On the causality between multiple locally stationary processes and its application to the financial time series data

2008 Fiscal Year Final Research Report

• Project/Area Number: 18740060
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Single-year Grants
• Research Field: General mathematics (including Probability theory/Statistical mathematics)
• Research Institution: Niigata University
• Principal Investigator: HIRUKAWA Junichi Niigata University, 自然科学系, 准教授 (10386617)
• Project Period (FY): 2006 – 2008
• Keywords: 統計数学 / 時系列解析 / 金融工学

Research Abstract

定常性の仮定の下で与えられた依存性と因果関係の概念を局所定常モデルに一般化した。時刻毎、周波数毎の、依存性、因果関係、相互関係の測度を与え、それらを時変スペクトル密度関数を用いて表した。依存性の強さの検定問題を局所定常過程に一般化し、ノンパラメトリック時変スペクトル密度関数推定量を用いた検定統計量を提案した。また、無限次元の時変係数自己回帰モデルをあてはめて、局所最小自乗推定量を用いた検定統計量を構成した。

Research Products

• [Journal Article] On the asymptotic inference for locally stationary processes (2008)
  • Author(s): Hirukawa, J
  • Journal Title: RIMS 共同研究報告集「種々のモデルの統計的解析」 1603 Pages: 80-93
• [Journal Article] Generalized information criteria in model selection for locally stationary processes (2008)
  • Author(s): Hirukawa, J., Solvang Kato, H., Tamaki, K. and Taniguchi, M
  • Journal Title: J. Japan Statist. Soc 38 Pages: 157-171
  • Peer Reviewed
• [Presentation] Independent component analysis for locally stationary processes (2008)
  • Author(s): Hirukawa, J
  • Organizer: Recent Developments in Statistics and Econometrics ~In Honor of Hirotugu Akaike~
  • Place of Presentation: 京都大学
  • Year and Date: 20081100
• [Presentation] On the asymptotic inference for locally stationary processes (2008)
  • Author(s): 蛭川潤一
  • Organizer: 日本統計学会春季集会2008
  • Place of Presentation: 成城大学
  • Year and Date: 20080300
• [Presentation] On the asymptotic inference for locally stationary processes (2008)
  • Author(s): 蛭川潤一
  • Organizer: 数理解析研究所・RIMS 共同研究による研究集会「Statistical Analysis of Various Models」研究会
  • Place of Presentation: 京都大学数理解析研究所
  • Year and Date: 20080300
• [Presentation] Generalized information criteria in model selection for locally stationary processes (2007)
  • Author(s): 蛭川潤一
  • Organizer: 計量経済学セミナー
  • Place of Presentation: 京都大学
  • Year and Date: 20071200
• [Presentation] Generalized information criteria in model selection for locally stationary processes (2007)
  • Author(s): 蛭川潤一
  • Organizer: 科学研究費シンポジウム「統計科学における数理的手法の理論と応用」
  • Place of Presentation: 北海道大学
  • Year and Date: 20071200
• [Presentation] Asymptotic inference for locally stationary processes (2007)
  • Author(s): 蛭川潤一
  • Organizer: 日本数学会2007年度秋期総合分科会(特別講演)
  • Place of Presentation: 東北大学
  • Year and Date: 20070900
• [Presentation] Generalised information criteria in model selection for locally stationary processes (2007)
  • Author(s): 蛭川潤一
  • Organizer: 日本統計学会2007年度統計関連学会連合大会
  • Place of Presentation: 神戸大学
  • Year and Date: 20070900
• [Presentation] Generalised information criteria in model selection for locally stationary processes (2007)
  • Author(s): Hirukawa, J
  • Organizer: 56th Session of the International Statistical Institute
  • Place of Presentation: Lisboa, Portugal
  • Year and Date: 20070800
• [Presentation] LAN Theorem for Non-Gaussian Locally Stationary Processes and Their Discriminant and Cluster Analyses (2006)
  • Author(s): 蛭川潤一
  • Organizer: 統計数学セミナー
  • Place of Presentation: 東京大学
  • Year and Date: 20061100
• [Presentation] Large deviation results for discriminant statistics of Gaussian locally stationary processes (2006)
  • Author(s): 蛭川潤一
  • Organizer: 日本数学会2006年度秋期総合分科会
  • Place of Presentation: 大阪市立大学
  • Year and Date: 20060900
• [Presentation] The asymptotic properties of the multivariate time varying autoregressive spectral estimates (2006)
  • Author(s): 蛭川潤一
  • Organizer: 日本統計学会2006年度統計関連学会連合大会
  • Place of Presentation: 東北大学
  • Year and Date: 20060900
• [Presentation] Discriminant and Cluster Analysis for Multivariate Non-Gaussian Locally Stationary Processes (2006)
  • Author(s): Hirukawa, J
  • Organizer: Fourth World Congress of the Bachelier Finance Society
  • Place of Presentation: Tokyo, Japan
  • Year and Date: 20060800
• [Book] Chapman & Hall (2008)
  • Author(s): Taniguchi, M., Hirukawa, J. and Tamaki, K
  • Publisher: Optimal statistical inference in financial engineering