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1987 Fiscal Year Final Research Report Summary

Study on Statistical Inference in Time Series Analysis and Related Fields

Research Project

Project/Area Number 61302007
Research Category

Grant-in-Aid for Co-operative Research (A)

Allocation TypeSingle-year Grants
Research Field General mathematics (including Probability theory/Statistical mathematics)
Research InstitutionTokyo Institute of Technology

Principal Investigator

HUZII M.  Tokyo Institute of Technology, 理学部, 教授 (70016343)

Co-Investigator(Kenkyū-buntansha) AKAHIRA M.  University of Tsukuba, 数学系, 教授 (70017424)
TAKAHASHI Y.  The University of Tokyo, 教養学部, 助教授 (20033889)
KAMAE T.  Osaka City University, 理学部, 教授 (80047258)
KONISHI S.  The Institute of Statistical Mathematics, 統計基礎研究系, 助教授 (40090550)
HENNA J.  University of the Ryukyus, 短期大学部, 助教授 (80045195)
Project Period (FY) 1986 – 1987
Keywordstime series analysis / parametric model / statistic / correlation structure / non-standard analysis / central limit theorem / information theory / 動的システム
Research Abstract

The project is composed of 10 themes. We had 10 research groups for studying these themes. Members of each group are formed of resrarchers in Probability theory, Mathematical Statistics, other fields in Mathematics, Physics, Engineering, Economics and so on. Each group had symposiums. There, many new results were presented, we discussed them and researchers in different fields exchanged their opinions from different points of view. And these discussions contributed the development of reseaechs very much. The themes are as follows. 1. Application of non-standard analysis (Organizer: T.Kamae), 2. Central limit theorem (S. Ito and Y.Takahashi), 3. Information theory and related topics (S. Ihara), 4. Diophantine approximation and geodesic flow (S.Ito and Y.Takahashi), 5. Stochastic problems in Mathematical Physics (T.Shiga), 6. Methods of estimation in engineering fields (K,Iwase and S.Mase), 7. Estimation and testing statistical hypotheses in parametric models (M.Akahira and N.Inagaki), 8. Properties of estimators and related statistics (J.Henna), 9. Model analysis of data having correlation structure (S.Konishi), 10. Mathematical analysis of dynamic system and applications (S.Iwamoto)
We published the proceedings. Some of our results are: application to Fourier analysis (in Theme 1), some results on central limit theorem of mixed type (in 2), some results on entropy, large deviation and information of time series (in 3), some results on Diophantine approximation viewed form Ergodic theory (in 4), some results on percolation models and Ising models (in 5), new problems in estimation in engineering fields (in 6), higher order asymptotic efficiency of certain test statistics (in 7), distribution of coefficient of variation for non-normal populations (in 8), Baysian spproach in factor analysis (in 9), some results in Markov decision problems (in 10).

  • Research Products

    (99 results)

All Other

All Publications (99 results)

  • [Publications] 赤平昌文: 京都大学数理解析研究所講究録. 590. 33-49 (1986)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] M. Akahira; M.L. Puri; K. Takeuchi: Ann. Inst. Statist. Math.38. 35-44 (1986)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] M. Akahira; K. Takeuchi: Publications de l′Institutede Statistique, Universite de Paris. XXXI. 1-16 (1986)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] K. Takeuchi; M. Akahira: Metrika. 33. 85-91 (1986)

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      「研究成果報告書概要(和文)」より
  • [Publications] K. Takeuchi; M. Akahira: Metruka. 33. 217-222 (1986)

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      「研究成果報告書概要(和文)」より
  • [Publications] M. Akahira: Metrika. 33. 382-383 (1986)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] M. Akahira; K. Takeuchi: Fundations of Statistical Inference, Advances in the Statistical Sciences, Reidel Publishing Company, Dordrecht-Holland. II. 199-208 (1987)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] M. Akahira; K. Takeuchi: Metrika. 34. 1-15 (1987)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 赤平昌文: 京都大学教理解析研究所講究録. 623. 43-53 (1987)

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      「研究成果報告書概要(和文)」より
  • [Publications] M. Akahira: Ann. Inst. Statist. Math.39. 25-36 (1987)

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      「研究成果報告書概要(和文)」より
  • [Publications] Jogi Henna: Journal of Japan Statiatical Society. 16. 133-143 (1986)

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      「研究成果報告書概要(和文)」より
  • [Publications] Jogi Henna: Journal of Japan Statistical Society.

