Statistical Mathematics

Principal Investigator

KITAGAWA Genshiro  The Inst.of Statist.Math., Professor, 予測制御研究系, 教授 (20000218)

Co-Investigator(Kenkyū-buntansha) KAWASAKI Yoshinori  The Inst.of Statist.Math.Assist.Prof., 予測制御研究系, 助手 (70249910)
HIGUCHI Tomoyuki  The Inst.of Statist.Math.Assoc.Prof., 予測制御研究系, 助教授 (70202273)
TAMURA Yoshiyasu  The Inst.of Statist.Math.Professor, 統計計算開発センター, 教授 (60150033)
ISHIGURO Makio  The Inst.of Statist.Math.Professor, 予測制御研究系, 教授 (10000217)
OZAKI Tohru  The Inst.of Statist.Math.Professor, 予測制御研究系, 教授 (00000208)
Project Period (FY) 1996 – 1998
KeywordsTime Series Analysis / State space model / Nonlinear / Non-Gaussian model / Kalman filter / Monte Carlo filter / Smoothing / Software for Web
Research Abstract

The objective of this research was to render the theoretical considerations to the various problems in statistical seasonal adjustment, and to develop new methods based on the state-of-art techniques in modern time series analysis. The summary of our research report follows.
(1)Development of new procedures
Seasonal adjustment methods based on Monte Carlo filter and smoother, and on dynamical system approach were proposed. Dynamic X-11 model successfully gives explicit model form to X-11, which is defined in an essentially non-parametric way. Monte Carlo filter/smoother deals with higher-dimensional seasonal adjustment problem allowing non-linearity and non-Gaussianity, which was next to impossible by the existing statistical methods. Thsi method was applied to the seasonal adjustment of small count data which seemingly contains quasi-periodic components.
(2)Enhancement and characterization of seasonal models
Macroeconomic system was estimated based on the multivariate seasonal adjustment. These kind of composite seasonal adjustment could be more important in the near future. Extension of seasonal models to time-space data was also considered. Finally, the research on the characterization of linear Gaussian model based seasonal adjustment was done in terms of the optimality of seasonal adjustment. Comparative study between DECOMP and X-12 ARTMA was also performed through simulations.
(3)Software development
The most successfull software product is Web-DECOMP.Users are free from instaling softwares on local disks or free from recompilation of software codes, but they simply can execute seasonal adjustment program DECOMP through internet browsers. On the other hands, U.S.Bureau of the Census almost completed their new version of software, X-12-ARIMA.The most updated version and its documentation (but not the official release yet at present) can be downloaded via their ftp site (ftp.census.gov).

  • Research Products

    (30 results)

All Other

All Publications (30 results)

  • [Publications] Higuchi, T.: "Processing of Time Series Data Obtained by Satellites" The Practice of Time Series Analysis (cds.H.Akaike and G.Kitagawa). 313-326 (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Higuchi, T.: "Applications of Quasi-Periodic Oscillation Models to Soasonal Small Count Time Series" Computational Statistics and Data Analysis. in press. (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 石黒 真木夫: "目的論的モデル" 統計数理. 46, 2 in press. (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 川崎 能典: "「季節調整に関する実務的な諸問題」へのコメント" 統計数理. 45. 207-211 (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Kitagawa, G.: "Monte Carlo filtering and smoothing for nonlinear non-Gaussian state space model" Proc.29th ISCIE Int.Symp.on Stochastic Systems Theory and Its Appl.1-6

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Kitagawa, G.: "Self-Organizing State Space Model" Journal of the American Statistical Association. 1203-1215 (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Kitagawa, G., Higuchi, T.: "Automatic Transaction of Signal via Statistical Model" Discovery Science, Lecture Notes in Artificial Intelligence. 1532. 375-386 (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 北川 源四郎, 樋口 知之: "予測とモデル" 数理科学. 9月号. 11-18 (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Takizawa, Y.et al.: Proc.of EUSIPCO'98. 661-664 (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Tkizawa, Y.(Fukasawa, F.): "Basic Understanding on Spread Spectrum Communication and Its Application to Mobile Radio Communications" Journal of Institute of Electronics, Information and Communication Engineers(TEICE). 81, 1. 51-59 (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 田村 義保 (原 啓明): "「複雑な粘弾性物質のモデルと逆問題:Riemann-Liouville 積分表示」" 統計数理. 46, 2. 477-492 (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 池島 厚, 田村 義保: "「斜状骨欠損および歯周組織のX線学的検討」" 日大口腔科学. 24, 4. 289-295 (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Tamura, Y (Shi, Z.,): "Nonlinear Time Series Modeling by Radial Basis Function-Based State-Dependent Autoregressive Model" International Journal of System Science. (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Shi, Z.(Tamura, Y.): "A Study on Real-Time Detecting Machine Tool Chatter" International Journal of the Japan Society for Precision Engineering. 32. 178-182 (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 田村 義保(下平 文彦): "統計データ解析における並列計算機システムの性能評価" 統計数理. 46. 445-460 (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Yafune, A. and Ishiguro, M.: "Bootstrap Approach for Constructing Confidence Intervals for Population Pharmacokinetic Parameters (Part I)-A Use of Bootstrap Standard Error-" Statistics in Medicine. in press. (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Ozaki, T., Jimenez, J.C., Biscay, R and Valdes, P.: "Nonlinear Time Series Models and Neural Dynamical Systems" Nonlinear Dynamics and Brain Functioning. (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Ozaki, T. and Thomson, P.: "A dynamic nonlinear model for X-11" Research Memorandum of the lnst.of Statist.Math.707. (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] H.Akaike, G.Kitagawa (eds.): "The Practice of Time Series Analysis" Springer-Verlag, 386 (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 尾崎 統, 北川 源四郎 編: "時系列解析の方法" 朝倉書店, 185 (1988)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Higuchi, T.: "Processing of Time Series data Obtained by satellites" The Practice of Time Series Analysis Springer-Verlag. 313-326 (1999)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Higuchi, T.: "Applications of Quasi Periodic Occilation Models to Seasonal Count Time Series" Computational Statistics and Data Analysis. (in press). (1999)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Kitagawa, G: "Monte Carlo filtering and smoothing for nonlinear Non-Gaussian state space model" Proc.29^<th>ISCIE Int.Symp.Stochastic Systems Theory and Its Applications. 1-6. (1999)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Kitagawa, G: "Self-Organizing State Space Model" Journal of the American Statistical Association. 93. 1203-1215 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Kitagawa, G.and Higuchi, T: "Automatic transaction of signal Via statistical model" Discovery Science, Lecture Notes in Artificial Intelligence. 1532. 375-386 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Takizawa, Y.and Fukasawa, F: "Basic Understanding on Spread Spectrum Communication and its Application to Mobile Radio Communications" J.of Institute of Electronics, Information and Communication Engineers. 51-59 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Yafune, A.and Ishiguro, M: "Bootstrap Approach for Constructing Confidence Intervals for Population Pharmacokinetic Parameters, A Use of Bootstrap Standar Error" Statistics in Medicine, 1998.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Kitagawa, G.and Higuchi, T: "Prediction and Models(in Japanese)" Mathematical Science. 11-18 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] H.Akaike and Kitagawa, G: The Practice of Time Series Analysis. Springer-Verlag, 386 (1999)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Ozaki, T.and Kitagawa, G: The method of Time Series Analysis, (in Japanese). Asakura Pub.Co., 185 (1998)

    • Description
      「研究成果報告書概要(欧文)」より

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Published: 1999-12-08  

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