西山陽一のウェッブページ
(Web page for Yoichi Nishiyama)

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〒190-8562 東京都立川市緑町 10-3
統計数理研究所
准教授

Associate Professor
The Institute of Statistical Mathematics
10-3 Midori-cho, Tachikawa, Tokyo 190-8562, Japan

Email: nisiyama

Research Theme: Entropy Methods and Martingales, with Applications to Statistics

• Theory and statistical applications of random fields. (Keywords: maximal inequality, weak convergence theorem, unifrom central limit theorem, $\ell^\infty$-space, metric entropy, bracketing entropy, Donsker class, invariance principle.)
• Statistical inference for stochastic processes. (Keywords: semimartingale, diffusion process, counting process, Levy process, non-linear time series, multiplicative intensity model, Cox regression, discrete sampling.)
• Semi- and non-parametric statistical inference. (Keywords: local asymptotic normality, asymptotic efficiency, rate of convergence, M-estimator, Z-estimator, kernel estimator, infinite-dimensional nuisance parameter, goodness of fit test, change point problem.)
• Application fields include survival analysis and mathematical finance.

Information

• 平成２２年２月２２日（月）〜２３日（火）に、東京大学大学院数理科学研究科において研究集会「確率解析と統計的推測 V」を開催します。ウェッブサイトはこちら。
• 平成２０年４月以来、和文誌「統計数理」の編集委員を務めています。
  • 特集「確率過程の統計解析」（2009年6月、57巻1号）が刊行されました。リンクはこちら。
• 平成２０年４月以来、Annals of the Institute of Statistical Mathematics の Associate Editor を務めています。
• 平成２１年度に、日本数学会評議員を務めています。
• 平成２１年度に、日本数学会「数学通信」編集委員を務めています。書評するとよいと思われる書物のご推薦がありましたらよろしくお願いします。
• 東京大学大学院数理科学研究科における「統計数学セミナー」のオーガナイザーを長らく務めていました。セミナーは現在も吉田朋広先生、鎌谷研吾先生のオーガナイズのもと継続中です。参加に事前予約は不要です。講演をご希望される方はメールにてご連絡ください。（私あてに頂いてもお取りつぎします。）セミナーのＨＰはこちら。
• 他の（主として実施済みの）情報へのリンク
  

Profile ( Official[Japanese,English], Informal[Japanese] )

Awards

• 第２３回日本統計学会小川研究奨励賞（2009年9月）
  • Richard D. Gill 教授による「受賞者紹介」と西山による「受賞のことば」が掲載された会報 No.141 はこちら。

Links

Oral Presentation

• April 2009 - March 2010
• April 2008 - March 2009
• April 2007 - March 2008
• April 2006 - March 2007
  

Recent Papers (If you want a copy, send email to nisiyama)