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      「研究成果報告書概要(和文)」より
  • [Publications] M. Huzii: Research Reports on Information Sciences, Dept. of Information Sciences, Tokyo Institute of Technology. NO.B-183. 1-27 (1986)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] M. Huzii K.Matusita Ed.: Research Reports on Information Sciences, Dept. of Information Siences,Tokyo Institute of Technology Statistical Theory and Data Analysis II, North-Holland Pubilshing Company, Amsterdam. NO.B-190. 1-14 (1987)

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      「研究成果報告書概要(和文)」より
  • [Publications] M. Huzii: International Statistical Institute, 46th Session. 179-180 (1987)

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      「研究成果報告書概要(和文)」より
  • [Publications] Shunsuke Ihara: Mem. Fac. Sci. Kochi Univ. (Math.). 8. 31-42 (1987)

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      「研究成果報告書概要(和文)」より
  • [Publications] Shunsuke Ihara: Mem. Fac. Sci. Kochi Univ. (Math.). 9. (1988)

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      「研究成果報告書概要(和文)」より
  • [Publications] Shunji ITO; Masahiro MIZUTANI; Toshio Niwa: Juinal Math. of Kyoto Univ.26. 1-12 (1986)

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      「研究成果報告書概要(和文)」より
  • [Publications] Shunji ITO: Tokyo Jouinal of Math.9. 115-133 (1986)

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      「研究成果報告書概要(和文)」より
  • [Publications] Shunji ITO; Nitoshi NAKADA: Hugary Math. Jouinal.

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      「研究成果報告書概要(和文)」より
  • [Publications] 伊藤俊次: 数字. 39. 140-158 (1987)

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      「研究成果報告書概要(和文)」より
  • [Publications] Siwamoto; C-LAANG: Journal of nathematical snalysis and Applications. VOL.118. 276-286 (1986)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] S. IWAMOTO ; R.J.TOMKINS; C-L WANG: Journal of nathematical Analysis and Applications. VOL.119. 282-299 (1986)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] S. IWAMOTO; R.J.TOMKINS; C-L WANG: Proceedinys of the 15th Conference on Numerical Nathematics and Computing ; Congressus Numerantium. VL.51. 193-207 (1986)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] S.IWANOTO;R.J.TOMKINS;C-L WANG: Generol Inequalities 5:Proceedings of the 5th Knternatinal conferenu on Genual Inequalitios. ISNM(Internatinal Series of Numerical Nathematics) Ed.W. Walter. VOL.80. 419-432 (1987)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 岩本誠一: 経済学研究(九州大学経済学会). 52. 569-592 (1987)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 岩本誠一: 京都大学数理研究所講究録. 611. 99-121 (1987)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 岩本誠一: オペレーションズ・リサーチ. 32. 399-403 (1987)

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      「研究成果報告書概要(和文)」より
  • [Publications] S.IWAMTO,RJ.TOMKINS and C-L WANG: Journal of Mathematical Analysis and Applications. TO APPEAR.

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 岩本誠一: 経済学研究(九州大学経済学会). 53. (1987)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 岩瀬晃盛: 広島大学工学部研究報告. 34. 223-230 (1986)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] K.Iwase and N.Seto: Commun. Statist.-Theory Meth.15. 279-289 (1986)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] K.Iwase: Commun. Statist-Theory Mzth.15. 2449-2453 (1986)

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      「研究成果報告書概要(和文)」より
  • [Publications] K. Iwase: Commun. Statist-Theory Meth.15. 3559-3566 (1986)

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      「研究成果報告書概要(和文)」より
  • [Publications] K. Iwase: Mem. Fac. Eng. Hiroshima Univ.9. 21-24 (1987)

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      「研究成果報告書概要(和文)」より
  • [Publications] K.Iwase: Commun Statist. Theory Meth.16. 1315-1320 (1987)

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      「研究成果報告書概要(和文)」より
  • [Publications] K.Shimizu; K.Iwase: Commun. Statist. Theory Meth.16. 2145-2154 (1987)

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      「研究成果報告書概要(和文)」より
  • [Publications] T.KAMAE: Japan Journal of Applied Mathewatics. 271-280 (1986)

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      「研究成果報告書概要(和文)」より
  • [Publications] Sadanori Konishi I.B.Macneill; G.J.Umphrey,Es.: Biostatics D. Reidel Publishing Company.225-233 (1987)

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      「研究成果報告書概要(和文)」より
  • [Publications] Sadanori Konishi A.K.Gupta Ed.: To appear in Professor K.C.S.Pillai′s memorial volume ″Advances in Multivariate Statistical Analysis″ D.Reidel Publishing Company.(1987)

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      「研究成果報告書概要(和文)」より
  • [Publications] Sadanori Konishi; Naoto Niki A. K. Gupta: To appear in Annals of the Institute of Statistical Mathematics.(1987)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Naoto Niki; Sadanori Konishi: Proceediqs of the Second Jopan-China Symposium on Statistics, Kyushu University.185-188 (1986)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Masayuki Honda; Sadanori Konishi K. Matusita ED: To appear in ″Statistical Theory and Data Analysis II″ North-Holland Publishing Company, Amsterdam.(1987)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] T.Shiga; K. Uchiyama: Probab. Th. Rel. Fields. 73-1. 87-117 (1986)

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      「研究成果報告書概要(和文)」より
  • [Publications] T.Shiga: J.Math. Soc. Japan. 1.39-1. 17-25 (1987)

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      「研究成果報告書概要(和文)」より
  • [Publications] T.shiga: J. Math. Kyoto Univ.1.27-2. 195-215 (1987)

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      「研究成果報告書概要(和文)」より
  • [Publications] Y.Takahashi: Proc. Taniquchi International symp. Katata, 1985 Probabilistic mefhods in probability theory, Kinokuniya. 363-384 (1986)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Y.takahashiJ.Takahoshi: Proc. 5th Japan-USSR Symp. on Probability Theory Springer lecture notes.

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Y.Takahashi S.Albeverio et al. (eds): Stochastic Processes in Physics and Engineering (Proc. of BIBOS IV),Reidel publ.co. 1986,Bielefeld.

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Y.Takahashi: Proc. Symp. on Dynamical System, Kyoto 1987 Dynam. Sys. Series,World Science.

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] MAkahira: "The Structure of Asymptotic Dificience of Estimators" Aueen′s University Press, Kingston, Ontario, Conada, IV+202 (1986)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 岩本 誠一: "動的計画論" 九州大学出版会, 274 (1987)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] M. Akahira: "Second order asymptotic potimality of estimators for the non-regular distributions" 590. 33-49 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] M. Akahira, M.L. Puri and K. Takeuchi: "Bhattacharyya bound of variances of unbiased estimators in non-regular cases" Ann. Inst. Statist. Math. 38. 35-44 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] M. Akahira and K. Takeuchi: "On the bound of the asymptotic distribution of estimators when the maximum order of consistency depends on the parameter" Publications de I'Institute de Statistique, Universty de Paris. XXXI. 1-16 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] K. Takeuchi and M. Akahira: "A note on minimum variance" Metrika. 33. 85-91 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] K. Takeuchi and M. Akahira: "A note on optimum spacing of observations from a continuous time simple Markov proces" Metrika. 33. 217-222 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] M. Akahira: "Book Review : Asymptotic expansions for general statistical models by J. Pfanzagl with the assistance of W. Wefelmeyer" Mitrika. 33. 382-383 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] M. Akahira: "The Structure of Asymptotic Deficiency of Estimators" Queen's University Press, Kingston, Ontario, Canada. (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] M. Akahira and K. Takeuchi: "Locally minimum variance unbiased estimator in a discontinuous density function" Metrika. 34. 1-15 (1987)

