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【論文発表】
YUIMA Project Team: "The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations", Journal of Statistical Software, 57, no. 4, 1-51 (2014)
H. Katagiri, T. Uno, K. Kato, H. Tsuda and H. Tsubaki: "Random fuzzy bilevel linear programming through possibility-based value at risk model", International Journal of Machine Learning and Cybernetics, 5, Issue 2, 211-224 (2014)
M. Uchida and N. Yoshida: "Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations", Statistical inference for stochastic processes, 17, no. 2, 181-219 (2014)
T. Ogihara and N. Yoshida: "Quasilikelihood analysis for nonsynchronously observed diffusion processes", Stochastic Processes and their Applications, 124, no.9, 2954-3008 (2014)
Y. Koike: "An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps", Scandinavian Journal of Statistics 41, 460-481 (2014)
Y. Koike: "Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling", Stochastic Processes and their Applications, 124, 2699-2753 (2014)
H. Masuda: "Parametric estimation of Levy processes", In Levy matters IV, volume 2128 of Lecture Notes in Mathematics, 179-286, Springer, Berlin (2015)
H. Masuda: "Stochastic process models", A Mathematical Approach to Research Problems of Science and Technology Mathematics for Industry 5 , 219-238, Springer Japan (2014)
S. Sonoda and N. Murata: "Sampling hidden parameters from oracle distribution", Lecture Notes in Computer Science (including sub series Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), 8681 LNCS: 539-546 (2014)
H. Hino, A. Noda, M. Tatsuno, S. Akaho and N. Murata: "An algorithm for directed graph estimation", Lecture Notes in Computer Science (including subseries Lecture Notes in Articicial Intelligence and Lecture Notes in Bioinformatics) 8681 LNCS: 145-152 (2014)
R. Feng and Y. Shimizu: "Potential measures for spectrally negative Markov additive processes with applications in ruin theory", Insurance: Math. and Econom, 59, 11-26 (2014)
Y. Shimizu: "Edgeworth type expansion of ruin probability under Levy risk processes in the small loading asymptotics", Scand. Actuarial Journal, Issue 7, 620-648 (2014)
T. Suzuki: "Stochastic Dual Coordinate Ascent with Alternating Direction Method of Multipliers", International Conference on Machine Learning (ICML2014), JMLR Workshop and Conference Proceedings 32 (1):736-744 (2014)
H. Kitagawa and M. Uchida: "Adaptive test statistics for ergodic diffusion processes sampled at discrete times", Journal of Statistical Planning and Inference, 150, 84-110 (2014)
T. Fujii and M. Uchida: "AIC type statistics for discretely observed ergodic diffusion processes", Statistical Inference for Stochastic Processes, 17, 267-282 (2014)
S. Yamashita and T. Yoshiba: "Analytical Solutions for Expected Loss and Standard Deviation of Loss with an Additional Loan", Asia-Pacific Financial Markets. (2014) (来年度冊子版掲載）
高橋淳一, 山下智志: 「大規模決算書テータに対する k-NN 法による欠損値補完」, JAFEEジャーナル, 143-167 (2015)
【学会発表】
N. Yoshida, Statistics of volatility: non-ergodic statistics and stochastic analysis. 11th International Vilnius Conference on Probability Theory and Mathematical Statistics, Vilnius University, Lithuania, 2014.7.2
K. Kamatani, Efficient construction of MCMC in high-dimension. 大規模統計モデリングと計算統計, 東京大学, 2015.2.7
T. Hayashi, High-frequency Lead-lag Relationships in the Japanese Stock Market. Conference on Market Microstructure and High-Frequency Data, the University of Chicago, U.S.A., 2014.5.31
T. Hayashi, Lead-lag analysis with high-frequency data: an empirical study for the Japanese stock market. International Workshop on Non- and Semiparametric Volatility and Correlation Models - Economic Sources of Volatility, Risk Decomposition and Financial Crises, University of Paderborn, Germany, 2014.7.25
Y. Koike, Estimation of Integrated Covariances in the Simultaneous Presence of Nonsynchronicity, Noise and Jumps. 3rd APRM, Howard International House, Taiwan, 2014.7.2
S. Kuriki, A class of B-spline copulas: dependence structure and estimation. 7th International Conference of the ERCIM WG on Computational and Methodological Statistics (ERCIM 2014), the University of Pisa, Italy, 2014.12.6
野村亮介, 漸近展開の近似精度の予測. ISM Financial Project研究集会「統計科学とファイナンス」，統計数理研究所，2014.9.5
E. Shoichi and H. Masuda*, On quasi-BIC for general LAQ model. 7th International Conference of the ERCIM WG on Computational and Methodological Statistics (ERCIM 2014), the University of Pisa, Italy, 2014.12.8 (*発表者)
Y. Shimizu, Estimating Gerber-Shiu functions from discretely observed Levy driven surplus. The 18th International congress on Insurance: Mathematics and Economics, Shanghai, China, 2014.7.9
鈴木大慈, 低ランクテンソル推定におけるベイズ推定量の性質. 第9回日本統計学会春季集会, 企画セッション「スパース・低ランク推定手法による高次元データ解析」, 明治大学, 2015.3.8.
M. Uchida, Hybrid multi-step estimators for stochastic differential equations from discrete observations. Dynstoch 2014, the University of Warwick, United Kingdom, 2014.9.11
田上悠太*, 山下智志, 地域区分と業種を考慮した地方銀行の貸出 ポートフォリオの信用リスク分析と EL 推定モデルの作成. JAFEE２０１４冬季大会, 2015.1.23
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