DATA PREDICTION APPARATUS

摘要

This data prediction apparatus is equipped with: a data observation unit that observes the values of time-series data; a model identification unit that uses a stochastic-differential-equation-model to identify a steady-state model and a non-steady-state model, on the basis of past observed time-series data; a likelihood calculation unit that calculates likelihoods, which are values expressing the likelihood of the steady-state model and the non-steady-state model; a mixing ratio calculation unit that calculates the mixing ratio of the steady-state model and the non-steady-state model on the basis of the respective likelihoods of the steady-state model and the non-steady-state model; and a probability distribution prediction unit that predicts the probability distribution of the time-series data on the basis of a prediction model obtained by mixing the steady-state model and the non-steady-state model according to the mixing ratio.

主权项

1. A data prediction apparatus, comprising:
a data observation unit that is configured to observe values of time series data; a model identification unit that is configured to identify a steady-state model and a non-steady-state model with stochastic-differential-equation-models respectively, based on observed past time series data, the steady-state model representing the time series data when a fluctuation process of time series data is a steady-state process, and the non-steady-state model representing the time series data when a fluctuation process of time series data is a non-steady-state process; a likelihood calculation unit that is configured to calculate likelihoods, which are values indicating degrees of likelihood of the steady-state model and the non-steady-state model, respectively based on observed past time series data; a mixing ratio calculation unit that is configured to calculate a mixing ratio of the steady-state model to the non-steady-state model based on the respective likelihoods of the steady-state model and the non-steady-state model; and a probability distribution prediction unit that is configured to predict a probability distribution of time series data based on a prediction model that is obtained by mixing the steady-state model with the non-steady-state model in accordance with the mixing ratio.