| 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)
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| 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 .
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