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METHOD AND PROGRAM FOR DETECTING CHANGE-POINT OF TIME SERIES DATA, AND METHOD AND PROGRAM FOR PREDICTING PROBABILITY DENSITY DISTRIBUTION OF FUTURE TIME-SERIES DATA VALUES

外国特許コード F130007646
整理番号 S2013-0603-N0
掲載日 2013年10月7日
出願国 世界知的所有権機関(WIPO)
国際出願番号 2012JP005697
国際公開番号 WO 2013/035344
国際出願日 平成24年9月7日(2012.9.7)
国際公開日 平成25年3月14日(2013.3.14)
優先権データ
  • 特願2011-196512 (2011.9.8) JP
  • 特願2012-050819 (2012.3.7) JP
発明の名称 (英語) METHOD AND PROGRAM FOR DETECTING CHANGE-POINT OF TIME SERIES DATA, AND METHOD AND PROGRAM FOR PREDICTING PROBABILITY DENSITY DISTRIBUTION OF FUTURE TIME-SERIES DATA VALUES
発明の概要(英語)

The present invention applies the particle filter method to a PUCK model that is for calculating the real market price P(t+1) at time(t), which is determined by the real market price P(t) and a median price PM(t). First, particles having parameters are generated, said parameters indicating the states of the PUCK model and each of which having different values, to obtain a probability density function of the parameters. Then, likelihood of each of the particles is evaluated, and resampling of the particles is executed according to the likelihood, as follows. A random number is generated and this random number is compared to a prescribed value, and when the random number is greater than the prescribed value, a particle is regenerated according to a probability density function such as a normal distribution that has the parameter value of the model at time (t) as the average value thereof, and when the random number is less than the prescribed value, a particle is regenerated using a uniform distribution as the probability density function. A series of these processes is to be continued.

  • 出願人(英語)
  • ※2012年7月以前掲載分については米国以外のすべての指定国
  • TOKYO INSTITUTE OF TECHNOLOGY,
  • TAKAYASU, MISAKO,
  • YURA, YOSHIHIRO,
  • NAKAMURA, KAZUYUKI
  • 発明者(英語)
  • TAKAYASU, MISAKO,
  • YURA, YOSHIHIRO,
  • NAKAMURA, KAZUYUKI
国際特許分類(IPC)
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