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Research on the nonparametric methods in time series analysis

Research Project

Project/Area Number 22700291
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeSingle-year Grants
Research Field Statistical science
Research InstitutionWaseda University (2011-2013)
Tokyo Metropolitan University (2010)

Principal Investigator

OGATA Hiroaki  早稲田大学, 国際教養学術院, 助教 (30454086)

Project Period (FY) 2010-04-01 – 2014-03-31
Project Status Completed (Fiscal Year 2013)
Budget Amount *help
¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2013: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2012: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2011: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2010: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Keywords時系列解析 / 経験尤度 / 分位点 / 統計数学 / 時系列モデル / 安定分布 / 楕円分析 / 最適ポートフォリオ / 一般化経験尤度法
Research Abstract

In this research, the various nonparametric methods, such as empirical likelihood ratio, quantile matching were used to estimate the quantity of interest in the time series models. The considered time series models and probability distributions were multivariate non-Gaussian linear process, locally stationary process, stable distribution, elliptical distribution, etc. Practical applications, such as optimal portfolio estimation problem, were also considered .

Report

(5 results)
  • 2013 Annual Research Report   Final Research Report ( PDF )
  • 2012 Annual Research Report
  • 2011 Annual Research Report
  • 2010 Annual Research Report
  • Research Products

    (42 results)

All 2014 2013 2012 2011 2010 Other

All Journal Article (10 results) (of which Peer Reviewed: 10 results) Presentation (32 results) (of which Invited: 7 results)

  • [Journal Article] Inference for vast dimensional elliptical distributions2013

    • Author(s)
      Dominicy, Y., Ogata, H. and Veredas, D.
    • Journal Title

      Computational Statistics

      Volume: 28, Issue.4 Issue: 4 Pages: 1853-1880

    • DOI

      10.1007/s00180-012-0384-3

    • Related Report
      2013 Annual Research Report 2013 Final Research Report
    • Peer Reviewed
  • [Journal Article] Estimation for multivariate stable distributions with generalized empirical likelihood2013

    • Author(s)
      Ogata, H
    • Journal Title

      Journal of Econometrics

      Volume: 172, Issue.2 Issue: 2 Pages: 248-254

    • DOI

      10.1016/j.jeconom.2012.08.017

    • Related Report
      2013 Final Research Report 2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] On sample marginal quantiles for stationary processes2013

    • Author(s)
      Dominicy, Y., Hormann, S., Ogata, H. and Veredas, D.
    • Journal Title

      Statistics and Probability Letters

      Volume: 83, Issue.1 Issue: 1 Pages: 28-36

    • DOI

      10.1016/j.spl.2012.07.016

    • Related Report
      2013 Final Research Report 2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood2012

    • Author(s)
      Ogata, H
    • Journal Title

      Advances in Decision Sciences

      Volume: 2012 Pages: 8-8

    • DOI

      10.1155/2012/973173

    • Related Report
      2013 Final Research Report 2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Estimation for non-Gaussian locally stationary processes with empirical likelihood method2012

    • Author(s)
      Ogata, H
    • Journal Title

      Advances in Decision Sciences

      Volume: 2012 Pages: 22-22

    • DOI

      10.1155/2012/704693

    • Related Report
      2013 Final Research Report 2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Optimal Portfolios with End-of-Period Target2012

    • Author(s)
      Hiroshi Shiraishi
    • Journal Title

      Advances in Decision Sciences

      Volume: Volume 2012 Pages: 1-13

    • DOI

      10.1155/2012/703465

    • Related Report
      2013 Final Research Report 2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Empirical likelihood estimation for a class of stable processes2010

    • Author(s)
      Ogata, H
    • Journal Title

      Journal of the Japan Statistical Society

      Volume: 40, No.2 Pages: 207-219

    • NAID

      10028089188

    • Related Report
      2013 Final Research Report
    • Peer Reviewed
  • [Journal Article] An empirical likelihood approach for non-Gaussian vector stationary processes and its application to minimum contrast estimation2010

    • Author(s)
      Ogata, H. and Taniguchi, M.
    • Journal Title

      Australian and New Zealand Journal of Statistics

      Volume: 52, Issue.4 Issue: 4 Pages: 451-468

    • DOI

      10.1111/j.1467-842x.2010.00585.x

    • Related Report
      2013 Final Research Report
    • Peer Reviewed
  • [Journal Article] An empirical likelihood approach for non-Gaussian vector stationary processes and its application to minimum contrast estimation.2010

    • Author(s)
      Hiroaki Ogata, Masanobu Taniguchi
    • Journal Title

      Australian & New Zealand Journal of Statistics

      Volume: 52 Pages: 451-468

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Empirical likelihood estimation for a class of stable processes.2010

    • Author(s)
      Hiroaki Ogata
    • Journal Title

      Journal of the Japan Statistical Society

      Volume: 40 Pages: 207-219

    • NAID

      10028089188

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Presentation] Consideration on a measure of dependence2014

