Research on the nonparametric methods in time series analysis
Project/Area Number |
22700291
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Research Category |
Grant-in-Aid for Young Scientists (B)
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Allocation Type | Single-year Grants |
Research Field |
Statistical science
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Research Institution | Waseda 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)
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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 .
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Report
(5 results)
Research Products
(42 results)
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[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
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