Publications
Preprints
- Quasi-likelihood-based EM algorithm for regime-switching
SDE (with Yuzhong Cheng) arXiv:2412.06305
- Gaussian quasi-likelihood analysis for non-Gaussian linear
mixed-effects model with system noise (with Takumi Imamura)
arXiv:2412.00796
- On estimation of heavy-tailed stable linear regression
(with Eitaro Kawamo) arXiv:2404.10448
- Student t-Lévy regression model in YUIMA (with
Lorenzo Mercuri and Yuma Uehara) arXiv:2403.12078
- Adaptive ridge approach to heteroscedastic regression
(with Ka Long Keith Ho) arXiv:2402.13642
Papers (peer-reviewed)
- Statistical inference for ergodic diffusion with Markovian
switching (with Yuzhong Cheng), accepted at Discrete and
Continuous Dynamical Systems Series B, arXiv:2410.11333
- Quasi-likelihood
analysis for Student-Lévy regression (with Lorenzo
Mercuri and Yuma Uehara)
Statistical Inference for
Stochastic Processes, 27 (October 2024), 761--794.
[https://doi.org/10.1007/s11203-024-09317-2] arXiv:2306.16790
- Estimation
of ergodic square-root diffusion under high-frequency
sampling. (with Yuzhong Cheng and Nicole Hufnagel)
Econometrics and
Statistics, 32 (2024, Oct), 73--87.
[https://doi.org/10.1016/j.ecosta.2022.05.003] arXiv:2103.15457
- On local
likelihood asymptotics for Gaussian mixed-effects model
with system noise (with Takumi Imamura and Hayato
Tajima)
Statistics and
Probability Letters, 208, 110074 (May 2024).
[https://doi.org/10.1016/j.spl.2024.110074]
- Gaussian
quasi-information criteria for ergodic Lévy driven SDE
(with Shoichi Eguchi)
Annals of the Institute
of Statistical Mathematics, 76 (Feb 2024) 111-157.
[https://link.springer.com/article/10.1007/s10463-023-00878-2]
arXiv:2203.04039
- Mixed-effects
location-scale model based on generalized hyperbolic
distribution. (with Yuki Fujinaga)
Japanese Journal of
Statistics and Data Science, 6 (2023, Nov), 669--704.
[https://link.springer.com/article/10.1007/s42081-023-00207-0]
arXiv:2209.14716
- Optimal
stable Ornstein-Uhlenbeck regression
Japanese Journal of
Statistics and Data Science, 6 (2023, Jun), 573--605.
[https://link.springer.com/article/10.1007/s42081-023-00197-z]
arXiv:2006.04630
- Noise inference for ergodic Lévy driven
SDE (with Lorenzo Mercuri and Yuma Uehara)
Electronic Journal of
Statistics, 16:(1) (2022, Apr), 2432--2474.
[https://doi.org/10.1214/22-EJS2006] arXiv:2111.02049
- Estimating diffusion with compound Poisson
jumps based on self-normalized residuals (with Uehara,
Y.)
Statistical Planning and
Inference, 215 (2021, Dec), 158--183. [doi:
10.1016/j.jspi.2021.02.008] arXiv:1802.03945
- Data driven time scale in Gaussian
quasi-likelihood inference (with Shoichi Eguchi)
Statistical Inference for
Stochastic Processes, 22:(3) (2019, Oct), 383--430.
[doi: 10.1007/s11203-019-09197-x] arXiv:1801.10378
- Bayesian inference for stable Lévy driven
stochastic differential equations with high-frequency data
(with Jasra, A and Kamatani, K.)
Scandinavian Journal of
Statistics, 46:(2) (2019, June), 545--574. [doi:
10.1111/sjos.12362] arXiv:1707.08788
- AIC for non-concave penalized likelihood
method. (with Ninomiya, Y., Yusuke Shimizu, and Umezu,
Y.) arXiv:1505.01922
Annals of the Institute
of Statistical Mathematics, 71:(2) (2019, Apr),
247--274. [https://doi.org/10.1007/s10463-018-0649-x]
- Non-Gaussian quasi-likelihood estimation
of SDE driven by locally stable Lévy process.
Stochastic Processes and
their Applications, 129:(3) (2019, Mar), 1013--1059.
[doi: 10.1016/j.spa.2018.04.004] arXiv:1608.06758
- Robust relative error estimation.
(with Kei Hirose)
Entropy, 20(9), 632
(2018, Aug). [doi:10.3390/e20090632]
- Efficient estimation of stable Lévy
process with symmetric jumps. (with Brouste, A.)
