|
【論文発表】
Koike, Y. (2013). An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps, Scandinavian Journal of Statistics (doi:10.1111/sjos.12043).
Koike, Y. (2014). Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling, Stochastic Processes and Their Applications, 124(8) 2699-2753.
Masuda, H. (2013). Convergence of Gaussian quasi-likelihood random fields for ergodic Levy driven SDE observed at high frequency. Annals of Statistics 41, 1593-1641 (doi:10.1214/13-AOS1121).
Masuda, H.(2013). Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes. Stochastic Processes and their Applications 123, 2752-2778 (doi: 10.1016/j.spa.2013.03.013).
Aritake, T., Hino, H. and Murata, N. (2013). Learning Ancestral Atom via Sparse Coding,IEEE Journal of Selected Topics in Signal Processing, Vol.7, No.4, 586-594.
Long, H., Shimizu, Y. and Sun, W. (2013). Least squares estimator for discretely observed stochastic processes driven by additive small Levy noises, J. Multivariate Anal., vol. 116, 422-439.
Feng, R. and Shimizu, Y. (2013). On a generalization from ruin to default in a Levy insurance risk model, Methodol. Comput. Appl. Probab., vol. 15, (4), 773-802.
Uchida, M. and Yoshida, N. (2013). Quasi likelihood analysis of volatility and nondegeneracy of statistical random field. Stochastic Processes and their Applications, 123, no. 7, 2851-2876 (doi:10.1016/j.spa.2013.04.008).
【学会発表】
Kamatani, K. Weak consistency for Metropolis-Hastings algorithm in high-dimension, Asymptotic Statistics and Computations 2014, the Institute of Statistical mathematics and University of Tokyo, 11-12 March, 2014
Koike, Y. Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, noise and jumps, 29th European Meeting of Statisticians, Budapest, Hungary, 22 July, 2013
Koike, Y. Intraday periodicity and lead-lag effects in financial markets, ERCIM2013, London, England, 15 December, 2013
Nomura, R. The convergence limit of the temporal difference learning, Asymptotic Statistics and Related Topics: Theories and Methodologies, University of Tokyo, 3 Sepetmber, 2013
Hino, H., Nomura. R., Murata, N. and Yoshida, N. 機械学習による漸近展開の近似精度の予測, 2013年度統計関連学会連合大会, 大阪大学, 平成25年9月10日
Masuda, H. Estimation of stable-like stochastic differential equations, 29th European Meeting of Statisticians, Budapest, Hungary, 20 July, 2013
Masuda, H. On statistical inference for Levy-driven models, ISI 2013 Hong Kong, Hong Kong, 26 August, 2013
Masuda, H. Stable quasi-likelihood: Methodology and computational aspects, ERCIM 2013, London, England, 15 December, 2013
Murata, N. Learning ancestral atom of structured dictionary via sparse coding, Bernoulli Society Satellite Meeting to the ISI World Statistics Congress 2013 Asymptotic Statistics and Related Topics: Theories and Methodologies, University of Tokyo, 2-4 September, 2013
Shimizu, Y. Edgeworth type expansion for renewal-type equations and applications to risk theory, The 17th International congress on Insurance: Mathematics and Economics, Copenhagen, Denmark, 1-3 July, 2013
Shimizu, Y. Threshold estimation for stochastic differential equations with jumps, 59th ISI World Statistics Congress, Hong Kong, China, 29 August, 2013
Shimizu, Y. On a generalization from ruin to default in Levy insurance risks, 第2回金融シンポジウム，統計数理研究所 リスク解析戦略研究センター，平成25年11月6日
Uchida, M. Hybrid multi-step estimators for stochastic differential equations, Statistics for Stochastic Processes and Analysis of High Frequency Data, Paris, France, 19 December, 2013
Uchida, M. Hybrid multi-step estimators for diffusion processes, Asymptotic Statistics and Computations 2014, the Institute of Statistical mathematics and University of Tokyo, 11 March, 2014
Yoshida, N. Statistics for stochastic differential equations and asymptotic methods, ARS CONJECTANDI (A celebration of 300 years of stochastics), Freiburg and Basel, Germany and Switzerland, 24 May, 2013
Yoshida, N. Asymptotic expansion methods for stochastic processes and their applications to statistics and finance, International Statistical Institute The 59th World Statiscs Congress, HongKong, 28 August, 2013
Yoshida, N. Statistics for volatility: change point, model selection, and lead lag, 統計数理研究所リスク解析戦略研究センター第２回金融シンポジウム「ファイナンスリスクのモデリングと制御」, 学術総合センター（東京）, 平成25年11月6日
【ホームページ】
http://www2.ms.u-tokyo.ac.jp/probstat/
|