Statistical Sequential Analysis for Stochastic Processes and Its Application to Risk Management

• Project/Area Number: 21530198
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Yokohama National University
• Principal Investigator: NAGAI Keiji 横浜国立大学, 国際社会科学研究科, 教授 (50311866)
• Project Period (FY): 2009 – 2011
• Project Status: Completed (Fiscal Year 2011)
• Budget Amount: ¥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)
• Keywords: 計量経済学 / 経済統計 / 生存時間分析 / ファイナンス

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

Research Products

• [Presentation] Sequential Unit Root Tests、応用統計ワークショップ (2012)
  • Author(s): 永井圭二
  • Organizer: 東京大学大学院経済学研究科学術交流棟
  • Place of Presentation: 小島ホール(東京)
  • Year and Date: 2012-01-20
• [Presentation] Sequential Unit Root Tests (2012)
  • Author(s): 永井圭二
  • Organizer: 応用統計ワークショップ
  • Place of Presentation: 東京大学大学院経済学研究科学術交流棟(小島ホール)(東京)
  • Year and Date: 2012-01-20
• [Presentation] Sequential Unit Root Tests, The Chinese University of Hong Kong Statistics Seminar (2012)
  • Author(s): Nagai, K.
  • Organizer: Department of Statistics
  • Place of Presentation: The Chinese University of Hong Kong Shatin, N. T., Hong Kong
  • Year and Date: 2012-01-12
• [Presentation] Seqeuential Unit Root Tests (2012)
  • 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
• [Presentation] Sequential Test for Nearly Nonstationary AR(p) Processes (2011)
  • Author(s): Nagai, K.
  • Organizer: Recent Development in Statistics, Empirical Finance and Econometrics
  • Place of Presentation: Rakuyu-Kaikan, Kyoto University KYOTO, JAPAN
  • Year and Date: 2011-11-30
• [Presentation] Sequential Test for Nearly Nonstationary AR (p) Processes (2011)
  • Author(s): K.Nagai
  • Organizer: Recent Development in Statistics, Empirical Finance and Econometries
  • Place of Presentation: Rakuyu-Kaikan, Kyoto University, KYOTO, JAPAN
  • Year and Date: 2011-11-30
• [Presentation] Multiplicative Intensity Model Depending on Calendar time (2010)
  • Author(s): Nagai, K.
  • Organizer: The International Symposium on Statistical Analysis of Spatio-Temporal Data
  • Place of Presentation: The Chambers of Commerce and Industry of Kamakura City
  • Year and Date: 2010-11-05
• [Presentation] Cox proportional Hazard Model with Staggered Entry in Real Time (2009)
  • Author(s): 永井圭二・宋智
  • Organizer: 時空間統計解析その理論と応用
  • Place of Presentation: 宇治市生涯学習センター
  • Year and Date: 2009-11-20
• [Presentation] Asymptotics of sequential tests for some markov chains via convergence to diffusion (2009)
  • Author(s): Nagai, K.
  • Organizer: Russian-Japan Symposium on Stochastic Analysis of the Advanced Statistical Models
  • Place of Presentation: ステクロフ研究所(ロシア)
  • Year and Date: 2009-09-16
• [Presentation] Asymptotics of sequential tests for some markov chains via convergence to diffusion (2009)
  • Author(s): Nagai, K.
  • Organizer: Russian-Japan Symposium on Stochastic Analysis of the Advanced Statistical Models
  • Place of Presentation: ステクロフ研究所 (ロシア)
  • Year and Date: 2009-09-16