Statistical Sequential Analysis for Stochastic Processes and Its Application to Risk Management
| Project/Area Number |
21530198
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Yokohama National University |
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Principal Investigator |
NAGAI Keiji 横浜国立大学, 国際社会科学研究科, 教授 (50311866)
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| Project Period (FY) |
2009 – 2011
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| Project Status |
Completed (Fiscal Year 2011)
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| Budget Amount *help |
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2011: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2010: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2009: ¥2,860,000 (Direct Cost: ¥2,200,000、Indirect Cost: ¥660,000)
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| Keywords | 計量経済学 / 経済統計 / 生存時間分析 / ファイナンス |
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| Research Abstract |
The aim of this study is to develop the statistical sequential estimation of auto-regressive parameter initiated by Lai and Siegmund(1983) to unit root testing problem. In this study, statistical inference theory via stopping times relating to stochastic process is investigated and applied to online risk management. The following topics are the focus of the study:
1. Online monitoring problem of stationary 1. economic time series
2. Monitoring critical branching processes
3. Monitoring problem of general discrete-time Markov processes
4. Online monitoring for bankruptcy, merger, and listing
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Report
(4 results)
Research Products
(10 results)
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[Presentation] Seqeuential Unit Root Tests2012
Author(s)
K.Nagai
Organizer
The Chinese University of Hong Kong Statistics Seminar
Place of Presentation
Department of Statistics, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong(招待講演)
Year and Date
2012-01-12
Related Report
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