2002 Fiscal Year Annual Research Report

超高次元時系列における予測および情報抽出の方法

Research Project

Project/Area Number	14380127
Research Category	Grant-in-Aid for Scientific Research (B)
Research Institution	The Institute of Statistical Mathematics
Principal Investigator	北川源四郎統計数理研究所, (管理部), 所長 (20000218)
Co-Investigator(Kenkyū-buntansha)	川崎能典統計数理研究所, 予測制御研究系, 助手 (70249910) 樋口知之統計数理研究所, 予測制御研究系, 教授 (70202273) 田村義保統計数理研究所, 統計計算開発センター, 教授 (60150033) 小西貞則九州大学, 大学院・数理学研究院, 教授 (40090550) 佐藤整尚統計数理研究所, 予測制御研究系, 助教授 (60280525)
Keywords	超多変量時系列 / 多変量ARモデル / 状態空間モデル / 知識発見 / 逐次計算アルゴリズム / 一般化情報量規準 / パワー寄与率 / 予測
Research Abstract	研究の初年度である今年度はさまざまな個別科学分野における研究対象の典型的なデータの収集,問題点の検討を行うとともに,新しいモデリング,分析法,計算法の開発を目指した予備的な研究を行った. 具体的には以下のとおり. 1.データの収集と問題点の整理海底地震計データ(高波),GPSデータ(樋口),cDNAマイクロアレイデータ(樋口),POSデータ(近藤),金融・経済データ(川崎,佐藤)の収集・予備的な分析を行い,超高次元における問題点の検討を行った. 2.超高次元ARモデルの推定アルゴリズム一般の高次元ARモデルのための逐次推定アルゴリズムの改良を行った.さらに超高次元の時系列への拡張のために内部の空間構造を自動的に推定する方法の研究を行った. 3.多変量時系列のシステム解析法の研究本研究の当初の計画には考えられていなかったが,上記2の研究と関連して,外乱間の無相関性の仮定のもとで定義された従来のパワー寄与率の概念を,外乱に相関がある場合に拡張する可能性があることを発見し,その計算法の研究および実データによる問題点の検討を行った. 4.高次元動的モデルの研究モンテカルロフィルタのアルゴリズムを用いて非線形高次元システムの状態推定を行う方法の研究を行った.とくに,並列計算のアルゴリズムやモンテカルロフィルタを利用して多数のカルマンフィルタを並列して計算する方法の研究を行った.

Research Products
(19 results)

All Other

All Publications (19 results)

