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Research on the Methodology of Information Extraction and Knowledge Discovery Based on Statistical Time Seeries Modeling

Research Project

Project/Area Number 12680321
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  Dept. of Prediction and Control, The Institute of Statistical Mathematics, 予測制御研究系, 教授 (20000218)

Co-Investigator(Kenkyū-buntansha) KAWASAKI Yoshinori  Dept. of Prediction andn Control, The Institute of Statistical Mathematics, Assistant Professor, 予測制御研究系, 助手 (70249910)
HIGUCHI Tomoyuki  Dept. of Prediction andn Control, The Institute of Statistical Mathematics, Associate Professor, 予測制御研究系, 助教授 (70202273)
TAMURA Yoshiyasu  Center for Development of Stat. Comp., The Institute of Statistcal Mathematics, Professor, 統計計算開発センター, 教授 (60150033)
SATO Seisho  Dept. of Prediction andn Control, The Institute of Statistical Mathematics, Assistant Professor, 予測制御研究系, 助手 (60280525)
Project Period (FY) 2000 – 2001
Project Status Completed (Fiscal Year 2001)
Budget Amount *help
¥3,900,000 (Direct Cost: ¥3,900,000)
Fiscal Year 2001: ¥1,700,000 (Direct Cost: ¥1,700,000)
Fiscal Year 2000: ¥2,200,000 (Direct Cost: ¥2,200,000)
KeywordsGeneral state-space model / Self-organization / Information criteria / Multivariate time series / Discovery science / Parallel computation / 情報量基準
Research Abstract

Research upon this grant has been concerned in the following four fields ; (1) new methodologies in statistical modeling, (2) knowledge discovery based on statistical modeling, (3) application to actual data analysis and (4) software development. As for (1), resampling scheme in Monte Carlo filter is improved to stabilize the automatic model estimation via self-organizing state-space model. Also, several new method are tried to alleviate numerical diffculties often encountered in estimation of fixed parameters. (2) New algorithm for estimating Bayesian network is proposed which is designed for cDNA micro array data analysis. Minute by minute stock index data is analyzed by time series models, principal component analysis and cluster analysis to explore the calendar effect. (3) Based on multivariate time series model for ocean bottom seismograph data, an approximate space-time smoothing algorithm is proposed to estimate underground structure. Large-scale field-aligned currents are exhaustively analyzed, and automatic identification procedure is proposed. (4) Programs to estimate univariate and multivariate AR models are parallelized. This was done by the parallelization of Householder transformation. Filtering and smoothing algorithm for general state-space models is also implemented only on an experimental basis.

Report

(3 results)
  • 2001 Annual Research Report   Final Research Report Summary
  • 2000 Annual Research Report
  • Research Products

    (52 results)

All Other

All Publications (52 results)

