Search Results 1-20 of 88

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  • The Impact of Floating Exchange Rate Regime on the Egyptian Economy  [in Japanese]

    岡室 美恵子 , 染矢 将和

    … Then, the paper runs the vector autoregressive model to analyze the impact of floating exchange rate regime on the monetary transmission channels. …

    千葉経済論叢 The proceedings of Chiba Keizai University (60), 91-110, 2019-06

    IR 

  • UNCERTAINTY QUANTIFICATION OF ESTIMATED MODES OF BRIDGES USING BAYESIAN INFERENCE  [in Japanese]

    GOI Yoshinao , KIM Chul-Woo

    … The quantified uncertainty enables to determine the reasonable model order and to extract the stably estimated modal properties from the determined model. …

    Journal of Japan Society of Civil Engineers, Ser. A2 (Applied Mechanics (AM)) 75(2), I_647-I_657, 2019

    J-STAGE 

  • Deficient EMU's Tasks: As to Asymmetric Transmission Effects of An United Eurosystem's Monetary Policy  [in Japanese]

    SUZUKI Hirotaka

    … Research design of this paper bases on both theoretical innovations (Control Engineering to achieve convergence) and empirically verifiable methods (Panel Fixed VARSARAR model: Panel Fixed Effects Vector AutoRegressive and Spatial AutoRegressive with Additional AutoRegressive Error Model), which enables us to discuss EMU's convergence tasks quantitatively.<br> …

    EU Studies in Japan 2018(38), 116-148, 2018

    J-STAGE 

  • HOAH: A Hybrid TCP Throughput Prediction with Autoregressive Model and Hidden Markov Model for Mobile Networks

    WEI Bo , KANAI Kenji , KAWAKAMI Wataru , KATTO Jiro

    … This method is called the Hybrid Prediction with the Autoregressive Model and Hidden Markov Model (HOAH). …

    IEICE Transactions on Communications E101.B(7), 1612-1624, 2018

    J-STAGE 

  • On the covariance matrix of the stationary distribution of a noisy dynamical system

    Oku Makito , Aihara Kazuyuki

    … An application to a simple nonlinear network model is also demonstrated.</p> …

    Nonlinear Theory and Its Applications, IEICE 9(2), 166-184, 2018

    J-STAGE 

  • Econometric Analysis of Japanese Exports Using a Time-Varying Parameter Vector Autoregressive Model  [in Japanese]

    中島 上智 , 渡部 敏明

    … This article conducts a quantitative analysis of real exports from Japan using a time-varying parameter vector autoregressive model to take account of structural changes. …

    経済研究 68(3), 237-249, 2017-07

    IR  DOI 

  • Visualizing States of Time-Series Data by Autoregressive Gaussian Process Dynamical Models

    Yamaguchi Nobuhiko

    … To overcome this issue, autoregressive GPDMs, called ARGPDMs, are proposed. … They associate a state with a vector autoregressive (VAR) model. … The resulting visualization is easier to understand, as states change only when the VAR model changes. …

    Journal of Advanced Computational Intelligence and Intelligent Informatics 21(5), 825-831, 2017

    J-STAGE 

  • Method Evaluation for Short-Term Wind Speed Prediction Considering Multi Regions in Japan

    Tanaka Ikki , Ohmori Hiromitsu

    … We used the persistent model, the ARMA-GARCH model, the nonlinear autoregressive network with external input (NARX), the recurrent neural network (RNN), and support vector regression (SVR). … Our results suggest that it is difficult to create the same model which minimizes error in all areas, confirming the need for individual predictors for individual regions.</p> …

    Journal of Robotics and Mechatronics 28(5), 681-686, 2016

    J-STAGE 

  • Re-evaluating Japan's Quantitative Easing Policy (2001–2006): An Application of the TVP-VAR Model.

    Ijiri Hiroyuki

    <p>This study is the first to examine the changes in the effectiveness of Japan's quantitative easing policy (QEP) at a monthly frequency, using time-varying parameter VAR estimation. The result …

    Japanese Journal of Monetary and Financial Economics 4(1), 1-17, 2016

    J-STAGE 

  • Efficiency of Quantitative Easing in Japan during (2001,2006) through Estimation of Precautionary Money Demand-II

    Morita Yoji , Miyagawa Shigeyoshi

    … First we comparatively investigate economic activities in the usual economy period of (1981,1998) and in the zero interest rate period of (1999,2006), where vector autoregressive (VAR) model of (call rate, exchange rate, stock, nominal GDP, price) is estimated with "call rate" replaced by "Reserve" in the latter period. …

    Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications 2016(0), 164-170, 2016

    J-STAGE 

  • 多変量時系列データへのベクトル自己回帰モデルの適用に関する考察  [in Japanese]

    Mizuno Daisuke , Moriyama Takeru , Yamasaki Junya , Nagatani Tomohiro , Yuyama Aimi , Maeda Syunji , Takahashi Masaya , Tanaka Kazuhide , Hoshihira Yugo

    設備に付加したセンサから得られるデータを対象とした設備診断や、風力発電などの発電量予測などでは、対象となるデータは多変量の時系列データであり、解析手法の1つとしてベクトル自己回帰モデルがある。本報告では、ベクトル自己回帰モデルの残差、予測誤差、動的相関などに着目し、データの相互比較を通して、どのような特性のデータであれば、設備の異常検知や風力発電量予測の実現に適しているのか検討を開始した。

    Proceedings of JSPE Semestrial Meeting 2016S(0), 583-584, 2016

    J-STAGE 

  • ベクトル自己回帰と過去の類似データの活用による風速予測  [in Japanese]

    Nagatani Tomohiro , Moriyama Takeru , Yuyama Aimi , Maeda Shunji , Takahashi Masaya , Tanaka Kazuhide , Hoshihira Yugo

    風力発電の出力は自然現象に左右され、出力が大きい場合や多数台の連系運転を行う場合に系統への影響が大きくなることが懸念される。このため、風力発電量を予測し、系統運用に反映させることが可能になれば、風力エネルギの高効率利用が期待できる。本報告では、ベクトル自己回帰モデルを用いた予測と、過去の類似データを用いた予測を併用することにより予測精度が向上できないか検討した。

    Proceedings of JSPE Semestrial Meeting 2016S(0), 581-582, 2016

    J-STAGE 

  • VARモデル風速予測における予測誤差の分析  [in Japanese]

    Yuyama Aimi , Nagatani Tomohiro , Mizuno Daisuke , Maeda Shunji , Takahashi Masaya , Tanaka Kazuhide , Hoshihira Yugo

    風力発電の出力は自然現象に左右され、出力が大きい場合や多数台の連系運動を行う場合に系統への影響が大きくなることが懸念される。このため、風力発電量を予測し、系統運用に反映させることが可能になれば、風力エネルギーの高効率利用が期待できる。本研究では、ベクトル自己回帰モデルを用いた風速予測において、風速のモデル残差、予測誤差などの関係について分析した結果を報告する。

    Proceedings of JSPE Semestrial Meeting 2016S(0), 579-580, 2016

    J-STAGE 

  • 因果関係に基づく異常検知に関する考察  [in Japanese]

    Yamasaki Junya , Nagatani Tomohiro , Mizuno Daisuke , Moriyama Takeru , Maeda Shunji , Araki Tomoyuki , Noda Tojiro , Suzuki Tadashi

    設備に付加したセンサから得られる多変量時系列データを対象とした設備診断では、部分空間法や相関関係に基づく異常検知手法が提案され、実用化されている。これらに対し、因果関係に基づく手法にベクトル自己回帰、インパルス応答関数などがある。本報告では、ベクトル自己回帰等に基づく異常検知において、どのような特性のセンサデータ、どのような種類の異常であれば、異常検知の感度が確保できるのか検討を開始した。

    Proceedings of JSPE Semestrial Meeting 2016S(0), 467-468, 2016

    J-STAGE 

  • Bayesian analysis of the predictive power of the yield curve using a vector autoregressive model with multiple structural breaks

    Sugita Katsuhiro

    … In this paper we analyze the predictive power of the yield curve on output growth using a vector autoregressive model with multiple structural breaks in the intercept term and the volatility. … To estimate the model and to detect the number of breaks, we apply a Bayesian approach with Markov chain Monte Carlo algorithm. …

    Economics Bulletin 35(3), 1867-1873, 2015-09-02

    IR 

  • Construction of Technology-Industry Concordance Table in Japan Based on Granger Causality Test  [in Japanese]

    河合 毅治 , 長平 彰夫

    日本経営システム学会誌 32(1), 19-25, 2015-07

  • Efficiency of Quantitative Easing in Japan during (2001,2006) through Estimation of Precautionary Money Demand

    Morita Yoji , Miyagawa Shigeyoshi

    … First we estimate vector autoregressive (VAR) model, which consists of the reserves, stock, exchange rate and real GDP. …

    Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications 2014(0), 84-89, 2014

    J-STAGE 

  • Validity of combining triaxial accelerometry and heart rate in the assessment of the dynamics of energy expenditure during walking  [in Japanese]

    Koshiba Yoshimune , Kanno Jun , Saitoh Tadashi , Niizeki Kyuichi

    … In this study, we propose a method to predict dynamics of EE during walking from the amplitude of a 3D vector of accelerometer (A<sub>3D</sub>) and heart rate (HR) by using transfer function estimates (TFs). … The autoregressive with exogenous input model method was used for calculating TFs. …

    Transactions of Japanese Society for Medical and Biological Engineering 52(Supplement), O-440-O-441, 2014

    J-STAGE 

  • Design of RLS Wiener Fixed-Lag Smoother in Linear Discrete-Time Stochastic Systems

    NAKAMORI Seiichi

    … It is assumed that the signal process is fitted to the autoregressive (AR) model of order NN. … For this AR model of order NN, in the proposed fixed-lag smoother, the fixed-lag smoothing estimate for the fixed lag LL, 1≦LL≦NN−1, can be calculated. …

    鹿児島大学教育学部研究紀要. 自然科学篇 66, 51-66, 2014

    IR 

  • Analysis of Effects of Meteorological Factors on Dengue Incidence in Sri Lanka Using Time Series Data

    Goto Kensuke , Kumarendran Balachandran , Mettananda Sachith , Gunasekara Deepa , Fujii Yoshito , Kaneko Satoshi

    … Subsequently, time series analyses were performed on the basis of ordinary least squares regression analysis followed by the vector autoregressive model (VAR). …

    PLoS ONE 8(5), e63717, 2013-05-09

    IR 

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