2012 Fiscal Year Final Research Report
Analysis and application of a nonstationary time series using a time-dependent pattern entropy
| Project/Area Number |
22500262
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Statistical science
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| Research Institution | Fukuoka Prefectural University |
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Principal Investigator |
ISHIZAKI Ryuji 福岡県立大学, 人間社会学部, 准教授 (90265017)
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| Project Period (FY) |
2010 – 2012
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| Keywords | 非定常時系列 / パターン・エントロピー / 揺らぎ解析 |
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| Research Abstract |
In this research, we attempted the quantification of instability of a nonstationary time series using a time-dependent pattern entropy (T -DPE) as a new analytical method. Characterizing the statistical properties of the daily data of the exchange rate by using the first and second moments is difficult. Therefore, in addition to analyzing the long-time average statistical properties of the time series of foreign exchange rates, we investigated how to characterize the local instability of the time series. We applied T -DPE to analyze the instability of daily variations in foreign exchange rates, in particular, the dollar-yen rate. The time-dependent pattern entropy of the dollar-yen rate was found to be high in the following periods: before and after the turning points of the yen from strong to weak or from weak to strong, and the period after the Lehman shock.
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