Theory and Application of Mathematical Methods for Statistical Science

2009 Fiscal Year Self-evaluation Report

• Project/Area Number: 19204009
• Research Category: Grant-in-Aid for Scientific Research (A)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: General mathematics (including Probability theory/Statistical mathematics)
• Research Institution: Waseda University
• Principal Investigator: TANIGUCHI Masanobu Waseda University, 理工学術院, 教授 (00116625)
• Project Period (FY): 2007 – 2010
• Keywords: 統計推測 / 金融時系列 / 漸近最適性 / 非母数解析 / 多変量解析

Research Abstract

(1)非線形、非定常、非正規、過程に対する局所漸近正規性(LAN)に基づく最適推測論および、その統計的金融工学への応用。
(2)多変量非対称分布の推測理論と正規性からのズレに対するロバストネスの基礎理論構築とその多方面への応用。
(3)分布構造がわからないとき経験尤度を用いた解析が行われるが、本計画では、非正規従属標本に対して一般的な分離度に基づく経験尤度解析の理論と応用研究。
(4)上記の基礎理論結果のシュミレーションによる検証と種々の実際問題への応用。

Research Products

• [Journal Article] Systematic approach for portmanteau tests inview of Whittlelikeli hood ratio (2009)
  • Author(s): Taniguchi, M., Arrano, T.
  • Journal Title: J.Jap.Statist.Soc. Vol. 39 Pages: 177-192
  • Peer Reviewed
• [Journal Article] Cressie-Read power divergene statistics for non Gaussian stationary processes (2009)
  • Author(s): Ogata, H., Taniguchi, M.
  • Journal Title: Scandi navian J.Statistics 36 Pages: 141-156
  • Peer Reviewed
• [Journal Article] The structure of higher order asymptotic theory of statistical estination (2009)
  • Author(s): Akahira, M.
  • Journal Title: Amer.Math.Soc.Transl. Ser.2 Vol. 227 Pages: 175-197
  • Peer Reviewed
• [Journal Article] A Markov bases for two way subtable sumproblens (2009)
  • Author(s): Hara, H., Takemura
  • Journal Title: J.Pure Appl. Algebra Vol. 213 Pages: 1507-1521
  • Peer Reviewed
• [Journal Article] Papakonstantinou's extension of the cardioids distribution (2009)
  • Author(s): Abe, T., Pewsey, A., Shimizu, K.
  • Journal Title: Statistics & Probability Letters Vol. 79 Pages: 2138-2147
  • Peer Reviewed
• [Journal Article] Non-regular estimation theory for piecewise continuous spectral densities (2008)
  • Author(s): Taniguchi, M.
  • Journal Title: Stochastic Processes and their Applications Vol. 118 Pages: 153-170
  • Peer Reviewed
• [Presentation] 打ち切りを伴う有限混合モデルにおける最尤推定量の強一致性について (2009)
  • Author(s): 宮田庸一
  • Organizer: 統計関連学会連合大会
  • Place of Presentation: 同志社大学
  • Year and Date: 2009-09-07
• [Presentation] Empirical likelihood ratio test of the change-point problem for stationary processes (2009)
  • Author(s): 庄司直史、小方浩明、玉置健一郎、塩浜敬之
  • Organizer: 統計関連学会連合大会
  • Place of Presentation: 同志社大学
  • Year and Date: 2009-09-06
• [Presentation] Jackknifed Whittle estimators (2009)
  • Author(s): Taniquchi, M.
  • Organizer: Fourth Brussels-Waseda Seminar
  • Place of Presentation: ENSAI, Rennes, France
  • Year and Date: 2009-06-18
• [Presentation] Non-regular estimation theory for piecewise continuous spectral densities (2009)
  • Author(s): Taniguchi, M.
  • Organizer: 国際会議"Reduction of Complexity in Multivariate Data Sructures
  • Place of Presentation: ドルトムンド大学、ドイツ
  • Year and Date: 2009-04-03
• [Presentation] Preliminary test estimation for regression models with long-memory disturbane (2009)
  • Author(s): Taniguchi, M.
  • Organizer: Workshop "Skew Symmetric Distributions"
  • Place of Presentation: Sannio University, Italy
  • Year and Date: 2009-03-18
• [Book] Financial Mathematics Series,(Optimal Statistical Inference in Financial Engineering) (2008)
  • Author(s): Taniquchi, M., Hrukawa, J., Tanaki, K.
  • Total Pages: 366
  • Publisher: Chapman & Hall/CRC, New York
• [Book] Springer Seriesin Statistics(Information Criterion and Statistical Modeling) (2008)
  • Author(s): Konishi, S., Kitagawa, G.
  • Total Pages: 273
  • Publisher: Springer
• [Book] 統計(共立講座 21世紀の数学 14) (2007)
  • Author(s): 竹村 彰通
  • Total Pages: 183
  • Publisher: 共立出版