| Presentation | 2009-10-16 Identifying Generation Models of Time-series including Jump Diffusion Processes by using the Genetic Programming and Multi-stage Fuzzy Inference Systems Shozo Tokinaga, Yoshinori Kishikwa, |
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| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | This report deals with identifying generation models of time-series including jump diffusion processes by using the Genetic Programming (GP) and multi-stage fuzzy inference systems. The time series is additively decomposed into three parts, namely, the deterministic parts, jump diffusion parts and Brownian motions. We apply the GP to the deterministic part, and we use the fuzzy inference (multi-stage fuzzy inference) system to detect the parts of jump diffusion. Applications are shown by using simulation studies. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Models of fluctuating time-series / Jump diffusion processes / Genetic Programming / Multi-stage fuzzy inference / System identification |
| Paper # | SIP2009-70,IE2009-95 |
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| Conference Information | |
| Committee | IE |
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| Conference Date | 2009/10/8(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
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| Paper Information | |
| Registration To | Image Engineering (IE) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Identifying Generation Models of Time-series including Jump Diffusion Processes by using the Genetic Programming and Multi-stage Fuzzy Inference Systems |
| Sub Title (in English) | |
| Keyword(1) | Models of fluctuating time-series |
| Keyword(2) | Jump diffusion processes |
| Keyword(3) | Genetic Programming |
| Keyword(4) | Multi-stage fuzzy inference |
| Keyword(5) | System identification |
| 1st Author's Name | Shozo Tokinaga |
| 1st Author's Affiliation | Graduate School of Economics, Kyushu Univ.() |
| 2nd Author's Name | Yoshinori Kishikwa |
| 2nd Author's Affiliation | Ube National College of Technology |
| Date | 2009-10-16 |
| Paper # | SIP2009-70,IE2009-95 |
| Volume (vol) | vol.109 |
| Number (no) | 227 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |