増田 弘毅 (MASUDA, Hiroki)

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講　　　座 離散数理学大講座 　教授
研究分野 確率統計学
研究テーマ
非正規確率過程に基づく統計モデリングとその実装
研究概要

確率過程モデルに関連する統計推測を研究しています.とくにレヴィ過程の汎関数として定まる統計量の分布近似を基盤に,統計的モデル評価法や多変量解析手法の開発と基礎理論の構築,また個体群動態・相互作用動態の統計推測への展開,さらにそれらの計算機への実装に取り組んでいます.確率過程の統計推測のために本質的となる極限定理のほか,必要に応じてエルゴード性などの長期安定性も研究対象としています.
主要論文
  1. Masuda, H.: On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process, Bernoulli 10 (2004), 1-24.
  2. Masuda, H.: Ergodicity and exponential beta-mixing bound for multidimensional diffusions with jumps, Stochastic Processes and their Applications 117 (2007), 35-56.
  3. Masuda, H.: Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes, Electronic Journal of Statistics 4 (2010), 525-565.
  4. Masuda, H.: Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes, Stochastic Processes and their Applications 123 (2013), 2752-2778.
  5. Masuda, H.: Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency. The Annals of Statistics 41 (2013), 1593-1641.
  6. Masuda, H.: Parametric estimation of Lévy processes. Lévy Matters IV, Estimation for Discretely Observed Lévy Processes, Lecture Notes in Mathematics, Vol. 2128 (2015), pp.179-286, Springer.
  7. Uehara, Y. and Masuda, H.: On stepwise estimation of Lévy driven stochastic differential equation (Japanese), Proceedings of the Institute of Statistical Mathematics 65:(1) (2017), 21-38.
  8. Eguchi, S. and Masuda, H.: Schwarz type model comparison for LAQ models, Bernoulli, 24:(3) (2018), 2278-2327.
  9. Brouste, A. and Masuda, H.: Efficient estimation of stable Lévy process with symmetric jumps, Statistical Inference for Stochastic Processes, 21:(2) (2018), 289-307.
  10. Masuda, H.: Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process, Stochastic Processes and their Applications, 129:(3) (2019), 1013-1059.
  11. Umezu, Y., Yusuke Shimizu, Masuda, H. and Ninomiya, Y.: AIC for non-concave penalized likelihood method, Annals of the Institute of Statistical Mathematics, 71:(2) (2019), 247-274.
  12. Eguchi, S. and Masuda, H.: Data driven time scale in Gaussian quasi-likelihood inference, Statistical Inference for Stochastic Processes, 22:(3) (2019), 383-430.
  13. Masuda, H. and Uehara, Y.: Estimating diffusion with compound Poisson jumps based on self-normalized residuals, Statistical Planning and Inference, 215 (2021), 158-183.
学会 日本統計学会、日本数学会
受賞

第２０回 日本統計学会小川研究奨励賞 (2006)

第８回 日本統計学会研究業績賞 (2014)
活動

Elected member of ISI (International Statistical Institute) (2012-)

Statistical Inference for Stochastic Processes, associate editor (2014-)

Bernoulli journal, associate editor (2019-)

Japanese Journal of Statistics and Data Science, coordinating editor (2019-)

Annals of the Institute of Statistical Mathematics, associate editor (2021-)