Presentation	2002/6/27 Time Series Analysis on the Basis of Path Integrals : Estimation of Parameters in Statistical Model Yuishi IWASAKI,
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Abstract(in English)	We present a method to estimate parameters in a statistical model from noisy time series x_n. Influences of two noises to a system dynamics, that is, dynamical noise and measurement noise, are considered in the presented method. In order to estimate the parameters, firstly, we calculate transition probabilities from X_n to X_ on the basis of path integrals. Secondly, the estimators are given by values at which a likelihood function using the transition probabilities is minimized. We apply the presented method to noisy dynamical systems, and numerically find usefulness of the present method.
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Keyword(in English)	transition probability / path integrals / time series / noise / estimation of parameters
Paper #	NLP2002-30
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Conference Information
Committee	NLP
Conference Date	2002/6/27(1days)
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Paper Information
Registration To	Nonlinear Problems (NLP)
Language	JPN
Title (in Japanese)	(See Japanese page)
Sub Title (in Japanese)	(See Japanese page)
Title (in English)	Time Series Analysis on the Basis of Path Integrals : Estimation of Parameters in Statistical Model
Sub Title (in English)
Keyword(1)	transition probability
Keyword(2)	path integrals
Keyword(3)	time series
Keyword(4)	noise
Keyword(5)	estimation of parameters
1st Author's Name	Yuishi IWASAKI
1st Author's Affiliation	Faculty of Engineering, Ibaraki University()
Date	2002/6/27
Paper #	NLP2002-30
Volume (vol)	vol.102
Number (no)	181
Page	pp.pp.-
#Pages	6
Date of Issue