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【論文発表】
Uchida, M. and Yoshida, N. (2012)
Adaptive estimation of an ergodic diffusion process based on sampled data. Stochastic Processes and their Applications, 122, no. 8, 2885-2924
Hino, H., Reyhani. N. and Murata, N. (2012)
Multiple Kernel Learning with Gaussianity Measure, Neural Computation, 24(7):1853-1881
Fujimoto, Y. and Murata, N.(2012)
A generalisation of independence in statistical models for categorical distribution, International Journal of Data Mining, Modelling and Management, 4(2):172-187
Kawai, R. and Masuda, H. (2013)
Local asymptotic normality for normal inverse Gaussian Levy processes with high-frequency sampling, ESAIM: Probability and Statistics, 17, 13-32
Masuda, H.
Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes, To appear in Stochastic Processes and their Applications
Yoshida, N.
Martingale expansion in mixed normal limit, Stochastic Processes and their Applications, 123, 3 (2013) 887-933
Yoshida, N.
Statistical inference for volatility and related limit theorems, In
F. Abergel, J-P Bouchaud, T. Foucault, C-A Lehalle, M. Rosenbaum (eds) Market
Microstructure, Chap. 4, (2012) 87-114, Wiley
Uchida, M. and Yoshida, N.
Quasi likelihood analysis of volatility and nondegeneracy of statistical random field, Stochastic Processes and their Applications, to appear
Kunitomo, N. and Sato, S.
Separating Information Maximum Likelihood Estimation of the Integrated Volatility and Covariance with Micro-Market Noise, North American Journal
of Economics and Finance, doi:10.1016/j.najef. (2013)
Fujii, M., Sato, S. and Takahashi, A.
A BSDE Approach and a new Monte Carlo scheme for American-style Options, CARF Discussion paper. (2012)
【学会発表】
内田 雅之
金融モデルに対する適応型統計推測理論および高頻度データへの適用 (企画セッション講演), 2012年度統計関連学会連合大会, 北海道大学, 2012.9.11
内田 雅之
確率微分方程式の適応型推定とその実装, SART2012 Statistical Analysis and Related Topics, 東京大学, 2012.12.21
鎌谷 研吾
Order of degeneracy of several MCMCs, ASC2013 Asymptotic Statistics and
Computations, 東京大学, 2013.3.28
鎌谷 研吾
Contiguous proposal for Metropolis-Hastings algorithms, SART2012 Statistical Analysis and Related Topics, 東京大学, 2012.12.21
国友直人, 佐藤整尚, 三崎広海
A Robust Estimation of Integrated Volatility, Covariance and Hedging Coefficients under Non-linear Adjustments, Micro-market Noises and Random Sampling, 統計関連学会連合大会
深澤 正彰
確率積分の離散データによる近似について, 統計関連学会連合大会, 北海道大学,
2012.9.10
増田 弘毅
On self-normalized residuals of stochastic processes, 応用統計学会, 統計数理研究所, 2012.5.24
Hiroki Masuda
Local-stable contrast function, Dynstoch meeting 2012, Institut Henri Poincare (Paris), 2012.6.9
Hiroki Masuda
Non-Gaussian quasi likelihood in estimating jump SDE, The 2nd Institute of Mathematical Statistics Asian Pacific Rim Meeting, エポカルつくば, 2012.7.3
Hiroki Masuda
Non-Gaussian quasi-likelihoods for estimating jump SDE, 8th World Congress in Probability and Statistics, Istanbul, 2012.7.13
増田 弘毅
On asymptotic behavior of self-normalized residual sequence, 日本統計関連連合大会 2012, 北海道大学, 2012.9.10
増田 弘毅
On self-normalized residual sequence of SDE, 日本数学会秋季総合分科会 2012,
九州大学, 2012.9.20
増田 弘毅
On simulation of Levy processes and stochastic differential equation models, SART2012 Statistical Analysis and Related Topics, 東京大学, 2012.12.20
増田 弘毅
Toward numerical computation of conditional expectations involving Levy integrals, ASC2013 Asymptotic Statistics and Computations, 東京大学, 2013.3.27
増田 弘毅
On estimating stable Ornstein-Uhlenbeck processes, ASC2013 Asymptotic Statistics and Computations, 東京大学, 2013.3.28
Nakahiro Yoshida
Asymptotic methods applied to finance and implementation with YUIMA II, DYNSTOCH 2012, Paris, 2012.6.18
吉田 朋広
Limit theorems and estimation for diffusions, The 2nd Institute of Mathematical
Statistics Asia Pacific Rim Meeting, エポカルつくば, 2012.7.4
Nakahiro Yoshida
Estimation of diffusions and limit theorems, 8th World Congress in Probability
and Statistics, Istanbul, Turkey, 2012.7.13
吉田 朋広
確率過程の疑似尤度解析, 2012年度統計関連学会連合大会, 北海道大学, 2012.9.10
吉田 朋広
ファイナンス統計学における漸近的方法とその実装, 2012年度統計関連学会連合大会,
北海道大学, 2012.9.11
Nakahiro Yoshida
Limit theorems in statistics for volatility, AMS Sectional Meeting, Tucson, U.S.A., 2012.10.28
吉田 朋広
Martingale expansion and applications to realized volatility and power variation, SART2012 Statistical Analysis and Related Topics, 東京大学, 2012.12.20
Nakahiro Yoshida
Nondegeneracy of statistical random field and statistics for stochastic processes, S.A.P.S. IX (Statistique Asymptotique des Processus Stochastiques IX ), University du Maine (Le Mans), 2013.3.11
Masayuki Uchida
Discriminant analysis for discretely observed ergodic diffusion processes, S.A.P.S. IX (Statistique Asymptotique des Processus Stochastiques IX ), University du Maine (Le Mans), 2013.3.13
Nakahiro Yoshida
YUIMA II: an R package for statistical analysis and simulation for stochastic differential equations, Statistics for Stochastic Processes II: Inference, Limit Theorems, Finance and Data Analysis, University of Paris 6 (Paris), 2013.3.19
吉田 朋広
ミキシング確率ボラティリティの構造推定と高次極限定理, 非エルゴード統計と漸近展開：マルチンゲール展開とボラティリティの疑似尤度解析, ASC2013 Asymptotic Statistics and Computations, 東京大学, 2013.3.27
深澤 正彰
確率積分の離散データによる近似について, 統計関連学会連合大会, 北海道大学,
2012.9.10
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