NDLI: A Novel Structural AR Modeling Approach for a Continuous Time Linear Markov System

Content Provider	IEEE Xplore Digital Library
Author	Demeshko, M. Washio, T. Kawahara, Y.
Copyright Year	2013
Description	Author affiliation: Inst. of Sci. & Ind. Res., Osaka Univ., Ibaraki, Japan (Demeshko, M.; Washio, T.; Kawahara, Y.)
Abstract	We often use a discrete time vector autoregressive (DVAR) model to analyse continuous time, multivariate, linear Markov systems through their time series data sampled at discrete time steps. However, the DVAR model has been considered not to be structural representation and hence not to have bijective correspondence with system dynamics in general. In this paper, we characterize the relationships of the DVAR model with its corresponding structural vector AR (SVAR) and continuous time vector AR (CVAR) models through finite difference approximation of time differentials. Our analysis shows that the DVAR model of a continuous time, multivariate, linear Markov system bijectively corresponds to the system dynamics. Further we clarify that the SVAR and the CVAR models are uniquely reproduced from their DVAR model under a highly generic condition. Based on these results, we propose a novel Continuous time and Structural Vector AutoRegressive (CSVAR) modeling approach for continuous time, linear Markov systems to derive the SVAR and the CVAR models from their DVAR model empirically derived from the observed time series. We demonstrate its superior performance through some numerical experiments on both artificial and real world data.
Sponsorship	Toshiba
Starting Page	104
Ending Page	113
File Size	684629
Page Count	10
File Format	PDF
e-ISBN	9781479931422
DOI	10.1109/ICDMW.2013.17
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2013-12-07
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Analytical models Noise DVAR model continuous time linear Markov system Markov processes Data models Vectors structural modeling SVAR model Numerical models Mathematical model CVAR model
Content Type	Text
Resource Type	Article

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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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