Bücher von Genshiro Kitagawa

The Akaike information criterion (AIC) derived as an estimator of the Kullback-Leibler information discrepancy provides a useful tool for evaluating statistical models, and numerous successful applications of the AIC have been reported in various fields of natural sciences, social sciences and engineering.One of the main objectives of this book is to provide comprehensive explanations of the concepts and derivations of the AIC and related criteria, including Schwarz's Bayesian information criterion (BIC), together with a wide range of practical examples of model selection and evaluation criteria. A secondary objective is to provide a theoretical basis for the analysis and extension of information criteria via a statistical functional approach. A generalized information criterion (GIC) and a bootstrap information criterion are presented, which provide unified tools for modeling and model evaluation for a diverse range of models, including various types of nonlinear models and model estimation procedures such as robust estimation, the maximum penalized likelihood method and a Bayesian approach.

Although ships' autopilot systems are considered through the entire book, the methods set forth in this book can be applied to many other complicated, large, or noisy feedback control systems for which it is difficult to derive a model of the entire system based on theory in that subject area.

This text deals with various theoretical and practical methods for real-time automatic signal processing in local (and regional) seismic networks and associated software developments, including extraction of small seismic signal from noisy observation by piecewise modeling.

Statistical modeling is a critical tool in scientific research. The authors expect this work to be of great value not just to statisticians but also to researchers and practitioners in various fields of research such as information science, computer science, engineering, bioinformatics, economics, marketing and environmental science.

This book presents a new statistical method of constructing a price index of a financial asset where the price distributions are skewed and heavy-tailed and investigates the effectiveness of the method. This book first develops an index construction method depending on the price distributions, by using nonstationary time series analysis.

Smoothness Priors Analysis of Time Series addresses some of the problems of modeling stationary and nonstationary time series primarily from a Bayesian stochastic regression "smoothness priors" state space point of view.