Shrinkage Estimation Theory for Unbiased Estimators of Dependent Observations

• Project/Area Number: 26540015
• Research Category: Grant-in-Aid for Challenging Exploratory Research
• Allocation Type: Multi-year Fund
• Research Field: Statistical science
• Research Institution: Waseda University
• Principal Investigator: Taniguchi Masanobu 早稲田大学, 理工学術院, 教授 (00116625)
• Project Period (FY): 2014-04-01 – 2017-03-31
• Project Status: Completed (Fiscal Year 2016)
• Budget Amount: ¥3,510,000 (Direct Cost: ¥2,700,000、Indirect Cost: ¥810,000); Fiscal Year 2016: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000); Fiscal Year 2015: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000); Fiscal Year 2014: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
• Keywords: 縮小推定量 / 最尤推定量 / 曲確率モデル / ポートフォリオ推測 / 金融時系列モデル / 非線形時系列モデル / 統計数学 / 時系列解析 / 不偏推定量 / 高次の漸近推測理論 / 金融時系列 / ポートフォリオ / 補間子 / 時系列モデル / 最適予測子 / 従属構造

Outline of Final Research Achievements

Introducing a curved probability model,which includes a class of very general nonlinear time series models,we proposed a shrinkage estimator for unknown parameter of the curved probability models. Then we developed the third-order asymptotic estimation theory for the estimator, and provided a sufficient condition for the shrinkage estimator to improve the usualestimators. The results can be applied to the problem of portfolio coefficient estimation. Because the results are very general, we can apply them to a variety of statistical observations generated by multivariate financial time series, multivariate time series regression models and usual mulitivariate models.

Research Products

• [Int'l Joint Research] University of Sannio/Department of Law, Economics,(Italy)
• [Int'l Joint Research] Feng Chia University/Department of Statistics(Taiwan)
• [Int'l Joint Research] University of Sannio/Department of Law, Economics,(Italy)
• [Int'l Joint Research] Feng Chia University/Department of Statistics(Taiwan)
• [Journal Article] Asymptotic normality of quadratic forms of martingale differences. (2017)
  • Author(s): Giraitis, L., Taniguchi, M. and Taqqu, M.S.
  • Journal Title: Stat. Inference Stoch Process. Volume: in press Issue: 3 Pages: 315-327
  • DOI: 10.1007/s11203-016-9143-3
  • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
• [Journal Article] Portfolio estimation for spectral density of categorical time series data. (2017)
  • Author(s): Kato, Solvang H. and Taniguchi, M.
  • Journal Title: Far East J. theoretical statistics Volume: in press
  • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
• [Journal Article] Microarray analysis using rank order statistics for ARCH residual empirical process. (2017)
  • Author(s): Kato, Solvang H. and Taniguchi, M.
  • Journal Title: Open Journal of Statistics. Volume: ５３ Issue: 1 Pages: 19-33
  • DOI: 10.17654/ts053010019
  • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
• [Journal Article] Discriminant and cluster analysis of possibly high-dimensional time series data by a class of disparities. (2017)
  • Author(s): Liu,Y., Nagahata, H., Uchiyama, H. and Taniguchi, M.
  • Journal Title: Com. Stat. Volume: in press
  • Peer Reviewed / Open Access
• [Journal Article] Adjustments for a class of tests under nonstandard conditions. (2017)
  • Author(s): Monti, A.C. and Taniguchi, M.
  • Journal Title: Statistica Sinica Volume: in press
  • Peer Reviewed / Open Access / Int'l Joint Research
• [Journal Article] Discriminant analysis by quantile regression with application on the climate change problem. (2017)
  • Author(s): Chen, C.W.S., Hsu, Y.T. and Taniguchi, M.
  • Journal Title: J.Statist. Plan. Inf. Volume: 187 Pages: 17-27
  • DOI: 10.1016/j.jspi.2017.02.002
  • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
• [Journal Article] Granger causality test via Box-Cox transformations. (2016)
  • Author(s): Koike, R., Dou, X., Taniguchi, M. and Xue, Y.
