An improvement of weak stationary test of time series and non-linear causal analysis.

时间序列弱平稳检验和非线性因果分析的改进。

• 批准号: 08640271
• 负责人: NAKANO Yuji
• 金额: $ 0.7万
• 依托单位: Shiga University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 1996
• 资助国家: 日本
• 起止时间: 1996 至 1998
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-08640271/
• 关键词: stationary; KM_2 O-Langevin equation; causality; time series; Test(S); 局所因果性; 検定(S); 局所因果解析; 因果解析

A weakly stationary process, whose time parameter space is a finite interval, is called a local and weakly stationary process. Okabe and Nakano constructed Test(S) which states a criterion that multi-dimensional data are a realization of a local and weakly stationary process. In this study, we propose a revised test of Test(S), say R-Test(S) . R-Test(S) has a better efficient than Test(S) when non-linear data are tested. We apply R-Test(S) to well-known data, sunspot numbers and Lynx in Canada from 1921 to 1934. We worked up R-Test(S) into the paper "On a revised test of Test(S) in time series" .We defined two kinds of causality. One is linear local causality and other is non-linear local causality. We introduce a causal value between time series. Furthermore, we propose a test which tests the linear local causality between given time series. As an application, The causal relation between sunspot numbers and Lynx in Canada are analyzed. We worked up R-Test(S) into the paper. "On a causal function between time series" .

时间参数空间为有限区间的弱平稳过程称为局部弱平稳过程。冈部和中野构造的检验(S)，它提出了一个准则，即多维数据是局部弱平稳过程的实现。在本研究中，我们提出了一种修订的测试(S)，即R测试(S)。在对非线性数据进行检验时，S的R-检验比S的R-检验有更高的效率。我们应用R检验(S)对1921-1934年加拿大的著名数据、太阳黑子数和LYNX进行了检验。我们将S的R-检验整理成“关于时间序列中检验(S)的一种修正检验”一文，定义了两种因果关系。一种是线性局部因果关系，另一种是非线性局部因果关系。我们引入了时间序列之间的因果值。此外，我们还提出了一种检验给定时间序列之间线性局部因果关系的检验方法。作为应用，分析了加拿大黑子数与LYNX的因果关系。我们把S的R测验写进了试卷。“关于时间序列之间的因果函数”。

项目成果

中野裕治: "経済学と情報" 社会と情報. 1巻. 36-46 (1996)

中野雄二：《经济与信息》《社会与信息》卷 1. 36-46 (1996)

Yuji NAKANO: "On a Causal Analysis of Time Series" Book of Abstructs First European Conference on Highly Structured Stochastic Systems. 1. 116-118 (1996)

Yuji NAKANO：《关于时间序列的因果分析》摘要之书第一届欧洲高度结构化随机系统会议。

Yuji NAKANO: "Local causal analysis in time series, eliminating the influence of a specific variable" Tsuda I.(ed) , "Construction theory of complex systems and experimental mathematics for computing"Report of Grant-in-Aid for Scientific Research. 51-52 (

中野雄二：“时间序列中的局部因果分析，消除特定变量的影响”津田I.（编辑），“复杂系统的构造理论和计算实验数学”科学研究资助报告。

Yuji NAKANO: "On a Causal Analysis of Time Series" Book of Abstracts “First European Conference on Highly Structured Stochastic Systems". 1. 116-118 (1996)

Yuji NAKANO：“关于时间序列的因果分析”摘要书“第一届欧洲高度结构化随机系统会议”。1. 116-118 (1996)。

中野裕治: "時系列の局所因果解 : 特定の変量の影響を除いた場合" 津田一郎編“複雑系の構成論および計算論のための実験数学". 51-52 (1997)

Yuji Nakano：“时间序列的局部因果解：排除特定变量的影响”，津田一郎，“复杂系统的组合理论和计算理论的实验数学”51-52（1997）。