Talk 2. Local asymptotic power of self-weighted GEL method and choice of weighting function Kouchi International Seminar on Recent Developments of Qua
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1 TALKS Invited Talks 2018 Oct. 3 Robust statistical inference for nonstandard time series models and related topics Quantitative Finance Seminar, Tokyo Metropolitan University Sep. 4-5 Robust statistical inference for multiple time series: Self-weighting and normalization methods Mathematical Statistics and stochastic analysis for modeling and analysis of complex random systems, Osaka University. Aug. 8 Robust statistical inference for multiple time series: Self-weighting and normalization methods SWET: Summer Workshop on Economic Theory, Otaru University of Commerce. Jun Robust statistical inference for time series regression model by self-normalized subsampling method Invited talk at 2nd International Conference on Econometrics and Statistics (Organized Session by Kaiji Motegi), City University of Hong Kong, Hong Kong. Feb. 24 Robust statistical inference for non-standard time series models by empirical likelihood, self-weighting and self-normalization Departmental Colloquia at Texas A&M University Sep ( 欧文 ) Robust statistical inference for non-standard time series models based on the empirical likelihood and normalization methods. Invited Talk in a Research Section (VIII: Statistics and Probability Section), The Mathematical Society of Japan, Yamagata University. ( 和文 ) 経験尤度法 基準化法に基づく非正則時系列モデルの頑健な統計的推測法の構成 特別講演 (VIII: 統計分科会 ) 日本数学会 2017 年度秋季総合分科会 ( 山形大学 ). 9/13 Jun Robust GEL method for linear hypothesis of infinite variance processes. Invited talk at 1st International Conference on Econometrics and Statistics (Organized Session by Kaiji Motegi), The Hong Kong University of Science and Technology, Hong Kong. May Change point detection by self-weighted empirical likelihood method and its application to real data. Invited talk at A Symposium on Complex Data Analysis, National Tsing Hua University, Taiwan. International Symposiums 2018 Mar. 4-5 Talk 1. Asymptotic theory and numerical studies of Whittle estimation for highdimensional time series (Tanida, Akashi & Taniguchi).
2 Talk 2. Local asymptotic power of self-weighted GEL method and choice of weighting function Kouchi International Seminar on Recent Developments of Quantile Method, Causality and High Dim. Statistics Mar. 1-3 Robust GEL test in infinite variance processes and its application to change point tests Kagawa International Symposium Recent Developments in Statistics and Econometrics. Kagawa University Feb Self-normalized subsampling method for time series regression models with heavy-tailed long-memory noise. Waseda International Symposium on Recent Developments in Time series Analysis: Quantile Regression, High Dimensional Data & Causality. Waseda University Oct Robust confidence region for time series regression models under the presence of infinite variance and long-memory. Kyoto (Fushimi-Uji) International Seminar on Recent Developments for Statistical Science Oct Self-weighted GEL method for linear hypothesis in infinite variance processes and its application to change point tests. Waseda International Symposium on Recent Developments for Statistical Asymptotic Theory for Time Series & Circular Distributions. Waseda University. Mar. 5-7 Robust GEL test for linear hypothesis of infinite variance time series models. Ise- Shima Seminar. Mar. 2-3 Empirical likelihood approach for robust change point detection of infinite variance time series models. Keio International Symposium on Statistical Analysis for High-Dimensional, Circular or Time Series Data. Keio University. Feb. 27- A self-normalized block sampling method to quantile regression on time series. Mar. 1 Waseda International Symposium on High Dimensional Statistical Analysis for Time Spatial Processes & Quantile Analysis for Time Series. Waseda University Oct Self-normalized and random weighting approach to likelihood ratio test for the model diagnostics of stable processes (Joint work with Fan, J.). Hokkaido International Symposium on Recent Developments of Statistical Theory in Statistical Science. Oct Quantile regression based self-normalized block sampling method for linear regression model with dependent errors (Joint work with Bai, S. & Taqqu, M.S.). Waseda International Symposium on High Dimensional Statistical Analysis for Time Spatial Processes & Quantile Analysis for Time Series. Waseda University. Aug Empirical likelihood and self-weighting approach for hypothesis testing of infinite variance processes and its applications. Boston University/Keio University Workshop Boston University, US.
