The Practice of Time Series Analysis

Transcription

1 Hirotugu Akaike Genshiro Kitagawa Editors The Practice of Time Series Analysis Springer

2 Contents Preface to the English Version Preface The Structure of This Book and General References v vii ix 1 Control of Boilers for Thermoelectric Power Plants by Means of a Statistical Model 1 Hideo Nakamura 1.1 Introduction Problems in Controlling Multivariable System System Analysis and Control by Means of Statistical Model Practical Procedure for Optimal Controller Design Application Results at Actual Plants Closing Remarks 15 2 Feedback Analysis of a Living Body by a Multivariate Autoregressive Model 19 Takao Wada 2.1 Introduction Body Liquid Control and Feedback Example of the Relative Power Contribution and Impulse Response Using an Autoregressive Model for Feedback Analysis Obtaining the Power Contribution State Equation and Impulse Response Impulse Response of the Closed and Open Systems Confirmation by a Virtual Feedback System Conclusions 34

3 XÜ Contents 3 Factor Decomposition of Economic Time Series Fluctuations - Economic and Statistical Models in Harmony 37 Kosei Fukuda 3.1 Introduction Model 1 (Model with Stochastic Components Only) Model 2 (the Model Including Deterministic Components) Model 3 (the Model by Which Macroeconomic Policy Effect can Also be Measured) Has Fine Tuning been Successful? Is Prediction Ability Available? Conclusions and Subjects in the Future 53 4 The Statistical Optimum Control of Ship Motion and a Marine Main Engine 57 Kohei Ohtsu 4.1 Introduction Outline of the Control of the Motion of the HuU and Main Engine Statistical Model of Ship Motions and Its Control Design of Optimum Autopilot System Based on the Control-Type Autoregressive Model Noise-Adaptive Control System Rudder-Roll Control System Application to the Marine Main Engine Governor System Conclusions 75 5 High Precision Estimation of Seismic Wave Arrival Times 79 Tetsuo Takanami 5.1 Introduction Locally Stationary AR Model Automatic Division of a Locally Stationary Interval Precision Estimation of Seismic Wave Arrival Times Application: Earthquake Location and Velocity Structure Determination from Precise Arrival Time Estimates Conclusions 92 6 Analysis of Dynamic Characteristics of a Driver-Vehicle System 95 Hitoshi Soma 6.1 Introduction Dynamics of Automobile under Lateral-Wind Disturbance Application of Multivariate AR Model to Driver-Vehicle System Dynamics of Driver-Vehicle System under Lateral-Wind Conclusions 112

4 Contents xüi 7 Estimation of Directional Wave Spectra Using Ship Motion Data 115 Toshio Iseki 7.1 Introduction Cross-spectrum Analysis by a Multivariate AR Model Relation Between the Directional Wave Spectrum and the Ship Motions Estimation of the Directional Wave Spectrum Using a Bayesian Model Results of the Tank Test Using a Model Ship Conclusions Control of Filature Production Process 131 Akinori Shimazaki 8.1 Dropping-end Control and Gap Process Size Control of Raw Silk Dwell Time in a Black Box Application to Pharmacokinetic Analysis 153 Akifumi Yafune 9.1 Introduction Pharmacokinetic Model Monte Carlo Estimation of Maximum Log Likelihood Example Concluding Remarks State Space Modeling of Switching Time Series 163 Fumiyasu Komaki 10.1 Introduction Time Series Data with Pulses and the Existing Methods The State Space Model for Time Series with Pulses Conclusions Time Varying Coefficient AR and VAR Models 175 Xing-Qi Mang 11.1 Introduction Time Varying Coefficient AR Models Time Varying Coefficient VAR Models An Example of Seismic Data Analysis 183

5 XIV Contents 12 Statistical Control of Cement Process 193 Yoshitaka Yagiham 12.1 Introduction Cement Plant Identification and Control of the Kiln Process CoUection and Identification of the Data under the On-line Control Optimal Production Level and Pursuit Control Conclusions Analysis of a Human/2-Wheeled-Vehicle System by ARdock 209 Makio Ishiguro and Takao Oya 13.1 Introduction Data AR Model and ARdock Numerical Results Analysis of the Hands-Free Steering The Optimum Control Vibration Data Analysis of Automobiles 229 Shinzi Yamakawa 14.1 Preface Road Surface Input-Wear of Component Material and Fading Comfort Separation of Correlated Power Components in a Multiple Input System by Means of Power Contributions Decision of Continuity of Data Properties Identification of Nonlinear Vibration System Through Bispectral Analysis Continuous Measurement of Time-variant Spectrum Afterword Auto-Regressive Spectral Analysis of RR-Interval Time Series in Healthy Fetus and Newborn Infants 247 Teruyuki Ogawa 15.1 Introduction Subjects and Methods Results Discussion Conclusions 258

6 Contents XV 16 Information Processing Mechanisms in the Mammalian Brain: Analysis of Spatio-Temporal Neural Response in the Auditory Cortex 263 Kohyu Fukunishi 16.1 Introduction Instrumentation of and Information Processing in the Brain Optical Multipoint Observation in the Mammalian Auditory Cortex Spatio-Temporal Neural Activity Observation Functional Modules in the Auditory Cortex Pattern Time Series Analysis Neural Correlation of and Neural Binding Evaluation of Cortical Neural Binding Characteristics of Stationary Stochastic Response Conclusions Time Series Analysis of Financial Asset Price Fluctuations 285 Hiroshi Tsuda 17.1 Introduction Nonstationary Nature of Financial Asset Prices Multivariate Analysis of the Time Series Model Conclusion Dynamic Analysis of Economic Time Series 299 Sadao Naniwa 18.1 Introduction Trend of the Economic Time Series and the Fluctuation Around the Trend Analysis of Abrupt Change of Trend Analysis of the Economic System by a Multivariate Nonstationary Time Series Model Conclusions Processing of Time Series Data Obtained by Satellites 313 Tomoyuhi Higuchi 19.1 Introduction Problems to be Dealt With Approach by a Bayesian Model -Simple Model Example of a Simple Model Point Noise Source Model Conclusions 326

7 XVI Contents 20 Analysis of Earth Tides Data 327 Yoshiaki Tamara 20.1 What are Earth Tides? Analysis Model Tidal Analysis Program BAYTAP-G Focal Points in the Analysis Concluding Remarks Detection of Groundwater Level Changes Related to Earthquakes 341 Norio Matsumoto 21.1 Introduction Observation Data Data Analysis Method Analysis of Actual Data Conclusions Processing of Missing Observations and Outliers in Time Series 353 Genshiro Kitagawa 22.1 Missing Observations and Outliers Processing of Missing Observations Processing of Outliers Conclusions Mental Preparation for Time Series Analysis 367 Hirotugu Akaike 23.1 Introduction Time Series Analysis and Statistical Science Prediction and Expectation Ultimate Truth and Models Evaluation of a Model and Information Criterion Confirmation of Validity Conclusions 371 Appendix 373 Index 381