Statistical Inference for
Stochastic Processes, 21:(2) (2018, Jul), 289--307.
[doi: 10.1007/s11203-018-9181-0]
- Schwarz type model comparison for LAQ
models. (with Shoichi Eguchi)
Bernoulli, 24:(3)
(2018, Feb), 2278--2327. [doi: 10.3150/17-BEJ928] arXiv:1606.01627
- Moment convergence in regularized
estimation under multiple and mixed-rates asymptotics
(with Yusuke Shimizu)
Mathematical Methods of
Statistics, 26:(2) (2017, Apr), 81--110. [doi:
10.3103/S1066530717020016] arXiv:1406.6751
- On stepwise estimation of Lévy driven
stochastic differential equation (Japanese). (with
Uehara, Y.)
Proceedings of the
Institute of Statistical Mathematics 65:(1) (2017),
21--38.
- Two-step estimation of ergodic Lévy driven
SDE. (with Uehara, Y.)
Statistical Inference for
Stochastic Processes 20:(1) (2017, Apr), 105--137.
[doi: 10.1007/s11203-016-9133-5] arXiv:1505.01922
- Uniform LAN property of locally stable
Lévy process observed at high frequency. (with
Ivanenko, D. and Kulik, A. M.)
ALEA - Latin American
Journal of Probability and Mathematical Statistics 12
(2015), 835--862. arXiv:1411.1516
- Parametric estimation of Lévy processes. Lévy Matters IV, Estimation for Discretely
Observed Lévy Processes, pp.179--286.
Lecture Notes in
Mathematics, Vol. 2128 (2015), Springer. [doi:
10.1007/978-3-319-12373-8_3]
- Estimating ergodic process driven by
non-Gaussian noise.
Journal of the Japan
Statistical Society (Japanese Issue) 44 (2014), no.2,
471--495. [doi: 10.11329/jjssj.44.471]
- The YUIMA project: A computational
framework for simulation and inference of stochastic
differential equations. (with Brouste, A., Fukasawa,
M., Hino, H., Iacus, S, Kamatani, K., Koike, Y., Nomura, R.,
Ogihara, T., Shimizu, Y., Uchida, M., Yoshida, N.)
Journal of Statistical
Software 57 (2014), no.4, 1--51. [doi:
10.18637/jss.v057.i04]
- Edgeworth expansion for the integrated
Lévy driven Ornstein-Uhlenbeck process. (with Yoshida,
N.)
Electronic Communications
in Probability 18 (2013), no.94, 1--10. [doi:
10.1214/ECP.v18-2726]
- Convergence of
Gaussian quasi-likelihood random fields for ergodic Lévy
driven SDE observed at high frequency.
The Annals of Statistics
41 (2013), 1593--1641. [doi:10.1214/13-AOS1121]
- Asymptotics for functionals of
self-normalized residuals of discretely observed
stochastic processes.
Stochastic Processes and
their Applications 123 (2013), 2752--2778. [doi:
10.1016/j.spa.2013.03.013]
- Local asymptotic normality for normal
inverse Gaussian Lévy processes with high-frequency
sampling. (with Kawai, R.)
ESAIM: Probability and
Statistics 17 (2013), 13--32. [doi:
10.1051/ps/2011101]
- An optimal weight for realized variance
based on intermittent high-frequency data. (with
Morimoto, T.)
Japanese Economic Review
63 (2012), 497--527. [doi: 10.1111/j.1468-5876.2011.00552.x]
- Infinite variation tempered stable
Ornstein-Uhlenbeck processes with discrete observations.
(with Kawai, R.)
Communications in
Statistics - Simulation and Computation 41 (2012),
125--139. [doi: 10.1080/03610918.2011.582561]
- Exact simulation of finite variation
tempered stable Ornstein-Uhlenbeck processes. (with
Kawai, R)
Monte Carlo Methods and
Applications 17 (2011), 279--300. [doi:
10.1515/mcma.2011.012]
- Goodness of fit test for ergodic
diffusions by discrete time observations: an innovation
martingale approach. (with Negri, I. and Nishiyama,
Y.)
Journal of Nonparametric
Statistics 23 (2011), 237--254. [doi:
10.1080/10485252.2010.510186]
- On the local asymptotic behavior of the
likelihood function for Meixner Lévy processes under
high-frequency sampling. (with Kawai, R.)
Statistics and
Probability Letters 81 (2011), 460--469. [doi:
10.1016/j.spl.2010.12.011]
- On simulation of tempered stable random
variates. (with Kawai, R.)
