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2001 Fiscal Year Final Research Report Summary

Research on the stability and robustness of seasonal adjustment procedure

Research Project

Project/Area Number 11695024
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic statistics
Research InstitutionTHE INSTITUTE OF STATISTICAL MATHEMATICS

Principal Investigator

TAMURA Yoshiyasu  Center for Development of Stat. Comp., The Institute of Statistical Mathematics, 統計計算開発センター, 教授 (60150033)

Co-Investigator(Kenkyū-buntansha) KAWASAKI Yoshinori  Dept. of Predication and Control, The Institute of Statistical Mathematics, Associate Professor, 予測制御研究系, 助手 (70249910)
HIGUCHI Tomoyuki  Dept. of Predication and Control, The Institute of Statistical Mathematics, Associate Professor, 予測制御研究系, 助教授 (70202273)
KITAGAWA Genshiro  Dept. of Predication and Control, The Institute of Statistical Mathematics, Professor, 予測制御研究系, 教授 (20000218)
TAKIZAWA Yumi  Dept. of Predication and Control, The Institute of Statistical Mathematics, Associate Professor, 予測制御研究系, 助教授 (90280528)
SATO Seisho  Dept. of Predication and Control, The Institute of Statistical Mathematics, Associate Professor, 予測制御研究系, 助手 (60280525)
Project Period (FY) 1999 – 2001
KeywordsGeneral state-space model / Self-organization / Information criteria / Seasonal adjustment / Monte Carlo filter / Bayes model / DECOMP
Research Abstract

General state-space models are applied to various types of problems in seasonal adj ustment. Especially, Monte Carlo filter, smoothing and self-organizing state-space model are found to be useful for stable and robust treatment of statistical seasonal adjustment. To put it precisely, new methods are developed for multiplicative type non-linear seasonal adjustment, for seasonal adjustment in small count data, and for automatic outlier detection in seasonal adjustment. Furthermore, model averaging type seasonal adjustment has been explored. In other words, we do not confine the seasonal model to a specific one but consider and monitor all the possible seasonal models, and realize prediction by weighting these models. On the other hand, as a generalization of time serics problem, removing intraday periodicity in high frequent financial data is considered via point process modeling by conditional intensity approach. It is shown that commonly employed method that use spline smoothing to estimate time-of-day function does not completely remove such intraday periodicity. In the final year of this research grant, an intemational symposium on statistical seasonal adjustment was held in Tokyo under the title 'Modeling Seasonality and Periodicity' on January 3 1 and February I, which ended in a great success. Newly developed software E-Decomp was released and distributed to the conference participants on free CD-ROM.

  • Research Products

    (31 results)

All Other

All Publications (31 results)

  • [Publications] Kitagawa, G., S.Sato: "Monte Carlo Smoothing and Self-Organising State-Space Model"Sequential Monte Carlo in Practice (A.Doucet, N.de Freitas, N.Gordon, eds.), Springer. 1. 177-195 (2001)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Higuchi, T.: "Self-Organising Time Series Model"Sequential Monte Carlo in Practice (A.Doucet, N.de Freitas, N.Gordon, eds.), Springer. 1. 429-444 (2001)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Takahashi, A., S.Sato: "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
  • [Publications] Kawaski, 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
  • [Publications] Higuchi, T.: "Evolutionary Time Series Model with Parallel Computing"Proceedings of the Third Japan-US Joint Seminar on Statistical Time Series Analysis. 183-190 (2001)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Higuchi, T.: "Analysis of Small Count Time Series with Time Varying Frequency Component"Proceedings of the ISM International Symposium on Frontiers of Time Series Modeling, ISM Report on Research and Education. No.4. 307-312 (2000)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Thomson, P., Ozaki, T.: "Transformation and Trend-Seasonal Decomposition, 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. 197-212 (2002)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Kitagawa, G.: "Monte Carlo Method for Seasonal Adjustment and Quasi Periodic Modeling, 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. 139-149 (2002)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Shi, Z.-Y., Tamura, Y., Ozaki, T.: "Empirical Evaluation of Non-parametric Autoregressive Models for Dynamic Reconstruction"Journal of Signal Processing. Vol.4,No.2. 185-191 (2000)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 佐藤 整尚: "EXCEL上の時系列解析ソフトE-Decompの開発"統計数理. 49巻・2号. 305-315 (2001)