    • Author(s)
      Ogata, H
    • Organizer
      Workshop on Statistics for High-dimensional and Dependent Data
    • Place of Presentation
      National Taiwan University, 台北, 台湾
    • Year and Date
      2014-03-21
    • Related Report
      2013 Final Research Report
  • [Presentation] Consideration on a serial correlation2014

    • Author(s)
      Ogata, H
    • Organizer
      Nishi-Izu Seminar
    • Place of Presentation
      ふじやホテル, 静岡
    • Year and Date
      2014-03-06
    • Related Report
      2013 Final Research Report
  • [Presentation] Estimation of autocopula with estimating function approach2014

    • Author(s)
      Ogata, H
    • Organizer
      Waseda International Symposium on"Stable Process, Semimartingale, Finance & Pension Mathematics"
    • Place of Presentation
      早稲田大学, 東京
    • Year and Date
      2014-03-03
    • Related Report
      2013 Final Research Report
  • [Presentation] Estimation of autocopula with estimating function approach.2014

    • Author(s)
      Hiroaki Ogata
    • Organizer
      Waseda International Symposium on“Stable Process, Semimartingale, Finance & Pension Mathematics"
    • Place of Presentation
      早稲田大学
    • Related Report
      2013 Annual Research Report
  • [Presentation] Consideration on a serial correlation.2014

    • Author(s)
      Hiroaki Ogata
    • Organizer
      Nishi-Izu Seminar
    • Place of Presentation
      Fujiya Hotel
    • Related Report
      2013 Annual Research Report
  • [Presentation] Consideration on a measure of dependence.2014

    • Author(s)
      Hiroaki Ogata
    • Organizer
      Workshop on Statistics for High-dimensional and Dependent Data
    • Place of Presentation
      National Taiwan University
    • Related Report
      2013 Annual Research Report
  • [Presentation] Estimation of autocopula2013

    • Author(s)
      Ogata, H
    • Organizer
      7th International Conference on Computational and Financial Econometrics
    • Place of Presentation
      Senate House, University of London, ロンドン, イギリス
    • Year and Date
      2013-12-14
    • Related Report
      2013 Final Research Report
  • [Presentation] Consideration on a serial correlation2013

    • Author(s)
      Ogata, H
    • Organizer
      Symposium on Recent Advances in Statistical Theory and Applications for High Dimensional Data Analysis and Related Topics
    • Place of Presentation
      小樽商科大学, 北海道
    • Year and Date
      2013-09-07
    • Related Report
      2013 Final Research Report
  • [Presentation] On sample marginal quantiles for stationary processes2013

    • Author(s)
      Ogata, H
    • Organizer
      Time Series Forum in Lake Kawaguchi
    • Place of Presentation
      足和田ホテル, 山梨
    • Year and Date
      2013-03-25
    • Related Report
      2013 Final Research Report
  • [Presentation] Consideration on a serial correlation2013

    • Author(s)
      Hiroaki Ogata
    • Organizer
      Project Research Seminar on Financial and Pension Mathematics
    • Place of Presentation
      早稲田大学
    • Related Report
      2013 Annual Research Report
    • Invited
  • [Presentation] Consideration on a serial correlation2013

    • Author(s)
      Hiroaki Ogata
    • Organizer
      Symposium on Recent Advances in Statistical Theory and Applications for High Dimensional Data Analysis and Related Topics
    • Place of Presentation
      小樽商科大学
    • Related Report
      2013 Annual Research Report
    • Invited
  • [Presentation] Estimation of autocopulas2013

    • Author(s)
      Hiroaki Ogata
    • Organizer
      7th International Conference on Computational and Financial Econometrics
    • Place of Presentation
      University of London, UK
    • Related Report
      2013 Annual Research Report
  • [Presentation] Estimation of copulas for time series2012

    • Author(s)
      Ogata, H
    • Organizer
      Project Research Seminar on Financial and Pension Mathematics
    • Place of Presentation
      早稲田大学, 東京
    • Year and Date
      2012-12-19
    • Related Report
      2013 Final Research Report
  • [Presentation] Marginal quantiles for stationary processes2012

    • Author(s)
      Ogata, H
    • Organizer
      Waseda Statistical Symposium on Time Series and Related Topics
    • Place of Presentation
      早稲田大学, 東京
    • Year and Date
      2012-07-05
    • Related Report
      2013 Final Research Report
  • [Presentation] Frequency Domain Empirical Likelihood for Locally Stationary Processes2012

    • Author(s)
      Ogata, H
    • Organizer
      Seminar in Feng Chia University
    • Place of Presentation
      Feng Chia University, 台中, 台湾
    • Year and Date
      2012-05-04
    • Related Report
      2013 Final Research Report
  • [Presentation] Estimation with generalized empirical likelihood for multivariate stable distributions2012

    • Author(s)
      Ogata, H
    • Organizer
      The 2012 Taipei International Statistics Workshop
    • Place of Presentation
      National Taiwan University, 台北, 台湾
    • Year and Date
      2012-05-03
    • Related Report
      2013 Final Research Report
  • [Presentation] Joint estimation ofcopula and quantiles for time series - with estimating function approach -2012

