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New developments of statistical inference based on extreme value theory

Research Project

Project/Area Number 15K01205
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Social systems engineering/Safety system
Research InstitutionChuo University

Principal Investigator

Nagatsuka Hideki  中央大学, 理工学部, 教授 (30384738)

Project Period (FY) 2015-04-01 – 2019-03-31
Project Status Completed (Fiscal Year 2018)
Budget Amount *help
¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2018: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2017: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2016: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2015: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Keywords統計的推測理論 / 極値理論 / 一般化極値分布 / 一般化パレート分布 / 分布論 / 極値統計 / 統計的推測 / 尤度アプローチ / 点推定 / 区間推定 / Bootstrap法 / リスク / 検定
Outline of Final Research Achievements

I had the following results:
(i) Construction of the methods of the parameters of the GEV and GP distributions which are valid for the entire parameter spaces, (ii) The proofs of the existence and uniqueness for the proposed estimates, (iii) The proof of the consistency of the proposed estimators, (iv) Derivation of the asymptotic distributions of the proposed estimators, and (v) The efficient and preventing overflow algorithm for obtaining the proposed estimates.

Academic Significance and Societal Importance of the Research Achievements

極値統計では、極値理論に基づく統一モデルとして用いられるGEV、GPD分布が、非正則問題を有する分布であるために、体系化された推定、及び検定方法が確立されてこなかった。非正則問題は、1955年頃から半世紀以上議論されてきた問題であるが、未だ解決に至っていない。極値統計は、信頼性工学、土木工学、水文学、環境学、経済学、社会学分野といった広範囲の分野において極めて多くの適用例が見られる。よって、本研究課題成果は、当該分野にとどまらず広範囲の分野への貢献となることが期待される。

Report

(5 results)
  • 2018 Annual Research Report   Final Research Report ( PDF )
  • 2017 Research-status Report
  • 2016 Research-status Report
  • 2015 Research-status Report
  • Research Products

    (34 results)

All 2019 2018 2017 2016 2015 2014 Other

All Int'l Joint Research (8 results) Journal Article (5 results) (of which Int'l Joint Research: 2 results,  Peer Reviewed: 5 results,  Acknowledgement Compliant: 1 results) Presentation (15 results) (of which Int'l Joint Research: 14 results,  Invited: 8 results) Remarks (6 results)

  • [Int'l Joint Research] McMaster University(カナダ)

    • Related Report
      2018 Annual Research Report
  • [Int'l Joint Research] Academia Sinica, Taiwan(その他の国・地域)

    • Related Report
      2018 Annual Research Report
  • [Int'l Joint Research] McMaster University(カナダ)

    • Related Report
      2017 Research-status Report
  • [Int'l Joint Research] Academia Sinica(台湾)

    • Related Report
      2017 Research-status Report
  • [Int'l Joint Research] McMaster University(カナダ)

    • Related Report
      2016 Research-status Report
  • [Int'l Joint Research] Academia Sinica(台湾)

    • Related Report
      2016 Research-status Report
  • [Int'l Joint Research] National University of Singapore(シンガポール)

    • Related Report
      2016 Research-status Report
  • [Int'l Joint Research] McMaster University(Canada)

    • Related Report
      2015 Research-status Report
  • [Journal Article] On a Stochastic Degradation Model based on the Generalized Inverse Gaussian distribution2019

    • Author(s)
      Leona Tamaru and Hideki Nagatsuka
    • Journal Title

      Asian Journal of Management Science and Applications

      Volume: 印刷中

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A Stochastic Model for Predicting the Number of Failures in Gas Systems2018

    • Author(s)
      Ryoma Sumita and Hideki Nagatsuka
    • Journal Title

      日本情報経営学会誌

      Volume: 38 Pages: 79-84

    • NAID

      130007907027

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Existence, uniqueness and consistency of estimation of life characteristics of three-parameter Weibull distribution based on Type-II right censored data2016

    • Author(s)
      Hideki Nagatsuka, N.Balakrishnan
    • Journal Title

      Journal of Statistical Computation and Simulation

      Volume: 86 Issue: 6 Pages: 1248-1279

    • DOI

      10.1080/00949655.2015.1060236

    • Related Report
      2016 Research-status Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] A consistent method of estimation for the three-parameter lognormal distribution based on Type-II right censored data2016

    • Author(s)
      Hideki Nagatsuka, N.Balakrishnan
    • Journal Title

      Communications in Statistics - Theory and Methods

      Volume: 45 Issue: 19 Pages: 5693-5708

    • DOI

      10.1080/03610926.2014.948205

    • Related Report
      2016 Research-status Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Consistent estimation of parameters and quantiles of the three-parameter gamma distribution based on Type-II right censored data2014

    • Author(s)
      Hideki Nagatsuka and N. Balakrishnan
    • Journal Title

      Journal of Statistical Computation and Simulation

      Volume: - Issue: 12 Pages: 2406-2424

    • DOI

      10.1080/00949655.2014.930861

    • Related Report
      2015 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Presentation] A Likelihood-Based Inference for the Generalized Pareto Distribution2018

    • Author(s)
      Hideki Nagatsuka and N. Balakrishnan
    • Organizer
      2018 Workshop on Advances in Reliability
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] A Study of a Degradation Model Using the Generalized Inverse Gaussian Distribution and Its Parameter Estimation2018

    • Author(s)
      Leona Tamaru and Hideki Nagatsuka
    • Organizer
      XVI ANQ Congress 2018
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] A Study of Stochastic Degradation Models Based on Additive Processes2018