[Publications] Kitagawa, G., Takanami, T., Kuwano, A., Murai, Y., Shimamura, H.: "Extraction of Signal from High Dimensional Time Series : Analysis of Ocean Bottom Seismograph Data"Progress in Discovery Science, Lecture Notes in Artificial Intelligence. No.2281. 449-458 (2002)
[Publications] Sivaji, C., Nishizawa, O., Kitagawa, G, Fukushima, Y.: "A physical-model study of the statistics of seismic waveform fluctuations in random heterogeneous media"Geophysical Journal International. Vol.148. 575-595 (2002)
[Publications] H.Nagao, T.Iyemori, T.Higuchi, S.Nagano, T.Araki: "Local Time Features of Geomagnetic Jerks"Earth Planets and Space. Vol.54. 119-131 (2002)
[Publications] Ueno, G., N.Nakamura, T.Higuchi, T.Tuschiya, S.Machida, T.Araki: "Application of multivariate Maxwellian mixture model to plasma velocity distribution"Progresses in Discovery Sience, Lecture Notes in Computer Science, Springer-Verlag. Vol.2281. 372-383 (2002)
[Publications] Nagao, H., T.Higuchi, T.Iyemori, T.Araki: "Automatic detection of geomagnetic jerks by applying a statistical time series model to geomagnetic monthly means"Progresses in Discovery Science, Lecture Notes in Computer Science., Springer-Verlag. Vol.2281. 360-371 (2002)
[Publications] Higuchi, T., S.-I.Ohtani, T.Uozurni, K.Yumoto: "Pi2 onset time determination with information criterion"Journal of Geophysical Research. Vol.107,No.A7. (2002)
[Publications] Kitagawa, G., Higuchi, T., F.N.Kondo: "Smoothness Prior Approach to Explore Mean Structure in Large Time Series"Theoretical Computer Science. Vol.292,No.2. 431-446 (2003)
[Publications] H.Nagao, T.Iyemori, T.Higuchi, T.Araki: "Lower Mantle Conductivity Anomalies Estimated from Geomagnetic Jerks"Journal of Geophysical Research-Solid Earth. (to appear). (2003)
[Publications] 川崎能典, 安道知寛: "正則化非線形回帰モデルによるイールドカーブの推定"統計数理. Vol.50,No2. 151-166 (2002)
[Publications] Kawasaki, Y., Franses, P., H.B.F.: "Detecting seasonal unit roots in a structural time series model"Journal of Applied Statistics. Vol.30,No.4. 373-387 (2003)
[Publications] Kitagawa, G., Takanami, T.: "Extraction of small seismic signal by state space modeling"Methods and Applications of Signal Processing in Seismic Network Operations, Lecture Notes in Earth Sciences. 1-12 (2002)
[Publications] Takanami, T., Kitagawa, G.: "Multivariate time series model to estimate arrival aimes of S waves"Methods and Applications of Signal Processing in Seismic Network Operations, Lecture Notes in Earth Sciences. 13-39 (2002)
[Publications] Kitagawa, G., Takanami, T., Kuwano, A., Murai, Y., Shimamura, H.: "Extraction of signal from high dimension time series : Analysis of Ocean Bottom Seismograph data, Progress in Discovery Science"Lecture Notes in Computer Sciences, Springer-Verlag. Vol.2281. 449-458 (2002)
[Publications] Ichikawa, M., Konishi, S.: "Asymptotic expansions and bootstrap approximations in factor analysis"Journal of Multivariate Analysis. Vol.81. 47-66 (2002)
[Publications] Konishi, S.: "Theory for statistical modeling and information criteria -Functional approach -"Sugaku Expositions American Mathematical Society. Vol.15,No.1. 89-106 (2002)
[Publications] Konishi, S., Kitagawa, G.: "Asymptotic Theory for Information Criteria in Model Selection -Functional Approach"Journal of Statistical Planning and Inference. (to appear). (2003)
[Publications] Ando, T., Konishi, S.: "Neural network nonlinear regression modeling and Information Criteria"the Proceedings of the 8th International Conference on Forum for Interdisciplinary Mathematics. (to appear). (2003)
[Publications] Kondo, Fumiyo N.: "Simulation Study on Decomposition of Price Promotion Effect in Competitive Structure"Proceedings of the 6^<th> World Multiconference on Systemics, Cybernetics and Informatics, Vol.XVIII, Information Systems Development III. 269-275 (2002)
[Publications] Takanarni, T., Kitagawa, G.: "Methods and Applications of Signal Processing in Seismic Network Operations, Lecture Notes in Earth Sciences"Springer-Verlag, Heidelberg. 268 (2002)

2002 Fiscal Year Annual Research Report

超高次元時系列における予測および情報抽出の方法

Principal Investigator

北川 源四郎 統計数理研究所, (管理部), 所長 (20000218)

Research Products

[Publications] Kitagawa, G., Takanami, T., Kuwano, A., Murai, Y., Shimamura, H.: "Extraction of Signal from High Dimensional Time Series : Analysis of Ocean Bottom Seismograph Data"Progress in Discovery Science, Lecture Notes in Artificial Intelligence. No.2281. 449-458 (2002)

[Publications] Sivaji, C., Nishizawa, O., Kitagawa, G, Fukushima, Y.: "A physical-model study of the statistics of seismic waveform fluctuations in random heterogeneous media"Geophysical Journal International. Vol.148. 575-595 (2002)

[Publications] H.Nagao, T.Iyemori, T.Higuchi, S.Nagano, T.Araki: "Local Time Features of Geomagnetic Jerks"Earth Planets and Space. Vol.54. 119-131 (2002)

