Research on the nonparametric methods in time series analysis

2013 Fiscal Year Final Research Report

• Project/Area Number: 22700291
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Single-year Grants
• Research Field: Statistical science
• 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)
• Project Period (FY): 2010-04-01 – 2014-03-31
• Keywords: 時系列解析 / 経験尤度 / 分位点

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 .

Research Products

• [Journal Article] Inference for vast dimensional elliptical distributions (2013)
  • Author(s): Dominicy, Y., Ogata, H. and Veredas, D.
  • Journal Title: Computational Statistics Volume: 28, Issue.4 Pages: 1853-1880
  • DOI: 10.1007/s00180-012-0384-3
  • Peer Reviewed
• [Journal Article] Estimation for multivariate stable distributions with generalized empirical likelihood (2013)
  • Author(s): Ogata, H
  • Journal Title: Journal of Econometrics Volume: 172, Issue.2 Pages: 248-254
  • DOI: 10.1016/j.jeconom.2012.08.017
  • Peer Reviewed
• [Journal Article] On sample marginal quantiles for stationary processes (2013)
  • Author(s): Dominicy, Y., Hormann, S., Ogata, H. and Veredas, D.
  • Journal Title: Statistics and Probability Letters Volume: 83, Issue.1 Pages: 28-36
  • DOI: 10.1016/j.spl.2012.07.016
  • Peer Reviewed
• [Journal Article] Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood (2012)
  • Author(s): Ogata, H
  • Journal Title: Advances in Decision Sciences Pages: 8
  • DOI: 10.1155/2012/973173
  • Peer Reviewed
• [Journal Article] Estimation for non-Gaussian locally stationary processes with empirical likelihood method (2012)
  • Author(s): Ogata, H
  • Journal Title: Advances in Decision Sciences Pages: 22
  • DOI: 10.1155/2012/704693
  • Peer Reviewed
• [Journal Article] Optimal portfolios with end-of-period target (2012)
  • Author(s): Shiraishi, H., Ogata, H., Amano, T., Patilea, V., Veredas, D. and Taniguchi, M.
  • Journal Title: Advances in Decision Sciences Pages: 13
  • DOI: 10.1155/2012/703465
  • Peer Reviewed
• [Journal Article] Empirical likelihood estimation for a class of stable processes (2010)
  • Author(s): Ogata, H
  • Journal Title: Journal of the Japan Statistical Society Volume: 40, No.2 Pages: 207-219
  • Peer Reviewed
• [Journal Article] An empirical likelihood approach for non-Gaussian vector stationary processes and its application to minimum contrast estimation (2010)
  • Author(s): Ogata, H. and Taniguchi, M.
  • Journal Title: Australian and New Zealand Journal of Statistics Volume: 52, Issue.4 Pages: 451-468
  • DOI: 10.1111/j.1467-842X.2010.00585.x
  • Peer Reviewed
• [Presentation] Consideration on a measure of dependence (2014)
  • Author(s): Ogata, H
  • Organizer: Workshop on Statistics for High-dimensional and Dependent Data
  • Place of Presentation: National Taiwan University, 台北, 台湾
  • Year and Date: 2014-03-21
• [Presentation] Consideration on a serial correlation (2014)
  • Author(s): Ogata, H
  • Organizer: Nishi-Izu Seminar
  • Place of Presentation: ふじやホテル, 静岡
  • Year and Date: 2014-03-06
• [Presentation] Estimation of autocopula with estimating function approach (2014)
  • Author(s): Ogata, H
  • Organizer: Waseda International Symposium on"Stable Process, Semimartingale, Finance & Pension Mathematics"
  • Place of Presentation: 早稲田大学, 東京
  • Year and Date: 2014-03-03
• [Presentation] Estimation of autocopula (2013)
  • 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
• [Presentation] Consideration on a serial correlation (2013)
  • Author(s): Ogata, H
  • Organizer: Symposium on Recent Advances in Statistical Theory and Applications for High Dimensional Data Analysis and Related Topics
  • Place of Presentation: 小樽商科大学, 北海道
  • Year and Date: 2013-09-07
• [Presentation] On sample marginal quantiles for stationary processes (2013)
  • Author(s): Ogata, H
  • Organizer: Time Series Forum in Lake Kawaguchi
  • Place of Presentation: 足和田ホテル, 山梨
  • Year and Date: 2013-03-25
• [Presentation] Estimation of copulas for time series (2012)
  • Author(s): Ogata, H
  • Organizer: Project Research Seminar on Financial and Pension Mathematics
  • Place of Presentation: 早稲田大学, 東京
  • Year and Date: 2012-12-19
• [Presentation] Marginal quantiles for stationary processes (2012)
  • Author(s): Ogata, H
  • Organizer: Waseda Statistical Symposium on Time Series and Related Topics
  • Place of Presentation: 早稲田大学, 東京
  • Year and Date: 2012-07-05
• [Presentation] Frequency Domain Empirical Likelihood for Locally Stationary Processes (2012)
  • Author(s): Ogata, H
  • Organizer: Seminar in Feng Chia University
  • Place of Presentation: Feng Chia University, 台中, 台湾
  • Year and Date: 2012-05-04
• [Presentation] Estimation with generalized empirical likelihood for multivariate stable distributions (2012)
  • Author(s): Ogata, H
  • Organizer: The 2012 Taipei International Statistics Workshop
  • Place of Presentation: National Taiwan University, 台北, 台湾
  • Year and Date: 2012-05-03
• [Presentation] Joint estimation ofcopula and quantiles for time series - with estimating function approach - (2012)
  • Author(s): Ogata, H
  • Organizer: Symposium on Statistics for Biomedical & Social Mathematical Sciences
  • Place of Presentation: 早稲田大学, 東京
  • Year and Date: 2012-03-03
• [Presentation] Modeling financial data with multivariate stable distributions (2011)
  • Author(s): Ogata, H
  • Organizer: Project Research Seminar on Financial and Pension Mathematics
  • Place of Presentation: 早稲田大学, 東京
  • Year and Date: 2011-10-25
• [Presentation] Estimation for multivariate stable distributions (2011)
  • Author(s): Ogata, H
  • Organizer: Workshop on Statistical Information in Inference and Its Related Topics
  • Place of Presentation: 京都大学数理解析研究所,京都
  • Year and Date: 2011-03-08
• [Presentation] Estimation for multivariate stable distributions (2011)
  • Author(s): Ogata, H
  • Organizer: Atami-Seminar
  • Place of Presentation: 熱海ニューフジヤホテル, 静岡
  • Year and Date: 2011-03-03
• [Presentation] Estimation for multivariate stable distributions with generalized empirical likelihood method (2010)
  • Author(s): Ogata, H
  • Organizer: Symposium on Statistical Method, Theory, Application and Its Related Topics with Computer Aid
  • Place of Presentation: 高知大学, 高知
  • Year and Date: 2010-11-25