3 Mar. 6-8 Empirical likelihood approach for analysis of least absolute deviation. Ibusuki Seminar. Mar. 3-5 Self-weighted empirical likelihood approach for infinite variance processes. Kumamoto International Symposium on High Dimensional Statistical Analysis & Quantile Analysis for Time Series. Kumamoto University. Feb. 29- LAD-based empirical likelihood method and its local asymptotic power (Joint Mar. 2 work with Shao, X.). Waseda International Symposium on High Dimensional Statistical Analysis for Time Spatial Processes & Quantile Analysis for Time Series. Waseda University Nov Frequency domain self-weighted empirical likelihood for stable processes. Hakone Seminar. Nov Self-weighted empirical likelihood for heavy-tailed autoregressive processes. Waseda International Symposium on High Dimensional Statistical Analysis for Time-Spatio Temporal Processes & Quantile Analysis for Time Series. Waseda University. Mar. Asymptotic efficiency of GEL estimator for tail-index of stable process. Miura Statistical Seminar. Mar. 2-4 Higher-order asymptotic properties of generalized empirical likelihood estimator for alpha-stable processes. Waseda International Symposium on Asymptotic Sufficiency, Asymptotic Efficiency and Semimartingale. Waseda University. Feb. GEL estimation for stable process and its higher-order asymptotic properties. Technische Universität Müniche, Munich. Jan. GEL estimator for tail-index of stable process and its higher-order asymptotic properties. Izu Seminar Oct Frequency domain GMM estimators for stable processes and its asymptotic optimality. Kaken Symposium. Niigata University. Sep. 1-3 Higher-order asymptotic properties of frequency domain GMM estimators. Kaken Symposium. Nara University of Education. Mar. 6-8 Frequency domain GMM approach to hypothesis testing and its optimality for alpha-stable linear processes. Nishi-Izu Seminor. Mar. 3-5 Empirical likelihood ratio for symmetric alpha-stable processes (Joint work with Liu, Y. & Taniguchi, M.). Waseda International Symposium on Stable Process, Semimartingale, Finance & Pension Mathematics. Waseda University. Jan. 6-7 Nonparametric LAN approach for frequency domain GMM-type hypothesis testing. Waseda International Symposium on High Dimensional Statistical Analysis and Related Topics. Waseda University Sep. 5-7 An empirical likelihood approach toward discriminant analysis for non-gaussian vector stationary processes. KAKENHI Symposium on Recent Advances in
4 Statistical Theory and Applications for High Dimensional Data Analysis and Related Topics. Otaru University of Commerce. Domestic Symposiums Sep 一般化経験尤度法による球面上分布の回転対称性の検定 日本数学会 2018 年度秋季総合分科会 ( 岡山大学 ) Sep Robust change point detection by self-weighted GEL method 年統計関連学会連合大会 ( 中央大学 ) Mar. 21 講演 1. 高次元時系列における Whittle 推定量の漸近理論とその数値例 ( 谷田 明石 谷口 ) 講演 2. 自己加重型 GEL 統計量の局所検出力及び加重関数選択手法 日本数学会 2018 年度年会 ( 東京大学 ) Dec. 14 非正則時系列モデルに対する頑健な統計的推測手法の構成 第 15 回早稲田大学数学 応用数理談話会 Dec. 8 無限分散 長期記憶過程に対する頑健な推測手法の構成 広島大学金曜統計セミナー Sep. 3-6 Self-normalized subsampling method for non-standard time series regression models 年統計関連学会連合大会 ( 南山大学 ). Mar 講演 1. Self-normalized and random weighting approach to likelihood ratio test for the model diagnostics of stable processes (Joint work with Fan, J.). 講演 2. Quantile regression-based self-normalized block sampling method for linear regression model with dependent errors (Joint work with Bai, S. & Taqqu, M.S.). 日本数学会 2017 年度年会 ( 首都大学東京 ) Sep 非正則モデルに対するL 1 - 経験尤度比検定の構成 日本数学会 2016 年度秋季総合分科会 ( 関西大学 ) Sep. 4-7 自己加重型経験尤度による無限分散時系列モデルに対する頑健な統計手法の構成 年統計関連学会連合大会 ( 金沢大学 ). Mar 講演 1. 自己加重経験尤度による安定 ARMA 過程のパラメータ検定 講演 2. LAD-based empirical likelihood method for linear hypothesis and its local asymptotic power (Joint work with Shao, X.). 日本数学会 2016 年度年会 ( 筑波大学 ) 2015 Mar GMM 推定量による安定過程のパラメータ推定及びその 2 次漸近理論 日本数学会 2015 年度年会 ( 明治大学 ) Sep On the second-order asymptotic efficiency of frequency domain GMM estimators. 日本数学会 2014 年度秋季総合分科会 ( 広島大学 ). Mar LAN and frequency domain GMM approach to optimality of hypothesis testing. 日本数学会 2014 年度年会 ( 学習院大学 ).
5 2013 Sep An empirical likelihood approach toward discriminant analysis for non-gaussian vector stationary processes. 日本数学会 2013 年度秋季総合分科会 ( 愛媛大学 ). Mar Empirical likelihood approach for symmetric alpha-stable linear processes (Joint work with Taniguchi, M.). 日本数学会 2013 年度年会 ( 京都大学 ). Attendance 2014 May Self-normalized Asymptotic Theory in Probability, Statistics and Econometrics. National University of Singapore, Singapore.
早稲田大学大学院理工学研究科 博士論文概要 論文題目 Various statistical methods in time series analysis 時系列解析における種々の統計手法 申請者 天野友之 Tomoyuki AMANO 数理科学専攻数理統計学研究 007 年 月 時とともに変動する偶然量の観測値の系列である時系列の解析は近年 様々な統計手法が導入され自然工学 医学 経済学 など多方面で急速に発展している
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