  • [Publications] Kitagawa, G., T.Takanami, N.Matsumoto: "Signal Extraction Problems in Seismology"International Statistical Review. Vol.69,No.1. 129-152 (2001)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Ueno, G., Nakamura, N., Higuchi, T., Tsuchiya, T., Machida, S., Araki, T., Saito, Y., Mukai, T.: "Application of multivariate Maxwellian mixture model to plasma velocity distribution function"Journal of Geophysical Research. 106,A11. 25655-25672 (2001)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Kitagawa, G., T.Higuchi, F.N.Kondo: "Smoothness Prior Approach to Explore Mean Structure in Large Time Series"Theoretical Computer Science. (印刷中). (2002)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Higuchi, T., S.-I.Ohtani, T.Uozomi, K.Yumoto: "Pi2 onset time determination with information criterion"Journal of Geophysical Research. (印刷中). (2002)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Nagao, N., T.Iyemori, T.Higuchi, S.Nagano, T.Araki: "Local Time Features of Geomagnetic Jerks"Earth Planets and Space. 54. 119-131 (2002)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Ikoma, T., N.Ichimura, T.Higuchi, H.Maeda: "Particle Filter Based Method for Maneuvering Target Tracking"IEEE International Workshop on Intelligent Signal Processing. 3-8 (2001)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Ueno, G., N.Nakamura, T.Higuchi: "Separation of Photoelectrons via Multivariate Maxwellian Mixture Model (to appear)"The proceedings of The Forth International Conference on Discovery Science, Lecture Notes in Artificial Intelligence,2226. 479-475 (2001)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Ueno, G, N.Nakamura, T.Higuchi, T.Tsuchiya, S.Machida, T.Araki: "Application of Multivariate Maxwellian Mixture Model to Plasma Velocity Distribution"Progresses in Discovery Science, Lecture Notes in Computer Science, Springer-Verlag. 2281. 372-383 (2002)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [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. 2281. 360-371 (2002)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Kawasaki, Y.: "Modeling Periodicity in High Frequent Financial Data, in Modeling Seasonality and Periodicity"Proceedings of the 3rd International Symposium on Frontiers of Time Series Modeling, ISM Report on Research and Education. No.13. 239-251 (2002)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] 北川源四郎, 川崎能典: "時系列モデルによるインフレ率予測誤差の分析"日本銀行調査統計局 Working Paper. No.01-13. 1-30 (2001)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] 川崎能典: "多変量時系列に対する主成分・因子分析"統計数理. Vol.49,No.1. 109-131 (2001)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] 川崎能典: "前年同月比伸び率の周波数特性"ISM Research Memorandum. No.824. 1-13 (2001)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Takahashi, A., Sato, S.: "Monte Carlo Filtering Approach for Estimating the Term Structure of Interest Rates"Annals of The Institute of Statistical Mathematics. Vol.53,No.1. 50-62 (2001)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Kitagawa, G., Sato, S.: "Monte Carlo Smoothing and Self-organizing State Space Model, Sequential Monte Carlo Methods in Practice"Springer-Verlag New York, eds.Doucet, A., De Freitas, N., and Gordon, N.. 177-195 (2001)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Higuchi, T.: "Self-organizing Time Series Model, in Sequential Monte Carlo Methods in Practice"Springer-Verlag New York, eds. A.Doucet, J.F.G, de Freitas, and N.J.Gordon. 429-444 (2001)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Kitagawa, G., T. Takanami and N. atsumoto: "Signal Extraction Problems in Seismology"international Statistical Review. Vol.69, No.1. 129-152 (2001)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Ueno, G., Nakamura, N., Higuchi, T.., Tsuchiya, T., Machida, S., Araki, ., Saito, Y. and Mukai, T.: "Application of multivariate Maxwellian mixture model to plasma velocity distribution function"Journal of Geophysical Research. Vol.106, A11. 25655-25672 (2001)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Kitagawa, G., T. Higuchi and F. N. Kondo: "Smoothness Prior Approach to Explore mean Structure in Large Time Series"Theoretical Computer Science. (in press). (2002)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Higuchi, T. S.I. Ohtani, T. Uozumi and K. Yumoto: "Pi2 onset time determination with information criterion"Journal of Geophysical Research. (in press). (2002)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Nagao, N., T. Iyemori, T. Higuchi, S. nagao and T. Araki: "Local Time Features of Geomagnetic Jerks"Earth Planets and Space. Vol.54. 119-131 (2002)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Kitagwa, G. and Sato, S., Monte Carlo: "Smoothing and Self-organizaing State Model"Sequential Monte Carlo methods in Practice, eds. Duce, A., De Freitas, N., and Gordon, N., Springer-Verlag. 429-444 (2001)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Tkahashi, A. and Sato, S.: "Monte Carlo Filtering Approach for Estimating the Term Structure of Interest Rates"Annals of The Institute of Statistical Mathematics. Vol.53, No.1. 50-62 (2001)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Kawasaki, Y.: "principal Component and Factor Analysis for Multivariate Tme Series"Proceedings of the Institute of Statistical Mathematics. Vol.49, No.1. 109-131 (2001)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Shi, Z., Tamura, Y. and Ozaki, T.: "Empirical Evaluation of Non-parametric Autoregesive Models for Dynamic Reconstruction"Journal of Signal Processing. Vol.4, No.2. 185-191 (2001)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Kitagawa, G. and Higucih, T.: "Knowledge dDiscovery and Self-organizing State Space Model"IEICE Transaction on Information Systems. E83-D, No.1. 36-43 (2000)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Kitagawa, G. and Higuchi, T.: "Automatic Transaction of Signal via Statistical Modeling"New Generatoin Computing. Vol.18, No.1. 17-28 (2000)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Kondo, F.N. and Kitagawa, G..: "Time Series Analysis of Daily Scanner Sales ; Extruaction of Trends, Day-of Week Effect an dPrice Promotion"Marketing Intelligence and planning. Vol.18, No.2. 53-66 (2000)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Kitagawa, G., T.Takanami, N.Matsumoto: "Signal Extraction Problems in Seismology"International Statistical Review. Vol.69, No.1. 129-152 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] Ueno, G., Nakamura, N., Higuchi, T., Tsuchiya, T., Machida, S., Araki, T., Saito, Y., Mukai, T.: "Application of multivariate Maxwellian mixture model to plasma velocity distribution function, 2001"Journal of Geophysical Research. 106, A11. 25655 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] Kitagawa, G., T.Higuchi, F.N.Kondo: "Smoothness Prior Approach to Explore Mean Structure in Large Time Series"Theoretical Computer Science. (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] Higuchi, T., S.-I.Ohtani, T.Uozumi, K.Yumoto: "Pi2 onset time determination with information criterion"Journal of Geophysical Research. (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] Nagao, N., T.Iyemori, T.Higuchi, S.Nagano, T.Araki: "Local Time Features of Geomagnetic Jerks"Earth Planets and Space. (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] Ikoma, T., N.Ichimura, T.Higuchi, H.Maeda: "Particle Filter Based Method for Maneuvering Target Tracking"IEEE International Workshop on Intelligent Signal Processing. (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] Ueno, G., N.Nakamura, T.Higuchi: "Separation of Photoelectrons via Multivariate Maxwellian Mixture Model"The proceedings of The Forth International Conference on Discovery Science, Lecture Notes in Artificial Intelligence, 2226. (to appear). 479-475 (2001)