  • Journal Title: ASTE, Research Institute for Science and Engineering, Waseda University, Volume: 13 Pages: 3-18
  • Acknowledgement Compliant
• [Journal Article] Shrinkage interpolation for stationary processes. (2016)
  • Author(s): Suto, Y. and Taniguchi, M.
  • Journal Title: ASTE, Research Institute for Science and Engineering, Waseda University, Volume: 13 Pages: 35-42
  • Acknowledgement Compliant
• [Journal Article] Shrinkage interpolation for stationary processes (2016)
  • Author(s): Suto,Y. and Taniguchi, M.*
  • Journal Title: ASTE, Research Institute for Science and Engineering, Waseda University Volume: 13 Pages: 35-42
  • Open Access / Acknowledgement Compliant
• [Journal Article] Box-Cox 変換を用いた Granger 因果性検定 (2016)
  • Author(s): 小池隆之介、Dou Xiaoling, 谷口正信*
  • Journal Title: ASTE, Research Institute for Science and Engineering, Waseda University Volume: １３ Pages: 3-18
  • Open Access / Acknowledgement Compliant
• [Journal Article] Asymptotic theory of parameter estimation by a function based on interpolation error (2015)
  • Author(s): Suto, Liu and Taniguchi
  • Journal Title: Statistical Inference for Stochastic Processes Volume: 印刷中 Issue: 1 Pages: 93-110
  • DOI: 10.1007/s11203-015-9116-y
  • Peer Reviewed / Open Access
• [Journal Article] An empirical likelihood approach for symmetric α-stable processes (2015)
  • Author(s): Fumiya Akashi, Yan Liu and Masanobu Taniguchi
  • Journal Title: Bernoulli Volume: 21 Issue: 4 Pages: 2093-2119
  • DOI: 10.3150/14-bej636
  • Peer Reviewed / Open Access
• [Journal Article] An empirical likelihood approach for symmetric alpha-stable processes (2015)
  • Author(s): Akashi, F., Liu, Y. and Taniguchi, M.
  • Journal Title: Bernoulli Volume: in press
  • Peer Reviewed / Open Access
• [Journal Article] 年金運用における共和分検定を用いた最適ポートフォリオの推定 (2015)
  • Author(s): 岸本桂一、山下隆、谷口正信
  • Journal Title: ASTE, Research Institute for Science and Engineering, Waseda University, Special Issue " Financial and Pension Mathematical Science" Volume: 12 Pages: 45-62
  • Peer Reviewed
• [Journal Article] Shrinkage estimation and prediction for time series (2014)
  • Author(s): Hamada, K. and Taniguchi, M.
  • Journal Title: ASTE, Research Institute for Science and Engineering, Waseda University, Special Issue " Financial and Pension Mathematical Science" Volume: 10 Pages: 3-18
  • NAID: 40020348097
  • Peer Reviewed
• [Presentation] Local Whittle likelihood approach for L^p-norm spectra (2017)
  • Author(s): Yuji Xue, 谷口正信
  • Organizer: 日本数学会
  • Place of Presentation: 首都大学
• [Presentation] A frequency domain bootstrap for irregularly spaced spatial data. (2017)
  • Author(s): 劉言、 K. Chen, N.H. Chan, 谷口正信
  • Organizer: 日本数学会
  • Place of Presentation: 首都大学
  • Invited
• [Presentation] 高次元時系列の sphericity 検定統計量の漸近理論 (2017)
  • Author(s): 田村百合絵、谷口正信
  • Organizer: 日本数学会
  • Place of Presentation: 首都大学
• [Presentation] Asymptotic theory of Whittle estimator for high dimensional time series. (2017)
  • Author(s): 谷田義行、谷口正信
  • Organizer: 日本数学会
  • Place of Presentation: 首都大学
• [Presentation] High Order Asymptotic Theory of Shrinkage Estimation for General Statistical Models (2016)
  • Author(s): Taniguchi, M.
  • Organizer: Invited Talk at New Developments in Econometrics and Time Series
  • Place of Presentation: University of Carlos III, Madrid, Spain.