    • Author(s)
      Kenji Fujita and Hideki Nagatsuka
    • Organizer
      XVI ANQ Congress 2018
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] A Study of Degradation Models Based on Additive processes2018

    • Author(s)
      Kenji Fujita and Hideki Nagatsuka
    • Organizer
      International Symposium on Paradigm Shift of the Manufacturing Business in IoT/Industry 4.0 Environment in East Asia
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research
  • [Presentation] On a Degradation Model based on the Generalized Inverse Gaussian Processes2017

    • Author(s)
      Leona Tamaru and Hideki Nagatsuka
    • Organizer
      2017 Asian Conference of Management Science & Applications
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research
  • [Presentation] Likelihood-based inference for the generalized Pareto distribution and its applications2017

    • Author(s)
      Hideki Nagatsuka and N. Balakrishnan
    • Organizer
      The 10th International Conference on Mathematical Methods in Reliability
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] A Stochastic Model for Predicting the Number of Failures in Gas Systems2017

    • Author(s)
      Ryoma Sumita and Hideki Nagatsuka
    • Organizer
      International Symposium on Paradigm Shift of the Manufacturing Business in IoT/Industry 4.0 Environment in East Asia
    • Place of Presentation
      中央大学後楽園キャンパス (東京都文京区)
    • Related Report
      2016 Research-status Report
    • Int'l Joint Research
  • [Presentation] Inference for Extreme Value Models and Its Applications in Reliability2016

    • Author(s)
      Hideki Nagatsuka
    • Organizer
      The 2nd Pacific Rim Statistical Conference for Production Engineering
    • Place of Presentation
      Seoul National University (Seoul, South Korea)
    • Year and Date
      2016-12-15
    • Related Report
      2016 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] Stochastic models for assessing and predicting life characteristics of products based on IoT data2016

    • Author(s)
      Hideki Nagatsuka and Leona Tamaru
    • Organizer
      Asia Pacific Conference on Information Management 2016
    • Place of Presentation
      Sheraton Hanoi Hotel (Hanoi, Vietnam)
    • Year and Date
      2016-10-20
    • Related Report
      2016 Research-status Report
    • Int'l Joint Research
  • [Presentation] Parameter estimation for the Generalized Pareto Distribution and its applications2016

    • Author(s)
      Hideki Nagatsuka
    • Organizer
      Ordered Data and their Applications in Reliability and Survival Analysis: An International Conference in Honour of N. Balakrishnan for his 60th Birthday
    • Place of Presentation
      McMaster University (Hamilton, Canada)
    • Year and Date
      2016-08-07
    • Related Report
      2016 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] Inference for the Generalized Pareto Distribution and its applications2016

    • Author(s)
      Hideki Nagatsuka
    • Organizer
      The 4th Institute of Mathematical Statistics Asia Pacific Rim Meeting
    • Place of Presentation
      The Chinese University of Hong Kong (Hong Kong, China)
    • Year and Date
      2016-06-27
    • Related Report
      2016 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] A study of parameter estimation for the generalized extreme value distribution2016

    • Author(s)
      Hideki Nagatsuka and N. Balakrishnan
    • Organizer
      2nd International Conference on Mathematical Techniques in Engineering Applications
    • Place of Presentation
      Graphic Era University (Dehradun, India)
    • Year and Date
      2016-04-29
    • Related Report
      2016 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] 極値統計学における非正則性の問題と信頼性工学への応用2016

    • Author(s)
      長塚豪己
    • Organizer
      統計数理研究所 共同研究集会 極値理論の工学への応用
    • Place of Presentation
      統計数理研究所 (東京都立川市)
    • Related Report
      2016 Research-status Report
    • Invited
  • [Presentation] On Inference for the Generalized Pareto Distribution2015

    • Author(s)
      Hideki Nagatsuka and N. Balakrishnan
    • Organizer
      Applied Methods of Statistical Analysis. Nonparametric Approach
    • Place of Presentation
      Novosibirsk and Belokurikha, Russia
    • Year and Date
      2015-09-14
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research
  • [Presentation] On Parameter Estimation for The Generalized Pareto Distribution2015

    • Author(s)
      Hideki Nagatsuka and N. Balakrishnan
    • Organizer
      The Ninth International Conference on Mathematical Methods in Reliability
    • Place of Presentation
      University of Tsukuba, Tokyo
    • Year and Date
      2015-06-01
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research / Invited
  • [Remarks] 中央大学 研究者情報データベース

    • URL

      http://researchers.chuo-u.ac.jp/Profiles/2/0000110/profile.html

    • Related Report
      2018 Annual Research Report
  • [Remarks] 中央大学 研究者情報データベース

    • URL

      https://ir.c.chuo-u.ac.jp/researcher/profile/00010486.html?lang=ja

    • Related Report
      2017 Research-status Report
  • [Remarks] 中央大学 研究者情報データベース

    • URL

      http://ir.c.chuo-u.ac.jp/researcher/profile/00010486.html

    • Related Report
      2016 Research-status Report
  • [Remarks] Researchmap

    • URL

      http://researchmap.jp/read0140964/

    • Related Report
      2016 Research-status Report
  • [Remarks] Hideki Nagatsuka's Homepage

    • URL

      https://sites.google.com/site/hidekinagatsuka7/

    • Related Report
      2016 Research-status Report 2015 Research-status Report
  • [Remarks] 中央大学 研究者情報データベース

    • URL

      https://ir.c.chuo-u.ac.jp/researcher/profile/00010486.html?lang=ja

    • Related Report
      2015 Research-status Report

URL: 

Published: 2015-04-16   Modified: 2022-02-22  

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