MASUDA, Hiroki

Title
Professor
Field
Theoretical Statistics and Probability Theory
Research interests
Statistical modeling based on non-Gaussian stochastic processes and their implementation
Current research

My research interests are in the fields of statistical analyses for stochastic process models. Based on the distributional approximation of functionals of Lévy processes, I am studying related model assessments and multivariate analyses, their expansions into population dynamics and large-interacting dynamics, and their implementation on a computer. I am also interested in various limit theorems related to developing statistical methodologies, and in long-term stabilities such as ergodicity.
Selected publications
  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.

Memberships, Awards and

activities

The Japan Statistical Society, The Mathematical Society of Japan

The 20th Ogawa Award, The Japan Statistical Society (2006)

The 8th Research Achievement Award, The Japan Statistical Society (2014)

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-)