    • Related Report
      2001 Annual Research Report
  • [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. (to appear). (2001)

    • Related Report
      2001 Annual Research Report
  • [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 Sience, Lecture Notes in Computer Science, Springer-Verlag. (to appear). (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] Kawasaki, Y.: "Modeling Periodicity in High Frequent Financial Data, in Modeling Seasonality and Periodicity:"Proceedings of the 3rd International Symposium on Frontiers of Time Series Modeling, ISM Report on Research and Education. No.13. 239-251 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] 北川源四郎, 川崎能典: "時系列モデルによるインフレ率予測誤差の分析"日本銀行調査統計局Working Paper. 01-13 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] 川崎能典: "多変量時系列に対する主成分・因子分析"統計数理. Vol.49. 109-131 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] 川崎能典: "「前年同月比伸び率の周波数特性」"ISM Research Memorandum. No.824. (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] Kawasaki, Y.: "Modeling Periodicity in High Frequent Financial Data, in Modeling Seasonality and Periodicity:"Proceedings of the 3rd International Symposium on Frontiers of Time Series Modeling, ISM Report on Research and Education. No.13. 239-251 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] Takahashi, A., Sato, S.: "Monte Carlo Filtering Approach for Estimating the Term Structure of Interest Rates"Annals of The Institute of Statistical Mathematics. Vol.53, No.1. 50-62 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] Kitagawa, G., Sato, S.: "Monte Carlo Smoothing and Self-organizing State Space Model, Sequential Monte Carlo Methods in Practice"Springer-Verlag New York, Eds. Doucet, A., De Freitas, N., and Gordon, N.. 177-195 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] Higuchi, T.: "Self-organizing Time Series Model, in Sequential Monte Carlo Methods in Practice"Springer-Verlag New York, Eds. A. Doucet, J. F. G, de Freitas, and N. J. Gordon. 429-444 (2001)

    • Related Report
      2001 Annual Research Report
  • [Publications] Kitagawa,G.and Higuchi,T.: "Automatic transaction of signal via statistical modeling"New Generation Computing. Vol.18,No.1. 17-28 (2000)

    • Related Report
      2000 Annual Research Report
  • [Publications] 北川源四郎,松本則夫: "時系列モデルによる大量時系列からの情報抽出"人工知能学会誌,特集「発見科学」. Vol.15,No.4. 673-680 (2000)

    • Related Report
      2000 Annual Research Report
  • [Publications] Kitagawa,G.and Sato,S.: "Nonlinear state space model approach to financial time series with time-varying variance"Proceedings of the Hong Kong International Workshop on Statistics in Finance An Interface. 23-44 (2000)

    • Related Report
      2000 Annual Research Report
  • [Publications] Higuchi,T.and Kitagawa,G.: "Knowledge discovery and self-organizing state space model"IEICE Transactions on Information and Systems. E83-D,No.1. 36-43 (2000)

    • Related Report
      2000 Annual Research Report
  • [Publications] Higuchi,T.and Ohtani,S.: "Automatic identification of a large-scale field-aligned current structures"Journal of Geophysical Research. 105,A11. 25305-25315 (2000)

    • Related Report
      2000 Annual Research Report
  • [Publications] Kawasaki,Y.,Sato,S.and Tachiki,S.: "Vector-valued multiple regression model with time varying coefficients and its application to predict excess stock returns"Proc.IEEE/IAFE/INFORMS Conf.on Computational Intelligence for Financial Engineering. 162-165 (2000)

    • Related Report
      2000 Annual Research Report
  • [Publications] Takahashi,A.and Sato,S.: "Monte Carlo filtering approach for estimating the term structure of interest rates"Annals of The Institute of Statistical Mathematics. (2000)

    • Related Report
      2000 Annual Research Report

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Published: 2000-04-01   Modified: 2016-04-21  

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