Journal of Computational
and Applied Mathematics 235 (2011), 2873--2887. [doi:
10.1016/j.cam.2010.12.014]
- On statistical aspects in calibrating a
geometric skewed stable asset price model.
In Recent Advances in
Financial Engineering 2009: Proceedings of the KIER-TMU
International Workshop on Financial Engineering 2009,
World Scientific Pub Co Inc. (pp.181--202.), 2010.
- Approximate self-weighted LAD estimation
of discretely observed ergodic Ornstein-Uhlenbeck
processes.
Electronic Journal of
Statistics 4 (2010), 525--565. [doi:
10.1214/10-EJS565]
- Jarque-Bera normality test for the driving
Lévy process of a discretely observed univariate SDE.
(with Lee, S.)
Statistical Inference for
Stochastic Processes 13 (2010), 147--161. [doi:
10.1007/s11203-010-9043-x]
- Joint estimation of discretely observed
stable Lévy processes with symmetric Lévy density.
Journal of the Japan
Statistical Society 39 (2009), no.1, 49--75. [doi:
10.14490/jjss.39.49]
- Empirical analysis on jump detection in
high-frequency data. (with Morimoto, T.)
Journal of the Japan
Statistical Society (Japanese Issue) 39 (2009), no.1,
33--63.
- Estimation of second-characteristic matrix
based on realized multipower variations. (Japanese)
Proceedings of the
Institute of Statistical Mathematics 57 (2009),
17--38.
- Notes on estimating inverse-Gaussian and
gamma subordinators under high-frequency sampling.
Annals of the Institute
of Statistical Mathematics 61 (2009), 181--195. [doi:
10.1007/s10463-007-0131-7]
- On
stability of diffusions with compound-Poisson jumps.
Bulletin of Informatics
and Cybernetics 40 (2008), 61--74.
[https://doi.org/10.5109/18994]
- Ergodicity and exponential beta-mixing
bound for multidimensional diffusions with jumps.
Stochastic Processes and
their Applications 117 (2007), 35--56. [doi:
10.1016/j.spa.2006.04.010]
- Simple estimators for parametric Markovian
trend of ergodic processes based on sampled data.
Journal of the Japan
Statistical Society 35 (2005), no.2, 147--170.
[https://doi.org/10.14490/jjss.35.147]
- Asymptotic expansion for Barndorff-Nielsen
and Shephard's stochastic volatility model. (with
Yoshida, N.)
Stochastic Processes and
their Applications 115 (2005), 1167--1186. [doi:
10.1016/j.spa.2005.02.007]
- Classical method of moments for partially
and discretely observed ergodic models.
Statistical Inference for
Stochastic Processes 8 (2005), 25--50. [doi:
10.1023/B:SISP.0000049120.83388.89]
- An application of the double Edgeworth
expansion to a filtering model with Gaussian limit.
(with Yoshida, N.)
Statistics and
Probability Letters 70 (2004), 37--48. [doi:
10.1016/j.spl.2004.08.002]
- On multidimensional Ornstein-Uhlenbeck
processes driven by a general Lévy process.
Bernoulli 10 (2004),
1--24. [doi: 10.3150/bj/1077544605]
- Analytical properties of GIG and GH
distributions. (Japanese)
Proceedings of the
Institute of Statistical Mathematics 50 (2002),
165--199.
Other publications and unpublished manuscripts
- Preface, Special feature: statistics for
high-frequency data. Japanese Journal of
Statistics and Data Science (2021, Apr).
[https://doi.org/10.1007/s42081-021-00117-z]
- On model selection in locally stable regression.
Cooperative Research Report 446 (2021), 5--11.
- Stochastic differential equation and statistical model
assessment. (Japanese) RIMS Kokyuroku 2057 (2017), 81--89.
- Stochastic process models. A Mathematical
Approach to Research Problems of Science and Technology
Mathematics for Industry 5 (2014), 219--238. Springer
Japan. [doi: 10.1007/978-4-431-55060-0_17]
- Approximate quadratic estimating function
for discretely observed Lévy driven SDEs with application
to a noise normality test. RIMS Kokyuroku 1752 (2011),
113--131.
- Book review of "Asymptotic Statistics" [by van der Vaart,
A. W., Cambridge Series in Statistical and Probabilistic
Mathematics, 3. Cambridge University Press, Cambridge, 1998.
xvi+443 pp.] (in Japanese). Sugaku 57, No.4, 433-436, 2005.