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Research of Parameter Estimation of the State Space Model and its Applications

Research Project

Project/Area Number 09680318
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Statistical science
Research InstitutionThe Institute of Statistical Mathematics

Principal Investigator

KITAGAWA Genshiro  The Institute of Statical Mathematics, Professor, 予測制御研究系, 教授 (20000218)

Co-Investigator(Kenkyū-buntansha) KAWASAKI Yoshinori  The Institute of Statical Mathematics, Assistant, 予測制御研究系, 助手 (70249910)
HIGUCHI Tomoyuki  The Institute of Statical Mathematics, Assistant Professor, 予測制御研究系, 助教授 (70202273)
Project Period (FY) 1997 – 1998
Project Status Completed (Fiscal Year 1998)
Budget Amount *help
¥3,100,000 (Direct Cost: ¥3,100,000)
Fiscal Year 1998: ¥1,000,000 (Direct Cost: ¥1,000,000)
Fiscal Year 1997: ¥2,100,000 (Direct Cost: ¥2,100,000)
KeywordsTime Series Analysis / State space model / Nonlinear / Non-Gaussian model / Self-organization / Monte Carlo filter / Smoothing / Stochastic Volatility model
Research Abstract

In the area of time series analysis, a unified method based on the state space model is frequently used. Recently, in relation to various important real world problems, the necessity of nonlinear or non-Gaussian modeling is recognized. Since the famous Kalman filter cannot yiled efficient state estiamtes, the development of filtering and smoothing algorithms which can be applied to general state space models is very important. The main investigator of this research project developed the non-Gaussian filter/smoother in 1987 and, recently, the Monte Carlo filter which can be aplied high-dimensional general state space model. In this research, we developed a method of simultaneous estiamtion of the stae and the parametors based on these methods.
In [1] (in the research report), Kitagawa summarized the entire development of state and parameter estimation for nonlinear non-Gaussian state space modelsand simultaneous estimation by self-organizing state space model. In [2], Kawasaki et al. proposed a method of mitigating the difficulty which arises when the dimension of the observation is by far higher than that of state dimension. In [3], Higuchi proposed a method of seasonal adjustment of small count data. In [4], Kitagawa extended the method of self-organizing filter and developed a method of automatically identify even the noise distribution of the model from the innovation series.
The model and numerical computation methods developed in the research were applied to various problems such as finance, economics and earth science. The research report includes some results on the estimation of volatility of finacial data and automatic analysis of GPS data.

Report

(3 results)
  • 1998 Annual Research Report   Final Research Report Summary
  • 1997 Annual Research Report
  • Research Products

    (37 results)

All Other

All Publications (37 results)

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

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] Higuchi,T.: "Applications of Quasi-Periodic Oscillation Models to Seasonal 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
    • Related Report
      1998 Final Research Report Summary
  • [Publications] 石黒真木夫: "目的論的モデル" 統計数理. 46, 2. (1999)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1998 Final Research Report Summary
  • [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
    • Related Report
      1998 Final Research Report Summary
  • [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. 1-6

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1998 Final Research Report Summary
  • [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(和文)」より
    • Related Report
      1998 Final Research Report Summary
  • [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
    • Related Report
      1998 Final Research Report Summary
  • [Publications] 尾崎統,北川源四郎編: "時系列解析の方法" 朝倉書店, (1998)

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

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1998 Final Research Report Summary
  • [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
    • Related Report
      1998 Final Research Report Summary
  • [Publications] Ishiguro, M.: "Teleological Model" Proc.Inst.Statist.Math.46. 383-399 (1999)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] Kawasaki, Y.and Sato, S.: "On the 'Optimality'of seasonal Adjustment procedures (in japanese)" Proc.Inst.Statist.Math.45. 245-263 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] Takizawa, Y.et.al.: "Brain electrocephalograms with instantaneous" Signal Processing IX. 51-59 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] Shimodaira, F., Shirakawa, T.Tamura, Y.: "Performance evaluation on Parallel computer systems in executing statistical data analysis" Proc.Inst.Statist.Math.46. 445-460 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] Tamura, Y.Shi, Z.: "nonlinear time series modeliing by radial basis Function-based state dependent autoregressive model" International Journal of System Science. (in Press). (1998)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] Shi, Z.and Tamura, Y.: "A study on real-time detecting tool chatter" Int.Jour.Japan Society for Precision Eng.32. 178-182 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] Yafune, A.and Ishiguro, M.: "Bootstrap approach to constructing Confidence intervals for population pharmacokeinetic parameters" Statistics in Medicine. (in press). (1999)

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

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] Higuchi,T.: "Processing of TIme Series Data Obtained by Satellites" The Practice of Time Series Analysis(eds.H.Akaike and G.Kitagawa). 313-326 (1999)

    • Related Report
      1998 Annual Research Report
  • [Publications] Higuchi,T.: "Applications of Quasi-Periodic Oscillation Models to Seasonal Small Count Time Series" Computational Statistics and Data Analysis. (in press). (1999)

    • Related Report
      1998 Annual Research Report
  • [Publications] 石黒真木夫: "目的論的モデル" 統計数理. 46,2. (1999)

    • Related Report
      1998 Annual Research Report
  • [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)

    • Related Report
      1998 Annual Research Report
  • [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. 1-6

    • Related Report
      1998 Annual Research Report
  • [Publications] Kitagawa,G.: "Self-Organizing State Space Model" Journal of the American Statistical Association. 93. 1203-1215 (1998)

    • Related Report
      1998 Annual Research Report
  • [Publications] Kitagawa,G.,Higuchi,T.: "Automatic Transaction of Signal via Statistical Model" Discovery Science,Lecture Notes in Artificial Intelligence. 1532. 375-386 (1998)

    • Related Report
      1998 Annual Research Report
  • [Publications] 北川 源四郎,樋口 知之: "予測とモデル" 数理化学. 9月号. 11-18 (1998)

    • Related Report
      1998 Annual Research Report
  • [Publications] H.Akaike,G.Kitagawa(eds.): "The Practice of Time Series Analysis" Springer-Verlag, 386 (1999)

    • Related Report
      1998 Annual Research Report
  • [Publications] 尾崎統,北川源四郎編: "時系列解析の方法" 朝倉書店, 185 (1988)

    • Related Report
      1998 Annual Research Report
  • [Publications] Kitagawa,G.: "Information criteria for predictive evaluation of Bayesian models" Communications in Statistics,Theory and Methods. 26・9. 2223-2246 (1997)

    • Related Report
      1997 Annual Research Report
  • [Publications] Gersch,W. and Kitagawa,G.: "General State Space Modeling" Statistical Methods in Control and Signal Processing. 37-81 (1997)

    • Related Report
      1997 Annual Research Report
  • [Publications] 樋口知之: "非経済時系列データの季節調整法について" 統計数理. 45・2. 319-328 (1997)

    • Related Report
      1997 Annual Research Report
  • [Publications] 川崎能典, 佐藤整尚: "季節調整法の「最適性」について" 統計数理. 45・2. 245-264 (1997)

    • Related Report
      1997 Annual Research Report

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Published: 1997-04-01   Modified: 2016-04-21  

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