New Generation Computing

, Volume 18, Issue 1, pp 17–28 | Cite as

Automatic transaction of signal via statistical modeling

  • Genshiro Kitagawa
  • Tomoyuki Higuchi
Special Feature


The statistical information processing can be characterized by the likelihood function defined by giving an explicit form for an approximation to the true distribution. This mathematical representation, which is usually called a model, is built based on not only the current data but also prior knowledge on the object and the objective of the analysis. Akaike2,3) showed that the log-likelihood can be considered as an estimate of the Kullback-Leibler (K-L) information which measures the similarity between the predictive distribution of the model and the true distribution. Akaike information criterion (AIC) is an estimate of the K-L information and makes it possible to evaluate and compare the goodness of many models objectively. In consequence, the minimum AIC procedure allows us to develop automatic modeling and signal extraction procedures. In this article, we give a simple explanation of statistical modeling based on the AIC and demonstrate four examples of applying the minimum AIC procedure to an automatic transaction of signals observed in the earth sciences.


Kullback-Leibler Information Akaike Information Criterion (AIC) Statistical Modeling Signal Processing Generalized State Space Model 


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Copyright information

© Ohmsha, Ltd. and Springer 2000

Authors and Affiliations

  • Genshiro Kitagawa
    • 1
  • Tomoyuki Higuchi
    • 1
  1. 1.The Institute of Statistical MathematicsTokyoJAPAN

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