  • Year and Date: 2016-10-06
  • Int'l Joint Research / Invited
• [Presentation] Theory and Applications in Statistical Science (2016)
  • Author(s): Taniguchi, M.
  • Organizer: Invited Talk at International Workshop on Financial Time Series and Econometrics
  • Place of Presentation: Southwest University of Finance and Economics, China
  • Year and Date: 2016-05-30
  • Int'l Joint Research / Invited
• [Presentation] Minimax extrapolation error of predictors. (2016)
  • Author(s): Xue, Y., Liu, Y. and Taniguchi, M.
  • Organizer: 日本数学会
  • Place of Presentation: 筑波大学
  • Year and Date: 2016-03-19
• [Presentation] Minimax extrapolation error of stationary processes. (2016)
  • Author(s): Liu, Y., Xue, Y. and Taniguchi, M.
  • Organizer: High Dimensional Statistical Analysis for Time Spatial Processes & Quantile Analysis for Time Series
  • Place of Presentation: 早稲田大学
  • Year and Date: 2016-03-01
  • Int'l Joint Research / Invited
• [Presentation] Shrinkage Estimation and Prediction for Time Series (2016)
  • Author(s): Taniguchi, M.*
  • Organizer: The 8th International conference of the Thailand Econometric Society
  • Place of Presentation: Chaing Mai University
  • Year and Date: 2016-01-06
  • Int'l Joint Research / Invited
• [Presentation] High Order Asymptotic Theory of Shrinkage Estimation for General Statistical Models (2016)
  • Author(s): Taniguchi, M.
  • Organizer: Invited Talk at University of Milan
  • Place of Presentation: University of Milan
  • Invited
• [Presentation] Numerical results of analysis of variance for multivariate time series. (2016)
  • Author(s): 長播英明、谷口正信
  • Organizer: 日本数学会
  • Place of Presentation: 関西大学
• [Presentation] Robust interpolation problem in L^p (2016)
  • Author(s): Yujie Xue, 劉言、谷口正信
  • Organizer: 日本数学会
  • Place of Presentation: 関西大学
• [Presentation] 高次元時系列の Whittle 積分汎関数の漸近理論 (2016)
  • Author(s): 谷田義行、谷口正信
  • Organizer: 日本数学会
  • Place of Presentation: 関西大学
• [Presentation] Shrinkage Estimation and Prediction for Time Series (2015)
  • Author(s): Taniguchi, M.
  • Organizer: Workshop at Seoul National University on Advances in Time Series Analysis
  • Place of Presentation: Seoul National University
  • Year and Date: 2015-09-10
  • Int'l Joint Research / Invited
• [Presentation] (1)Preliminary test estimation for regression models with long-memory disturbance, (2) Jackknifed Whittle estimators (2015)
  • Author(s): Taniguchi, M.
  • Organizer: Invited Seminar Talk at Institute of Statistical Science
  • Place of Presentation: Institute of Statistical Science, Academia Sinica, Taiwan
  • Year and Date: 2015-07-23
  • Int'l Joint Research / Invited
• [Presentation] Asymptotics of realized volatility with microstructure noise (2015)
  • Author(s): Taniguchi,M.
  • Organizer: Seminar Talk at National Sun Yat-sen University
  • Place of Presentation: National Sun Yat-sen University, Taiwan
  • Year and Date: 2015-07-21
  • Int'l Joint Research / Invited
• [Presentation] Shrinkage estimation and prediction for time series (2014)
  • Author(s): Taniguchi, M.
  • Organizer: Princeton University, Invited Seminar Talk
  • Place of Presentation: Princeton University, USA
  • Year and Date: 2014-09-22
  • Invited
• [Presentation] Systematic approach for Portmanteau tests in view of Whittle likelihood ratio (2014)
  • Author(s): Taniguchi, M.
  • Organizer: 4th Workshop on " New Developments in Econometrics and Time Series"
  • Place of Presentation: Institute for Economics and Finance, Rome, Italy
  • Year and Date: 2014-09-11 – 2014-09-12
  • Invited
• [Book] Statistical Portfolio Estimation" (2017)
  • Author(s): Taniguchi, M., Shiraishi, H., Hirukawa,J., Kato, H.S. and Yamashita, T.
