| Presentation | 1996/7/26 A Sequential Cross-correlation Using Higher Order Exponential Smoothing for Detecting Nonstationarity of Cross-correlation Takayuki HIRANO, |
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| PDF Download Page | PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | A Sequential method for the cross-correlation function has been presented in this paper. This method employs a higher order exponential smoothing method for obtaining cross-correlation sequentially from the instantaneous cross-correlation function which is the integrand of the ordinary cross-correlation function. This makes it possible to detect nonstationary viriations of the cross-correlation function faster and more accurately in comparison with the ordinary cross-correlation Because noise can be eliminated successfully, the transition process of the cross-correlation function value gets so smoother that can be useful to find the variation visually. Numerical simulation has shown there are some appropriate pairs of the smoothing constant an the order of the smoothing method to detect the cross-correlation function variations and to eliminate noise. This proposed method has been applied to actual economic data to detect cross-correlation function variations more effectively. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | cross-correlation / exponential smoothing method / nonstationary correlation / on-line |
| Paper # | DSP96-64,SST96-46,CS96-64 |
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| Conference Information | |
| Committee | DSP |
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| Conference Date | 1996/7/26(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
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| Paper Information | |
| Registration To | Digital Signal Processing (DSP) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | A Sequential Cross-correlation Using Higher Order Exponential Smoothing for Detecting Nonstationarity of Cross-correlation |
| Sub Title (in English) | |
| Keyword(1) | cross-correlation |
| Keyword(2) | exponential smoothing method |
| Keyword(3) | nonstationary correlation |
| Keyword(4) | on-line |
| 1st Author's Name | Takayuki HIRANO |
| 1st Author's Affiliation | Department of Industrial Engineering and Management,Graduate School of Decision Science and Technology,Tokyo Institute of Technology() |
| Date | 1996/7/26 |
| Paper # | DSP96-64,SST96-46,CS96-64 |
| Volume (vol) | vol.96 |
| Number (no) | 183 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |