| 摘要 |
<p><P>PROBLEM TO BE SOLVED: To provide a method for certainly estimating a parameter of a time series comprising data obtained from a system accompanying input, a method for predicting realistic data, a parameter estimation device, a data prediction device, and a computer program. <P>SOLUTION: This data prediction device (parameter estimation device) sets a cross-correlation function of a present sample time series äx<SB>n</SB>} and a future input time series äu<SB>n</SB>} as 0 to calculate data (S2), generates white noise äe<SB>n</SB>} (S3), calculates the dispersionσ<SB>e</SB><SP>2</SP>of äe<SB>n</SB>} (S4), sets a cross-correlation function of äu<SB>n</SB>} and äe<SB>n</SB>} as 0 and sets a cross-correlation function of present äx<SB>n</SB>} and future äe<SB>n</SB>} as 0 to calculate data (S5), sets an autocorrelation function of äe<SB>n</SB>} asσ<SB>e</SB><SP>2</SP>at lag 0, and as 0 at the other lags, and calculates the parameter of an ARMAX model (S6). The data prediction device decides convergence of the parameter (S7), calculates new white noise when not converging (S8), and repeats the calculation until the parameter converges. <P>COPYRIGHT: (C)2005,JPO&NCIPI</p> |
