| Presentation | 2003/7/16 Modeling and Forecasting of Correlated Time Series State Space Models Yuya Suzuki, Tohta Suko, Toshiyasu Matsushima, |
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| PDF Download Page | PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | Gaussian and Liner state space model is one of time series analyses. Kalman Filtering is the method to obtain the Bayes Inference on valiances known Gaussian and Liner state space model. Monte Carlo Filtering is the method to calculate the estimated value on general state space model. When we execute such analysis, there sometimes exist plural time series at the same time. In such case, we should calculate the estimated value from these correlated series. In this paper, we propose the expanded state space model, which includes these time series. Next, we propose how to calculate the estimated value by using information of all time series. Morever, to make sure that our proposition is effective; we prove that the expectation of our predicted risk is smaller than that of single time series. We also show some experimental results by simulation. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Time Series / State Space Model / Kalman Filtering / Monte Carlo Filtering / Bayes inference |
| Paper # | IT2003-38 |
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| Conference Information | |
| Committee | IT |
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| Conference Date | 2003/7/16(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
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| Paper Information | |
| Registration To | Information Theory (IT) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Modeling and Forecasting of Correlated Time Series State Space Models |
| Sub Title (in English) | |
| Keyword(1) | Time Series |
| Keyword(2) | State Space Model |
| Keyword(3) | Kalman Filtering |
| Keyword(4) | Monte Carlo Filtering |
| Keyword(5) | Bayes inference |
| 1st Author's Name | Yuya Suzuki |
| 1st Author's Affiliation | Dep. Of Industrial and Management Systems Engineering() |
| 2nd Author's Name | Tohta Suko |
| 2nd Author's Affiliation | Dep. Of Industrial and Management Systems Engineering |
| 3rd Author's Name | Toshiyasu Matsushima |
| 3rd Author's Affiliation | Dep. Of Industrial and Management Systems Engineering |
| Date | 2003/7/16 |
| Paper # | IT2003-38 |
| Volume (vol) | vol.103 |
| Number (no) | 215 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |