Yoichi NISHIYAMA Associate Professor, Mathematical Statistics Group, Department of Mathematical Analysis and Statistical Inference; Financial Risk and Insurance Research Group, Risk Analysis Research Center

E-mail: nisiyama Personal Homepage: http://www.ism.ac.jp/~nisiyama/ Date of Birth: January, 1969 Education: Bachelor of Science, Department of Mathematics, Osaka Univ., 1991 Master of Engineering, Department of Mathematical Science, Osaka Univ., 1993 Degree: Ph.D., Utrecht Univ., 1998, Title of Ph.D Thesis: Entropy Methods for Martingales. Employment: 1994-2005, Assistant Professor, Department of Fundamental Statistical Theory, The Institute of Statistical Mathematics 1996-1998, JSPS fellow for research abroad 2005-2008, Assistant Professor, Department of Mathematical Analysis and Statistical Inference, The Institute of Statistical Mathematics 2008-present, Associate Professor, Department of Mathematical Analysis and Statistical Inference; Risk Analysis Research Center, The Institute of Statistical Mathematics Honors & Awards: Ogawa Prize, 2009 Research Fields: Mathematical Statistics Research Themes: Statistical inference for stochastic processes

Selected Papers
(1) Nishiyama, Y. (1995): Local asymptotic normality of a sequential model for marked point processes and its applications, Ann. Inst. Statist. Math., 47, 195-209.
(2) Nishiyama, Y. (1997): Some central limit theorems for l^∞-valued semimartingales and their applications, Probab. Theory Relat. Fields, 108, 459-494.
(3) Nishiyama, Y. (1999): A maximal inequality for continuous martingales and M-estimation in a Gaussian whote noise model, Ann. Statist., 27, 157-174.
(4) Nishiyama, Y. (2000): Weak convergence of some classes of martingales with jumps, Ann. Probab., 28, 685-712.
(5) Lee, S., Nishiyama, Y. and Yoshida, N. (2006): Test for parameter change in diffusion processes by cusum statistics based on one-step estimators, Ann. Inst. Statist. Math., 58, 211-222.
(6) Nishiyama, Y. (2007): On the paper ``Weak convergence of some classes of martingales with jumps'', Ann. Probab., 35, 1194-1200.
(7) Nishiyama, Y. (2008): Nonparametric estimation and testing time-homogeneity for processes with independent increments, Stochastic Process. Appl., 118, 1043-1055.
(8) Nishiyama, Y. (2008): Donsker's theorem for discretized data, J. Japan Statist. Soc., 38, 505-515.
(9) Nishiyama, Y. (2009): Asymptotic theory of semiparametric Z-estimators for stochastic processes with applications to ergodic diffusions and time series, Ann. Statist., 37, 3555-3579.
(10) Nishiyama, Y. (2009): Goodness-of-fit test for a nonlinear time series, J. Time Ser. Anal., 30, 674-681.
(11) Negri, I. and Nishiyama, Y. (2009): Goodness of fit test for ergodic diffusion processes, Ann. Inst. Statist. Math., 61, 919-928.
(12) Nishiyama, Y. (2009): Two sample problem for rounded data, J. Japan Statist. Soc., 39, 233-238.
(13) Negri, I. and Nishiyama, Y. (2010): Goodness of fit test for ergodic diffusions by tick time sample scheme, Stat. Inference Stoch. Process., 13, 81-95.
(14) Nishiyama, Y. (2010): Nonparametric inference in multiplicative intensity model by discrete time observation, Ann. Inst. Statist. Math., 62, 823-833.
(15) Nishiyama, Y. (2010): Moment convergence of M-estimators, Statist. Neerlandica, 64, 505-507.
(16) Negri, I. and Nishiyama, Y. (2010): Review on goodness of fit tests for ergodic diffusion processes by different sampling schemes, Economic Notes, 39, 91-106.
(17) Nishiyama, Y. (2011): On Z-estimation by rounded data, J. Statist. Plann. Inference, 141, 287-292.
(18) Negri, I. and Nishiyama, Y. (2011): Goodness of fit test for small diffusions by discrete time observations, Ann. Inst. Statist. Math., 63, 211-225.
(19) Nishiyama, Y. (2011): Impossibility of weak convergence of kernel density estimators to a non-degenerate law in L₂(R^d), J. Nonparametr. Statist., 23, 129-135.
(20) Masuda, H., Negri, I. and Nishiyama, Y. (2011): Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach, J. Nonparametr. Statist., 23, 237-254.
(21) Nishiyama, Y. (2011): A rank statistic for non-parametric k-sample and change point problems, J. Japan Statist. Soc., 41, 67-73.
(22) Nishiyama, Y. (2011): Estimation for the invariant law of an ergodic diffusion process based on high-frequency data, J. Nonpaarmetr. Statist., 23, 909-915.

Selected Publications
(1) Nishiyama, Y. (2000): Entropy Methods for Martingales, CWI Tract 128, Centrum voor Wiskunde en Informatica, Amsterdam.
(2) Nishiyama, Y. (2011): Statistical Analysis by the Theory of Martingales, (In Japanese,) ISM Series1, Kindaikagakusha, Tokyo.

Membership of Academic Societies
Japan Statistical Society, Mathematical Society of Japan.

Professional Services
Associate Editor of Ann. Inst. Statist. Math. (2008-), J. Japan Statist. Soc. (2010-), Proc. Inst. Statist. Math. (2008-2010) and Sugaku (2007-2009).
Local Organizing Comittee of 2nd Institute of Mathematical Statistics Asia Pacific Rim Meeting 2012.

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