• Nishiyama, Y. (201?). Two sample problem for rounded data. To appear in J. Japan Statist. Soc.
• Nishiyama, Y. (June 2009). Estimation for the invariant law of an ergodic diffusion process based on high frequency data. Submitted for publication.
• Negri, I. and Nishiyama, Y. (May 2009). Goodness of fit test for ergodic diffusions by tick time sample scheme. Research Memorandum 1096, Inst. Statist. Math. Submitted for publication.
• Nishiyama, Y. (May 2009). Two sample test for counting processes with a non-linear covariate based on smoothed empirical processes. Research Memorandum 1095, Inst. Statist. Math. Submitted for publication.
• Nishiyama, Y. (May 2009). Nonparametric goodness of fit tests for ergodic diffusion processes by discrete observations. Research Memorandum 1094, Inst. Statist. Math. Submitted for publication.
• Nishiyama, Y. (2009). Goodness-of-fit test for a nonlinear time series. J. Time Ser. Anal. 30 674-681.
• Nishiyama, Y. (May 2009). Parametric estimation for volatility of ergodic diffusion process with unspecified drift. Research Memorandum 1093, Inst. Statist. Math.
• Nishiyama, Y. (March 2009, revised July 2009). On Z-estimation by rounded data. Research Memorandum 1091, Inst. Statist. Math. Submitted for publication.
• Nishiyama, Y. (March 2009). Two sample test for diffusion processes with a non-linear covariate. Research Memorandum 1090, Inst. Statist. Math.
• Nishiyama, Y. (2009). A note on semiparametric estimation for ergodic diffusion processes. Manuscritpｔ. [pdf]
• Nishiyama, Y. (201?). Impossibility of weak convergence of kernel density estimators to a non-degenerate law in L_2(R^d). To appear in J. Nonparametr. Statist.
• Nishiyama, Y. (2009). A uniform law of large numbers for ergodic processes under a Lipschitz condition. Manuscript. [pdf]
• Nishiyama, Y. (January 2009). Moment convergence of M-estimators. Research Memorandum 1084, Inst. Statist. Math. Submitted for publication.
• 西山陽一・志村隆彰 (2009). 観測ノイズが極値分布に影響を与えないための十分条件. 統計数理 57 443-447. [English version: Research Memorandum 1081, Inst. Statist. Math., pdf]
• 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. [pdf, journal site]
• Nishiyama, Y. (September 2008). Two sample test for counting processes with a non-linear covariate. Research Memorandum 1071, Inst. Statist. Math.
• Masuda, H., Negri, I. and Nishiyama, Y. (July 2008). Goodness of fit test for ergodic diffusions by discrete time observations: an innovation martingale approach. Research Memorandum 1069, Inst. Statist. Math. Submitted for publication.
• Nishiyama, Y. (2008). Donsker's theorem for discretized data. J. Japan Statist. Soc. 38 505-515.
• 西山陽一 (2009). 拡散過程のノンパラメトリック適合度検定. 統計数理 57 83-95.
• Negri, I. and Nishiyama, Y. (20??). Goodness of fit test for small diffusions by discrete time observations. Ann. Inst. Statist. Math. [online]
• Nishiyama, Y. (20??). Nonparametric inference in multiplicative intensity model by discrete time observation. Ann. Inst. Statist. Math. [online]
• 西山陽一 (2008). マルチンゲール理論の基礎. CIRJE Research Report Series 保険と金融の統計学 II (CIRJE-R-7). [pdf]
• Negri, I. and Nishiyama, Y. (2009). Goodness of fit test for ergodic diffusion processes. Ann. Inst. Statist. Math. 61 919-928.
• 西山陽一 (2007). 確率過程の統計学：マルチンゲールと empirical process. CIRJE Research Report Series 保険と金融の統計学 (CIRJE-R-6). 32-52. [pdf]
• Nishiyama, Y. (2008). Nonparametric estimation and testing time-homogeneity for processes with independent increments. Stochastic Process. Appl. 118 1043-1055.
• Nishiyama, Y. (2007). On the paper ``Weak convergence of some classes of martingales with jumps''. Ann. Probab. 35 1194-1200.
• 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.

Books

• Nishiyama, Y. (2000). Entropy Methods for Martingales. CWI Tract 128, Centrum voor Wiskunde en Informatica, Amsterdam.
  

Some of Unpublished Papers

• Nishiyama, Y. (2009). A note on semiparametric estimation for ergodic diffusion processes. A revised version of Research Memorandum 1089, Inst. Statist. Math. [pdf]
• Nishiyama, Y. (2009). A uniform law of large numbers for ergodic processes under a Lipschitz condition. Manuscript. [pdf]
• Nishiyama, Y. (1997). Weak convergence of local random fields of kernel density estimators. Preprint 1042, Dept. of Mathemtatics, Utrecht Univ. [pdf]
• Nishiyama, Y. (1996). A central limit theorem for $\ell^\infty$-valued martingale difference arrays and its application. Preprint 971, Dept.of Mathematics, Utrecht Univ. [pdf]

Full List of Publications