|
論文発表
M. Podolskij, N. Yoshida: "Edgeworth expansion for functionals of continuous diffusion processes", to appear in Annals of Applied Probability
Kimura, A., Yoshida, N.: Estimation of correlation between latent processes. to appear.
M. Uchida and N. Yoshida: "Model selection for volatility prediction", The Fascination of Probability, Statistics and their Applications. In Honour of Ole E. Barndorff-Nielsen, (2016) 343-360
H. Masuda: "Parametric estimation of Levy processes", Lecture Notes in Mathematics, Springer, (2015) 179-286
D. Ivanenko, A. Kulik, and H. Masuda, "Uniform LAN property of locally stable Levy process observed at high frequency", ALEA - Latin American Journal of Probability and Mathematical Statistics, 12, (2015) 835-862
H. Masuda and Y. Uehara: "Two-step estimation of ergodic Levy driven SDE", Statistical Inference for Stochastic Processes, (2016)
K. Kamatani and M. Uchida; "Hybrid multi-step estimators for stochastic differential equations based on sampled data", Statistical Inference for Stochastic Processes. Volume 18, Issue 2, (2015) 177-204
K. Kamatani, A. Nogita and M. Uchida; "Hybrid multi-step estimation of the volatility for stochastic regression models" to appear in Bulletin of Informatics and Cybernetics
Y. Koike: "Time endogeneity and an optimal weight function in pre-averaging covariance estimation", to appear in Statistical Inference for Stochastic Processes
T. Suzuki and H. Kanagawa: "Bayes method for low rank tensor estimation", Journal of Physics: Conference Series, Volume 699, Number 1
Shimizu, Y. (2015). Threshold estimation for stochastic processes with small noise, Preprint, arXiv:1502.07409v2 [math.ST]
Feng, R. and Shimizu, Y. (2016). Applications of Central Limit Theorems for Equity-linked insurance, to appear in Insurance: Mathematics and Economics.
口頭発表
N. Yoshida: Asymptotic statistics and ultra hight frequency data. Advanced Modelling in Mathematical Finance: A conference in honor of Ernst Eberlein, University of Kiel, Germany, 2015.5.22
N. Yoshida: Ultra high frequency data: construction of quasi likelihood analysis, and some data analysis. Berlin Meeting on Statistical Analysis of Stochastic Processes, Humboldt University, Germany, 2015.11.6
N. Yoshida: Quasi likelihood analysis for ultra high frequency data. 8th International Conference of the ERCIMWG on Computational and Methodological Statistics (CMStatistics 2015), Senate House, University of London, UK, 2015.12.13
N. Yoshida: Quasi likelihood analysis for ultra high frequency data. 9th Conference of the Asian Regional Section of the IASC (IASC-ARS 2015), National University of Singapore, Singapore, 2015.12.19
N. Yoshida: Statistical inference for point processes and limit order book. Statistics for Stochastic Processes and Analysis of High Frequency Data V, University Pierre and Marie Curie (Paris 6), France, 2016.3.23
鎌谷研吾：高次元でのマルコフ連鎖モンテカルロ法. 大規模統計モデリングと計算統計II, 東京大学（駒場キャンパス）, 2015.9.25
Kengo Kamatani: Ergodicity of MpCN and related MCMC algorithms. ASC2016: Asymptotic Statistics and Computations, 東京大学（駒場キャンパス）, 2016.2.15
深澤正彰: High frequency data analysis of integrated continuous Ito semimartingales. 大規模統計モデリングと計算統計II, 東京大学（駒場キャンパス）, 2015.9.26
Hiroki Masuda: Explicit bias correction in functional estimation of Levy driven ergodic SDE. Dynstoch meeting 2015, University of Lund, Sweden, 2015.5.27
Hiroki Masuda: Approximate Bayesian model comparison of LAQ models. 60th World Statistical Congress -- ISI2015, Riocentro, Rio de Janeiro, Brazil, 2015.7.30
増田弘毅：Locally Cauchy SDE model with high-frequency data. 大規模統計モデリングと計算統計II, 東京大学（駒場キャンパス）, 2015.9.25
Hiroki Masuda: Computational aspects of estimating Levy driven models, 9th Conference of the Asian Regional Section of the IASC (IASC-ARS 2015), National University of Singapore, Singapore, 2015.12.19
Hiroki Masuda: Stepwise estimation of ergodic Levy driven SDE. ASC2016: Asymptotic Statistics and Computations, 東京大学（駒場キャンパス）, 2016.2.15
Hiroki Masuda: Levy in quasi-likelihood estimation of SDE. Statistics for Stochastic Processes and Analysis of High Frequency Data V, University Pierre and Marie Curie (Paris 6), France, 2016.3.23
内田 雅之：ハイブリッド推測法に基づく拡散過程の統計モデリング. 大規模統計モデリングと計算統計II, 東京大学（駒場キャンパス）, 2015.9.26
Masayuki Uchida: Model selection for diffusion type processes via information criteria with hybrid estimators. Berlin Meeting on Statistical Analysis of Stochastic Processes, Humboldt University, Germany, 2015.11.6
Masayuki Uchida: Hybrid type estimation for stochastic differential equations based on sampled data. 8th International Conference of the ERCIMWG on Computational and Methodological Statistics (CMStatistics 2015), Senate House, University of London, UK, 2015.12.13
Masayuki Uchida: Hybrid multi-step estimators of the volatility for stochastic regression models, 9th Conference of the Asian Regional Section of the IASC (IASC-ARS 2015), National University of Singapore, Singapore, 2015.12.19
Masayuki Uchida: Adaptive estimation for small diffusion processes and its applications. ASC2016: Asymptotic Statistics and Computations, 東京大学（駒場キャンパス）, 2016.2.16
Yasutaka Shimizu: Some statistical problems in ruin theory: discretely observed Levy
insurance risk process, High-Dimensional Statistical Analysis for Time Spatial Processes &
Quantile Analysis for Time Series, Waseda Univ. 9-11 November, 2015
Yasutaka Shimizu: Statistical Inference for ruin-related quantities for Levy insurance
risks (invited talk), 60th ISI World Statistics Congress, Rio de Janeiro, Brazil, 26-31
August, 2015
Yasutaka Shimizu: Gerber-Shiu dynamic risk measures for solvency evaluation, The 19th International congress on Insurance: Mathematics and Economics, Liverpool, UK, 24-26 June, 2015
|