[Publications] Ueno, G., N.Nakamura, T.Higuchi, T.Tuschiya, S.Machida, T.Araki: "Application of multivariate Maxwellian mixture model to plasma velocity distribution"Progresses in Discovery Sience, Lecture Notes in Computer Science, Springer-Verlag. Vol.2281. 372-383 (2002)

[Publications] Nagao, H., T.Higuchi, T.Iyemori, T.Araki: "Automatic detection of geomagnetic jerks by applying a statistical time series model to geomagnetic monthly means"Progresses in Discovery Science, Lecture Notes in Computer Science., Springer-Verlag. Vol.2281. 360-371 (2002)

[Publications] Higuchi, T., S.-I.Ohtani, T.Uozurni, K.Yumoto: "Pi2 onset time determination with information criterion"Journal of Geophysical Research. Vol.107,No.A7. (2002)

[Publications] Kitagawa, G., Higuchi, T., F.N.Kondo: "Smoothness Prior Approach to Explore Mean Structure in Large Time Series"Theoretical Computer Science. Vol.292,No.2. 431-446 (2003)

[Publications] H.Nagao, T.Iyemori, T.Higuchi, T.Araki: "Lower Mantle Conductivity Anomalies Estimated from Geomagnetic Jerks"Journal of Geophysical Research-Solid Earth. (to appear). (2003)

[Publications] 川崎能典, 安道知寛: "正則化非線形回帰モデルによるイールドカーブの推定"統計数理. Vol.50,No2. 151-166 (2002)

[Publications] Kawasaki, Y., Franses, P., H.B.F.: "Detecting seasonal unit roots in a structural time series model"Journal of Applied Statistics. Vol.30,No.4. 373-387 (2003)

[Publications] Kitagawa, G., Takanami, T.: "Extraction of small seismic signal by state space modeling"Methods and Applications of Signal Processing in Seismic Network Operations, Lecture Notes in Earth Sciences. 1-12 (2002)

[Publications] Takanami, T., Kitagawa, G.: "Multivariate time series model to estimate arrival aimes of S waves"Methods and Applications of Signal Processing in Seismic Network Operations, Lecture Notes in Earth Sciences. 13-39 (2002)

[Publications] Kitagawa, G., Takanami, T., Kuwano, A., Murai, Y., Shimamura, H.: "Extraction of signal from high dimension time series : Analysis of Ocean Bottom Seismograph data, Progress in Discovery Science"Lecture Notes in Computer Sciences, Springer-Verlag. Vol.2281. 449-458 (2002)

[Publications] Ichikawa, M., Konishi, S.: "Asymptotic expansions and bootstrap approximations in factor analysis"Journal of Multivariate Analysis. Vol.81. 47-66 (2002)

[Publications] Konishi, S.: "Theory for statistical modeling and information criteria -Functional approach -"Sugaku Expositions American Mathematical Society. Vol.15,No.1. 89-106 (2002)

[Publications] Konishi, S., Kitagawa, G.: "Asymptotic Theory for Information Criteria in Model Selection -Functional Approach"Journal of Statistical Planning and Inference. (to appear). (2003)

[Publications] Ando, T., Konishi, S.: "Neural network nonlinear regression modeling and Information Criteria"the Proceedings of the 8th International Conference on Forum for Interdisciplinary Mathematics. (to appear). (2003)

[Publications] Kondo, Fumiyo N.: "Simulation Study on Decomposition of Price Promotion Effect in Competitive Structure"Proceedings of the 6^<th> World Multiconference on Systemics, Cybernetics and Informatics, Vol.XVIII, Information Systems Development III. 269-275 (2002)

[Publications] Takanarni, T., Kitagawa, G.: "Methods and Applications of Signal Processing in Seismic Network Operations, Lecture Notes in Earth Sciences"Springer-Verlag, Heidelberg. 268 (2002)

北川源四郎統計数理研究所, (管理部), 所長 (20000218)