PARAMETER ESTIMATION METHOD, DATA PREDICTION METHOD, PARAMETER ESTIMATION DEVICE, DATA PREDICTION DEVICE, COMPUTER PROGRAM AND RECORDING MEDIUM

摘要

PPROBLEM TO BE SOLVED: To provide a parameter estimation method capable of facilitating convergence of a value of a parameter, and reducing calculation time. PSOLUTION: A vector (a) that is an AR parameter is calculated by use of a Yule-Walker equation to a tertiary cumulant (step S23). White noise äeSBn/SB} is generated by use of a random number or the like (step S24), and a vector b is calculated from the generated white noise and a time series stored in a storage part (step S27). A calculation part calculates new white noise äeSBn/SB} from the calculated vectors (a), b (step S29), and repeats the calculation until the vector b that is the parameter to be estimated converges. PCOPYRIGHT: (C)2005,JPO&NCIPI