A novel continuous and structural VAR modeling approach and its application to reactor noise analysis

Marina Demeshko, Takashi Washio, Yoshinobu Kawahara, Yuriy Pepyolyshev

Research output: Contribution to journalArticle

Abstract

A vector autoregressive model in discrete time domain (DVAR) is often used to analyze continuous time, multivariate, linear Markov systems through their observed time series data sampled at discrete timesteps. Based on previous studies, the DVAR model is supposed to be a noncanonical representation of the system, that is, it does not correspond to a unique system bijectively. However, in this article, we characterize the relations of the DVAR model with its corresponding Structural Vector AR (SVAR) and Continuous Time Vector AR (CTVAR) models through a finite difference method across continuous and discrete time domain. We further clarify that the DVARmodel of a continuous time,multivariate, linearMarkov system is canonical under a highly generic condition. Our analysis shows that we can uniquely reproduce its SVAR and CTVAR models from the DVAR model. Based on these results, we propose a novel Continuous and Structural Vector Autoregressive (CSVAR) modeling approach to derive the SVAR and the CTVAR models from their DVAR model empirically derived from the observed time series of continuous time linear Markov systems. We demonstrate its superior performance through some numerical experiments on both artificial and real-world data.

Original languageEnglish
Article number24
JournalACM Transactions on Intelligent Systems and Technology
Volume7
Issue number2
DOIs
Publication statusPublished - Dec 1 2015
Externally publishedYes

Fingerprint

Structural Modeling
Reactor
Continuous Time
AR Model
Discrete-time
Time series
Vector Autoregressive Model
Time Series Data
Model
Difference Method
Finite difference method
Finite Difference
Numerical Experiment
Modeling

All Science Journal Classification (ASJC) codes

  • Theoretical Computer Science
  • Artificial Intelligence

Cite this

A novel continuous and structural VAR modeling approach and its application to reactor noise analysis. / Demeshko, Marina; Washio, Takashi; Kawahara, Yoshinobu; Pepyolyshev, Yuriy.

In: ACM Transactions on Intelligent Systems and Technology, Vol. 7, No. 2, 24, 01.12.2015.

Research output: Contribution to journalArticle

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