  • Total Pages: 400
  • Publisher: Chapman & Hall
• [Book] 統計科学と金融工学 (2017)
  • Author(s): 谷口 正信編集
  • Total Pages: 125
  • Publisher: 早稲田大学理工研報告特集号
• [Book] Statistical Portfolio Estimation (2017)
  • Author(s): Taniguchi, M., Shiraishi, H., Hirukawa, J., Kato, H.S. and Yamashita, T.
  • Total Pages: 500
  • Publisher: Chapman & Hall
• [Book] Special Issue on the "Financial & Pension Mathematical Science" (2016)
  • Author(s): 谷口正信（編）
  • Total Pages: 126
  • Publisher: 早稲田大学理工学研究所
• [Book] Statistical Inference for Financial Engineering (2014)
  • Author(s): Taniguchi, M., Amano, T., Ogata, H. and Taniai, H.
  • Total Pages: 118
  • Publisher: Springer
• [Remarks] Waseda International Symposium
  • URL: http://www.taniguchi.sci.waseda.ac.jp/WIS_ver3.pdf
• [Remarks] Hokkaido International Symposium
  • URL: http://www.taniguchi.sci.waseda.ac.jp/HIS2016_ver5.pdf
• [Remarks] Waseda International Symposium
  • URL: http://www.taniguchi.sci.waseda.ac.jp/Waseda_International_Symposium_2017spring.pdf
• [Remarks] Ｉｓｅ－Ｓｈｉｍａ Ｉｎｔｅｒｎａｔｉｏｎａｌ Ｓｅｍｉｎａｒ
  • URL: http://www.taniguchi.sci.waseda.jp/Ise-Shima2017program.pdf
• [Remarks] Waseda International Symposium
  • URL: http://www.taniguchi.sci.waseda.ac.jp/2015hokoku/WIS15_final.pdf
• [Remarks] Waseda International Symposium
  • URL: http://www.taniguchi.sci.waseda.ac.jp/WIS16_prog&abs.pdf
• [Remarks] Kumamoto International Symposium
  • URL: http://www.taniguchi.sci.waseda.ac.jp/KIS16.pdf
• [Remarks] 科研費・基盤研究 (A) (2011-2014) 報告
  • URL: http://www.taniguchi.sci.waseda.ac.jp/kakenhoukoku2011.html
• [Funded Workshop] Ise-Shima International Seminar " High Dimensional Statistical Analysis for Time Spatial Processes & Quantile Analysis for Time Series" (2017)
  • Place of Presentation: Ise-Shima Royal Hotel
  • Year and Date: 2017-03-05
• [Funded Workshop] Waseda International Symposium "High Dimensional Statistical Analysis for Time Spatial Processes & Quantile Analysis for Time Series" (2017)
  • Place of Presentation: Waseda University
  • Year and Date: 2017-02-27
• [Funded Workshop] Hokkaido International Symposium "Recent Developments of Statistical Theory in Statistical Science (2016)
  • Place of Presentation: Hokkaido University
  • Year and Date: 2016-10-27
• [Funded Workshop] Waseda International Symposium " High Dimensional Statistical Analysis for Time Spatial Processes & Quantile Analysis for Time Series" (2016)
  • Place of Presentation: Waseda University
  • Year and Date: 2016-10-24
• [Funded Workshop] Kumamoto International Symposium "High Dimensional Statistical Analysis & Quantile Analysis for Time Series" (2016)
  • Place of Presentation: Kumamoto University
  • Year and Date: 2016-03-03
• [Funded Workshop] Waseda International Symposium "High Dimensional Statistical Analysis for Time Spatial Processes & Quantile Analysis for Time Series" (2016)
  • Place of Presentation: Waseda University
  • Year and Date: 2016-02-29
• [Funded Workshop] Waseda International Symposium "High Dimensional Statistical Analysis for Spatio-Temporal Processes & Quantile Analysis for Time Series" (2015)
  • Place of Presentation: Waseda University
  • Year and Date: 2015-11-09