    • Description
      「研究成果報告書概要(和文)」より
  • [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. 49巻・1号. 109-131 (2001)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 北川 源四郎: "一般状態空間モデルと自己組織化の方法"人工知能学会誌. 16巻・2号. 300-307 (2001)

    • Description
      「研究成果報告書概要(和文)」より
  • [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
  • [Publications] Kawasaki, Y.(ed.): "Modeling Seasonality and Periodicity, Proceedings of the 3^<rd> International Symposium on Frontiers of Time Series Modeling"The Institute of Statistical Mathematics. 251 (2002)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Kitagaw, G. and Sato, s., Monte Carlo: "Smoothing and Self-organizaing State Space Model"Sequential Monte Carlo Methods in Practice, eds. Doucet, a., De Frieitas, N., and Gordon, N., Springer-Verlag. 177-195 (2001)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Higuchi, T.: "Self-organizing Time Series Model"Sequential Monte Carlo Methods in Practice, eds. Doucet, a., De Frieitas, N., and Gordon, N., Springer-Verlag. 429-444 (2001)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Takahashi, A. and Sato, S., MonteCarlo: "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
  • [Publications] Kawasaki, Y.: "Principal Component and Factor Analysis ofr Multivariate Time 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
  • [Publications] Sato, S.: "Development of E-Decomp : A Software for Time Series Analysis Implemented on Excel"Proceedings of the Institute of Statistical Mathematics. Vol.49, No.2. 305-315 (2001)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Higuchi, T.: "Analysis of Small Count Time Series with Time Varying Frequency Component"Proceedings of the ISM International Symposium on Frontiers of Time Series Modeling. 307-312 (2000)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Higuchi, T.: "Evolutionary Time Series Model with Parallel Computing"Proceedings of the 3rd Japan-US Joint Seminar on Statistical Time Series Analysis. 183-190 (2001)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Kawasaki, Y.: "Modeling Periodicity in High Frequent Financial Data"Modering Seasonality and Periodicity, Proceedings of 3rd International Symposium on Frontiers of Time Series Modeling. 239-251 (2002)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Thomson, P. and Ozaki, T.: "Transformation and Trend-Seasonal Decomposition"Modeling Seasonality and Periodicity, Proceedings of 3rd Iternational Symposium on Frontiers of Time Series Modeling. 197-212 (2002)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Kitagawa, G.: "monte Carlo Method for Seasonal Adjustment and Quasi-Periodic Modeling"Modeling Seasonality and Periodicity, Proceedings of 3rd Iternational Symposium on Frontiers of Time Series Modeling. 139-149 (2002)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Shi, Z., Tamura, Y. and Ozaki, T.: "Empirical Evaluation of Non-parametric Autoregresive Models for Dynamic Reconstruction"Journal of Signal Proceessing. Vol.4, No.2. 185-191 (2000)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Kitagawa, G. and Higuchi, T.: "Knowledge Discovery 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
  • [Publications] Kitagawa, G. and Higuchi, T.: "Automatic Transaction of Signal via Statistical Modeling"new Generation Computing. Vol.18, No.1. 17-28 (2000)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Kitagawa, G.: "General State Space Model and the Method of Self-Organization"Journal of Japanese Society for Artificial Intelligence. Vol.16, No.2. 300-307 (2001)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Kitagaw, G., T. Takanami and 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(欧文)」より
  • [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
  • [Publications] Kawasaki, Y.: "year-on-year change of time series and its characterization in frequency domain"ISM Research Memorandum. No.824. 1-13 (2001)

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

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Published: 2003-09-17  

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