| Presentation | 2003/7/16 A Study of Modeling of Nonstationary Time Series based on Poisson Distribution Kinya IWATA, Takahiro YOSHIDA, Toshiyasu MATSUSHIMA, |
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| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | Gaussian and linear state space model is a model for nonstationary time series. When we deal with non-Gaussian data based on the poisson distribution, however, this model is not adequate for the analysis. So some approaches to extend Gaussian and linear state space model have been proposed. For example, West et al proposed the Dynamic Generalized Linear Model. One of problems on his model is that exact posterior distribution of the parameter can not be obtained. In this paper, we propose model that enable us to calculate exact posterior distribution of the parameter analytically. Additionally, we show some simulataion results to make sure properties of this model. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Time series analysis / Poisson distribution / Nonstationary / Bayes estimation |
| Paper # | IT2003-39 |
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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) |
| Topics (in English) | |
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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) | A Study of Modeling of Nonstationary Time Series based on Poisson Distribution |
| Sub Title (in English) | |
| Keyword(1) | Time series analysis |
| Keyword(2) | Poisson distribution |
| Keyword(3) | Nonstationary |
| Keyword(4) | Bayes estimation |
| 1st Author's Name | Kinya IWATA |
| 1st Author's Affiliation | Dep. of Industrial and Management Systems Engineering Waseda University() |
| 2nd Author's Name | Takahiro YOSHIDA |
| 2nd Author's Affiliation | Dep. of Industrial and Management Systems Engineering Waseda University |
| 3rd Author's Name | Toshiyasu MATSUSHIMA |
| 3rd Author's Affiliation | Dep. of Industrial and Management Systems Engineering Waseda University |
| Date | 2003/7/16 |
| Paper # | IT2003-39 |
| Volume (vol) | vol.103 |
| Number (no) | 215 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |