Paper Abstract and Keywords |
Presentation |
2013-06-14 10:50
Modeling for Events characterizing Simultaneous Change in Time Series Parameters by using Coupled Pricing and Parameter Estimation based on Bayesian Method Shozo Tokinaga (Kyushu Univ.), Yoshikazu Ikeda (Kitakyushu Univ.) SIS2013-11 |
Abstract |
(in Japanese) |
(See Japanese page) |
(in English) |
This report deals with
modeling for events characterizing simultaneous change in
time series parameters by using coupled pricing and
parameter estimation based on Bayesian method.
At first, we formalize the change point of parameter by using the
jumps of time series modeled by the discrete chaotic
fluctuation (called pricing) based on arrival/balk of
input flow to queueing systems having capacity $mu$.
Then, we extend the synchronization to define the model
inducing jumps in several fluctuation generated by
referencing and coupling their state variables,
which correspond to the simultaneous changes of parameters .
We use the conventional Genetic Algorithm (GA)
to estimate the model of coupled pricing. Parameters such as
initial values of pricing, capacity $mu$ and threshold values to
induce jumps are embedded in the string of individuals,
and the fitness of individual is defined as the likelihood of
parameter estimation reduced by the pricing defined by the
individual. As Applications, we show the result of
simulation studies for the estimation of time series
parameter, and also the applicability to real time series. |
Keyword |
(in Japanese) |
(See Japanese page) |
(in English) |
Pricing / Time series parameters / Event of simultaneous change, / Chaotic fluctuation / Bayesian estimation / / / |
Reference Info. |
IEICE Tech. Rep., vol. 113, no. 78, SIS2013-11, pp. 53-58, June 2013. |
Paper # |
SIS2013-11 |
Date of Issue |
2013-06-06 (SIS) |
ISSN |
Print edition: ISSN 0913-5685 Online edition: ISSN 2432-6380 |
Copyright and reproduction |
All rights are reserved and no part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopy, recording, or any information storage and retrieval system, without permission in writing from the publisher. Notwithstanding, instructors are permitted to photocopy isolated articles for noncommercial classroom use without fee. (License No.: 10GA0019/12GB0052/13GB0056/17GB0034/18GB0034) |
Download PDF |
SIS2013-11 |
Conference Information |
Committee |
SIS |
Conference Date |
2013-06-13 - 2013-06-14 |
Place (in Japanese) |
(See Japanese page) |
Place (in English) |
Houzan Hall (Kagoshima) |
Topics (in Japanese) |
(See Japanese page) |
Topics (in English) |
|
Paper Information |
Registration To |
SIS |
Conference Code |
2013-06-SIS |
Language |
Japanese |
Title (in Japanese) |
(See Japanese page) |
Sub Title (in Japanese) |
(See Japanese page) |
Title (in English) |
Modeling for Events characterizing Simultaneous Change in Time Series Parameters by using Coupled Pricing and Parameter Estimation based on Bayesian Method |
Sub Title (in English) |
|
Keyword(1) |
Pricing |
Keyword(2) |
Time series parameters |
Keyword(3) |
Event of simultaneous change, |
Keyword(4) |
Chaotic fluctuation |
Keyword(5) |
Bayesian estimation |
Keyword(6) |
|
Keyword(7) |
|
Keyword(8) |
|
1st Author's Name |
Shozo Tokinaga |
1st Author's Affiliation |
Kyushu University (Kyushu Univ.) |
2nd Author's Name |
Yoshikazu Ikeda |
2nd Author's Affiliation |
The University of Kitakyushu (Kitakyushu Univ.) |
3rd Author's Name |
|
3rd Author's Affiliation |
() |
4th Author's Name |
|
4th Author's Affiliation |
() |
5th Author's Name |
|
5th Author's Affiliation |
() |
6th Author's Name |
|
6th Author's Affiliation |
() |
7th Author's Name |
|
7th Author's Affiliation |
() |
8th Author's Name |
|
8th Author's Affiliation |
() |
9th Author's Name |
|
9th Author's Affiliation |
() |
10th Author's Name |
|
10th Author's Affiliation |
() |
11th Author's Name |
|
11th Author's Affiliation |
() |
12th Author's Name |
|
12th Author's Affiliation |
() |
13th Author's Name |
|
13th Author's Affiliation |
() |
14th Author's Name |
|
14th Author's Affiliation |
() |
15th Author's Name |
|
15th Author's Affiliation |
() |
16th Author's Name |
|
16th Author's Affiliation |
() |
17th Author's Name |
|
17th Author's Affiliation |
() |
18th Author's Name |
|
18th Author's Affiliation |
() |
19th Author's Name |
|
19th Author's Affiliation |
() |
20th Author's Name |
|
20th Author's Affiliation |
() |
Speaker |
Author-1 |
Date Time |
2013-06-14 10:50:00 |
Presentation Time |
20 minutes |
Registration for |
SIS |
Paper # |
SIS2013-11 |
Volume (vol) |
vol.113 |
Number (no) |
no.78 |
Page |
pp.53-58 |
#Pages |
6 |
Date of Issue |
2013-06-06 (SIS) |
|