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      「研究成果報告書概要(欧文)」より
  • [Publications] M. Akahira: "Amount of information in non-regular estimation" 623. 43-53 (1987)

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      「研究成果報告書概要(欧文)」より
  • [Publications] M. Akahira: "Second order asymptotic comparison of estimators in the double exponential case" Ann. Inst. Statist. Math.39. 25-36 (1987)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] J. Henna: "An application of a mixture method to a classification" J. of Japan Statistical Society. 16. 133-143 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Mi Huzii: "Some properties of likelihood functions for time series model fittings" Resesrch Reports on Information Sciences, Dept. of Information Sciences,Tokyo Institute of Technology. No. B-183. 1-27 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] M. Huzii: "Properties of predictors for seasonal time series International Satistical Institute" 46th Session. 179-180 (1987)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] S. Ihara: "Relationship between the constraints and the minimum relative entropy spectraldensity of time series" Nem. Fac. Sci. Kochi Univ. (Math). 8. 31-42 (1987)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] S. Ihara: "Capacity of discrete time Gaussian channel with and without feedback" I, Mem. Fac. Sci. Kochi Univ. (Math.). 9. (1988)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] S. Ihara: "Capacity of mismatched Gaussian channel with and without feedback"

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  • [Publications] S. Ito, M. Mizutani and T. Niwa: "On the time ovolution of Bolzmann entropy" J. Math. of Kyoto Univ.26. 1-12 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] S. Ito: "Some skew product transformation associated with continued fractions and invariant measutes" Tokyo Journal of Math. 9. 115-133 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] S. Ito and N. Nakada: "Approximations of real unmbers by the sequence {n } and their metrical theory"

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] S. Iwamoto and C.-L. Wang: "Continuous dynamic programming approach to inequalities II" Journal of Mathematical Analysis and Applications. 118. 276-286 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] S. Iwamato ,R. J. Tomkins and C.-L. Wang: "Some theorems on reverse inequalities" Journal of Mathematical Analysis and Applications. 119. 282-299 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] S. Iwamoto ,R. J. Tomkins and C.-L. Wang: "Sequential control for unknown influences" Proceedings of the 15th Conference on Numerical Mathematics and Computing;Congressus Numerantium. 51. 193-207 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] S. Iwamoto, R. J. Tomkins and C.-L. Wang: "Inequalities and mathematical programming III, General Inequalities 5: Proceedings of the 5th International Conference on General Inequalities" ISNM (Ed. W. Walter). 80. 419-432 (1987)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] S. Iwamoto, R. J. Tomkins and C.-L. Wang: "A generalization of Holder inequality through dynamic programming approach" Journal of Mathematical Analysis and Applications.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] K.Iwase and N. Seto: "Incomplete sufficient unbiased estimator in the problem of the Nile" Commun. Statist.-Theory Meth. 15. 279-289 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] K. Iwase: "UMVU estimator of the probability in the geometric distribution with unknown truncation parameter" Commun. Statist.-Theory Meth. 15. 2449-2453 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] K. Iwase: "UMVU estimation of the cumulative hazard function in a Pareto distribution of the first kind" Commun. Statist.-Theory Meth. 15. 3559-3566 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] K. Iwase: "On UMVU estimators of Pr{Y@x} in the 2-parameter exponetial case" Mem. Fac. Eng. Hiroshima Univ. 9. 21-24 (1987)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] K. Iwase: "UMVU estimation for the inverse Gaussian distribution I( ,c ) with known c" Commun. Satist.-Theory Mwth. 16. 1315-1320 (1987)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] K. Shimizu and K. Iwase: "Unbiased estimation of the autocovariance function in a stationary generalizedlognormal process" Commun. Statist.-Theory Mwth. 16. 2145-2154 (1987)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] S. Konishi, N, Niki and A.K.Gupta: "Asymptotic expansions for the distribution of quadratic forms in normal variables" Annals of the Institute of Statistical Mathematics. (1987)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] T. Shiga & K. Uchiyama: "Stationary states and their stability of the stepping stone model involving mutation and selection" Probab. Th. Rel Fields. 73. 87-117 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] T. Shiga: "A certain class of infinite dimensional diffusion processes arising in population genetics" J. Math. Soc. Japan. 39. 17-25 (1987)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] T. Shiga: "Existence and uniqueness of solutions for a class of non-linear diffusion equations" J. Math. Kyoto Univ.27. 195-215 (1987)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Y. Takahashi: "Long time asymptotics of the ratio of measures of small tubes and a large deviation result, Proc. 5th Japan-USSR Symp. on Probability Theory" Springer Lecture No tes.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] M. Huzii: "A note no the estimation of parameters of an autoregressive integrated moving average process" Research Reports on Information Sciences, Dept. of Information Sciences,Tokyo Institute of Technology,Statistical Theory and Data analysis II, (K.Matsuita Ed.) North-Holland Publishing Company, Amsterdam. No. B-190. 1-14 (1987)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] J. Henna: "An estimator for the number of number of components of finite mixtures and itsapplications" J. of Japan Statistical Society.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] N. Niki and S. Konishi: "Distribution of the coefficient of variation for nonnormal populations" Proceedings of the Second Japan-China Symposium on Statistics, Kyushu University. 185-188 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] T. Kamae: "A characterization of self-affine functions" Japan Journal of Applied Mathematics. 3. 271-280 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Y. Takahashi: "Long time asymptotics of the ratio of measures of small tubes and a large deviation result" Proc. 5th Japan-USSR Symp. on Probability Theory, Springer Lecture Notes.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] M. Akahira and K. Takeuchi: "On the definition of asymptotic expectation" Foundations of Statistical Inference, Advances in the Statistical Sciences, Reidel Publishing Company, Dorfrecht-Holland. II. 199-208 (1987)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] I. B. MacNeill and G. J. Umphrey, Eds. S. Konishi: D. Reidel Publishing Company. Biostatistics Inferences about interclass and intraclass correlations from familial date, 225-233 (1987)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] A.K.Gupta Ed. S. Konishi: D. Reidel Publishing Company. Transformations of statistics in multivariate analysis, Professor K.C.S.Pillai's memorial volume " Advances in Multivariate Statistical Analysis", (1987)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] K. Matusita Ed. M. Honda and S. Konishi: North-Holland Publishing Company, Amsterdam. Comparison of variable selection procedures in discriminant analysis under nonnormal populations, Statistical Theory and Data Analysis II, (1987)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Y. Takahashi: Kinokuniya. Two aspects of large deviation theory for large time, Proc. Taniguchi International Symp. Katata, 1985, Probabilistic methods in probability theory, 363-384 (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] S. Albeverio et al. (eds),Y. Takahashi,: Bielefeld, Reidel Publ. Co.Power spectrum and Fredholm determinant related to intermittent chaos, Stochastic Processes in Physics and Engineering, (Proc. of BIBOS IV), (1986)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Y. Takahashi: Asymptotic behaviours of measures of measures of small tubes; entropy, Liapunov exponent and large deviation, Proc. Symp. on Dynamical System, Kyoto 1987, Dynam. Sys. Series, World Science,

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

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Published: 1989-03-30  

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