    • Author(s)
      Ogata, H
    • Organizer
      Symposium on Statistics for Biomedical & Social Mathematical Sciences
    • Place of Presentation
      早稲田大学, 東京
    • Year and Date
      2012-03-03
    • Related Report
      2013 Final Research Report
  • [Presentation] Joint estimation of copula and quantiles fortime series-with extimating function approach-2012

    • Author(s)
      OGATA, Hiroaki
    • Organizer
      科研費シンポジウム"Statistics for Biomedical & Social Msthematical Sciences"
    • Place of Presentation
      早稲田大学(東京都)(招待講演)
    • Year and Date
      2012-03-03
    • Related Report
      2011 Annual Research Report
  • [Presentation] (Very) Fast estimation andtesting for (very) large dimensional heavy-tailed elliptical distributions2012

    • Author(s)
      OGATA, Hiroaki
    • Organizer
      早稲田大学商学部金曜セミナー
    • Place of Presentation
      早稲田大学(東京都)(招待講演)
    • Year and Date
      2012-01-13
    • Related Report
      2011 Annual Research Report
  • [Presentation] Modeling financial data with multivariate stable distributions2011

    • Author(s)
      Ogata, H
    • Organizer
      Project Research Seminar on Financial and Pension Mathematics
    • Place of Presentation
      早稲田大学, 東京
    • Year and Date
      2011-10-25
    • Related Report
      2013 Final Research Report
  • [Presentation] Modeling financial data with multivariate stable distributions2011

    • Author(s)
      OGATA, Hiroaki
    • Organizer
      Project Research Seminar on Financial and Pension Mathematics
    • Place of Presentation
      早稲田大学(東京都)(招待講演)
    • Year and Date
      2011-10-25
    • Related Report
      2011 Annual Research Report
  • [Presentation] Estimation for multivariate stable distributions2011

    • Author(s)
      Ogata, H
    • Organizer
      Workshop on Statistical Information in Inference and Its Related Topics
    • Place of Presentation
      京都大学数理解析研究所,京都
    • Year and Date
      2011-03-08
    • Related Report
      2013 Final Research Report
  • [Presentation] Estimation for multivariate stable distributions.2011

    • Author(s)
      小方浩明
    • Organizer
      Statistical Information in Inference and Its Related Topics
    • Place of Presentation
      京都大学数理解析研究所(招待講演)
    • Year and Date
      2011-03-08
    • Related Report
      2010 Annual Research Report
  • [Presentation] Estimation for multivariate stable distributions2011

    • Author(s)
      Ogata, H
    • Organizer
      Atami-Seminar
    • Place of Presentation
      熱海ニューフジヤホテル, 静岡
    • Year and Date
      2011-03-03
    • Related Report
      2013 Final Research Report
  • [Presentation] Estimation for multivariate stable distributions with generalized empirical likelihood method2010

    • Author(s)
      Ogata, H
    • Organizer
      Symposium on Statistical Method, Theory, Application and Its Related Topics with Computer Aid
    • Place of Presentation
      高知大学, 高知
    • Year and Date
      2010-11-25
    • Related Report
      2013 Final Research Report
  • [Presentation] Estimation for multivariate stable distributions with generalized empirical likelihood method.2010

    • Author(s)
      小方浩明
    • Organizer
      シンポジウム「計算機支援による統計手法, 理論・応用およびその周辺」
    • Place of Presentation
      高知大学
    • Year and Date
      2010-11-25
    • Related Report
      2010 Annual Research Report
  • [Presentation] Quantile-based inference for elliptical stable distributions.2010

    • Author(s)
      Yves Dominicy, Hiroaki Ogata, David Veredas
    • Organizer
      Time Series, Quantile Regression and Model Choice
    • Place of Presentation
      University of Dortmund(招待講演)
    • Year and Date
      2010-09-20
    • Related Report
      2010 Annual Research Report
  • [Presentation] Estimation with generalized empirical likelihood for multivariate stable distributions.

    • Author(s)
      OGATA, Hiroaki
    • Organizer
      The 2012 Taipei International Statistics Workshop
    • Place of Presentation
      National Taiwan University
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] Frequency Domain Empirical Likelihood for Locally Stationary Processes.

    • Author(s)
      OGATA, Hiroaki
    • Organizer
      逢甲大學統計系専題演講
    • Place of Presentation
      逢甲大學
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] Marginal quantiles for stationary processes.

    • Author(s)
      OGATA, Hiroaki
    • Organizer
      Waseda Statistical Symposium on Time Series and Related Topics
    • Place of Presentation
      早稲田大学
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] Estimation of copulas for time series.

    • Author(s)
      OGATA, Hiroaki
    • Organizer
      Project Research Seminar on Financial and Pension Mathematics
    • Place of Presentation
      早稲田大学
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] On sample marginal quantiles for stationary processes.

    • Author(s)
      OGATA, Hiroaki
    • Organizer
      Time Series Forum in Lake Kawaguchi
    • Place of Presentation
      足和田ホテル
    • Related Report
      2012 Annual Research Report
    • Invited

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Published: 2010-08-23   Modified: 2019-07-29  

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