2001 Fiscal Year Annual Research Report

統計的モデリングに基づく時系列データからの情報抽出・知識発見の方法に関する研究

Research Project

Project/Area Number	12680321
Research Institution	THE INSTITUTE OF STATISTICAL MATHEMATICS
Principal Investigator	北川源四郎統計数理研究所, 予測制御研究系, 教授 (20000218)
Co-Investigator(Kenkyū-buntansha)	川崎能典統計数理研究所, 予測制御研究系, 助手 (70249910) 樋口知之統計数理研究所, 予測制御研究系, 助教授 (70202273) 田村義保統計数理研究所, 統計計算開発センター, 教授 (60150033) 佐藤整尚統計数理研究所, 予測制御研究系, 助手 (60280525)
Keywords	一般状態空間モデル / 自己組織化 / 情報量基準 / 多変量時系列 / 並列計算
Research Abstract	統計的モデリングの方法,統計モデルに基づく知識発見の方法,実データの解析への応用,ソフトウェア開発の4分野に関する研究を行った. 1.統計的モデリングの基礎的研究としては自己組織型の状態空間モデルによる自動モデル構成をより安定化させるために,モンテカルロフィルタのリサンプリングの方法の改良を行った.さらに,数値的問題が発生しがちな固定パラメータ推定の場合の対策を検討して,新しい方法を検討した. 2.発見的モデリングに関しては樋口はcDNAマイクロアレイデータの解析のためのベイジアンネットワーク推定の新しいアルゴリズムを開発した.田村は時系列解析,主成分分析,クラスター分析を用いて日経225平均の1分間隔データの変化パターンの特徴抽出を行い,曜日などの違いによりパターンが異なるかどうかに関する知識発見を目的とする研究を行った. 3.実データ解析への応用に関しては北川は海底地震計アレイで取得された多変量時系列に基づく地下構造の推定に関して時空間平滑化の近似的方法を開発した.樋口は大規模電流系の自動同定:DMSP-Fシリーズデータの全解析,金星雲撮像データからの大気大循環推定アルゴリズムの誤差解析,電離層電子密度高度プロファイル推定(逆)問題へのベイズ的解析を行った.佐藤はマクロ経済データのモデリングを行い,多変量時系列モデルを利用して日本経済の将来予測,シミュレーションおよび金融政策の決定などに関して興味ある結果を得た. 4.ソフトウェア開発に関連して,田村はハウスホルダー変換の部分をMPIによる並列化を行うことによって一変量,多変量ARモデル推定プログラムの並列化を行った.また,一般状態空間モデルのフィルタリング・平滑化のための並列計算プログラムの試作を行った.

Research Products
(17 results)

All Other

All Publications (17 results)

[Publications] Kitagawa, G., T.Takanami, N.Matsumoto: "Signal Extraction Problems in Seismology"International Statistical Review. Vol.69, No.1. 129-152 (2001)
[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)
[Publications] Kitagawa, G., T.Higuchi, F.N.Kondo: "Smoothness Prior Approach to Explore Mean Structure in Large Time Series"Theoretical Computer Science. (2001)
[Publications] Higuchi, T., S.-I.Ohtani, T.Uozumi, K.Yumoto: "Pi2 onset time determination with information criterion"Journal of Geophysical Research. (2001)
[Publications] Nagao, N., T.Iyemori, T.Higuchi, S.Nagano, T.Araki: "Local Time Features of Geomagnetic Jerks"Earth Planets and Space. (2001)
[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)
[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)
[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)
[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)
[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)
[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)
[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)
[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)
[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)
[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)
[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)
[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)

2001 Fiscal Year Annual Research Report

統計的モデリングに基づく時系列データからの情報抽出・知識発見の方法に関する研究

Principal Investigator

北川 源四郎 統計数理研究所, 予測制御研究系, 教授 (20000218)

Research Products

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

[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)

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

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

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

[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)

[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)

[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)

[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)

[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)

[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)

[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)

[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)

[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)

[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)

[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)

[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)

北川源四郎統計数理研究所, 予測制御研究系, 教授 (20000218)