逐次確率比検定による時系列の構造変化点検出法 : Chow Test との早期検出性の比較 Structural Change Point Detection Method of Time Series Using Sequential Probability Ratio Test : Comparison with Chow Test in the Ability of Early Detection

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The problem of time series can be classified into three types, in a practical sense. The first problem is how to generate a prediction model that adequately represents the characteristics of the early time series data. The second problem is how to quickly detect the structural change of the time series, where the estimated prediction model does not meet the real data any longer. The third problem is how to correct the time series model after the change detection. This paper focuses on the second problem and proposes a novel method for quick detection of the structural change point in time series. The proposed method is based on a sequential probability ratio test that has been mainly used in the field of quality control. This paper discusses the features of the method from numerical experimentation results. And also, this paper shows its effectiveness, in comparison with the well-known Chow Test.

収録刊行物

  • 電気学会論文誌. C, 電子・情報・システム部門誌 = The transactions of the Institute of Electrical Engineers of Japan. C, A publication of Electronics, Information and System Society  

    電気学会論文誌. C, 電子・情報・システム部門誌 = The transactions of the Institute of Electrical Engineers of Japan. C, A publication of Electronics, Information and System Society 128(4), 583-592, 2008-04-01 

    The Institute of Electrical Engineers of Japan

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各種コード

  • NII論文ID(NAID)
    10021132030
  • NII書誌ID(NCID)
    AN10065950
  • 本文言語コード
    JPN
  • 資料種別
    ART
  • ISSN
    03854221
  • NDL 記事登録ID
    9451381
  • NDL 雑誌分類
    ZN31(科学技術--電気工学・電気機械工業)
  • NDL 請求記号
    Z16-795
  • データ提供元
    CJP書誌  CJP引用  NDL  J-STAGE 
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