An improvement of weak stationary test of time series and nonlinear causal analysis.
Project/Area Number  08640271 
Research Category 
GrantinAid for Scientific Research (C)

Section  一般 
Research Field 
General mathematics (including Probability theory/Statistical mathematics)

Research Institution  Shiga University 
Principal Investigator 
NAKANO Yuji Faculty of Economics, Professor, 経済学部, 教授 (60024981)

Project Fiscal Year 
1996 – 1998

Project Status 
Completed(Fiscal Year 1998)

Budget Amount *help 
¥1,100,000 (Direct Cost : ¥1,100,000)
Fiscal Year 1998 : ¥300,000 (Direct Cost : ¥300,000)
Fiscal Year 1997 : ¥300,000 (Direct Cost : ¥300,000)
Fiscal Year 1996 : ¥500,000 (Direct Cost : ¥500,000)

Keywords  stationary / KM_2 OLangevin equation / causality / time series / 弱定常性 / KM_2Oランジュバン方程式 / 因果性 / 時系列 / Test(S) / 局所因果性 / 検定(S) / 局所因果解析 / 因果解析 
Research Abstract 
A weakly stationary process, whose time parameter space is a finite interval, is called a local and weakly stationary process. Okabe and Nakano constructed Test(S) which states a criterion that multidimensional data are a realization of a local and weakly stationary process. In this study, we propose a revised test of Test(S), say RTest(S) . RTest(S) has a better efficient than Test(S) when nonlinear data are tested. We apply RTest(S) to wellknown data, sunspot numbers and Lynx in Canada from 1921 to 1934. We worked up RTest(S) into the paper "On a revised test of Test(S) in time series" . We defined two kinds of causality. One is linear local causality and other is nonlinear local causality. We introduce a causal value between time series. Furthermore, we propose a test which tests the linear local causality between given time series. As an application, The causal relation between sunspot numbers and Lynx in Canada are analyzed. We worked up RTest(S) into the paper. "On a causal function between time series" .

Report
(5results)
Research Output
(8results)