改良型先行インディケータを用いた非定常時系列の変化方向予測法

カテゴリ: 論文誌(論文単位)

グループ名: 【C】電子・情報・システム部門

発行日: 2023/05/01

タイトル(英語): Nonstationary Time Series Change Direction Forecast Method Using Improved Leading Indicator

著者名: 吉田　洋和（放送大学大学院文化科学研究科）

著者名(英語): Hirokazu Yoshida (Graduate School of Cultural Sciences, The Open University of Japan)

キーワード: 非定常時系列，先行インディケータ，緩勾配化，改良型正弦波インディケータ，変化方向　　nonstationary time series，leading indicator，gentle slope，improved sine wave indicator，change direction

要約(英語): This paper presents a method for forecasting the change direction of nonstationary time series using the improved leading indicator. The leading indicator is a method developed by Ehlers that translates a time series mathematically in the future direction with respect to the time axis and calculates the leading value of the time series. However, this method has the problem that the leading value can be calculated only in the low frequency region with a normalized frequency of 0.06 or more (normalized period of 17 or more) at the maximum. In order to solve this problem, by gentle slope the amplitude characteristics in the low frequency region of the leading indicator, it is possible to calculate the leading value in the frequency domain with a normalized frequency of 0.25 or more (normalized period of 4 or more) at the maximum. By applying the preceding value to the instantaneous periodic time series by the improved sine wave indicator developed by Ehlers, it is possible to forecast the change direction of the non-stationary time series in the short term.

本誌: 電気学会論文誌C（電子・情報・システム部門誌） Vol.143 No.5 （2023） 特集：医用・生体工学関連技術

本誌掲載ページ: 576-584 p

原稿種別: 論文／日本語

電子版へのリンク: https://www.jstage.jst.go.jp/article/ieejeiss/143/5/143_576/_article/-char/ja/