Project Research Seminar on Statistical Science & Financial Engineering by Kiban(A)(15H02061), Research Institute for Science & Engineering, & 早稲田大学理工談話会))

new (2017/2/23)

Waseda International Symposium

Topic: Recent Developments in Time series Analysis: Quantile Regression, High Dimensional Data & Causality

Date: February 26 -28, 2018

Venue:Waseda University, Nishi-Waseda Campus, Building 63, 2nd Floor, Room 5
         (Access map:https://www.waseda.jp/top/en/access/nishiwaseda-campus)

Organizer:Masanobu TANIGUCHI (Research Institute for Science & Engineering, Waseda University)


Supported by:
(1) Kiban (A-15H02061) M. Taniguchi, Research Institute for Science & Engineering, Waseda University
(2) Tokutei-Kadai (B) M. Taniguchi, Research Institute for Science & Engineering, Waseda University



Date: August 1, 2017,    15:30 - 17:00


場所:早稲田大学理工 63号館 1階 数学応数会議室
 Location: Nishi-Waseda Campus, Building 63-1st Floor Meeting Room

題目: Is a matrix exponential specification suitable for the modeling of spatial correlation structures?  
講演者:  Maura Mezzetti,   (University of Rome "Tor Vergata",  Italy)

This paper investigates the adequacy of the matrix exponential spatial specification (MESS) as an alternative to the widely used spatial autoregressive model (SAR). We first analyze the partial and marginal covariance structures, finding similar behavior for the MESS and SAR models in particular cases. We then propose a new implementation of Bayesian parameter estimation for the MESS model with vague prior distributions, which is shown to be precise and computationally efficient, and whose predictive accuracy is comparable to that of the SAR model. Our further proposal of a model including spatial splines among the regressors increases the predictive accuracy of the matrix exponential specification with regard to the modeling of the covariance matrix.


Date: June 23, 2017,  15:30 - 17:00


場所:早稲田大学理工 63号館 1階 数学応数会議室
 Location: Nishi-Waseda Campus, Building 63-1st Floor Meeting Room

題目: Estimation of time varying covariance matrices  for large datasets

講演者:  Liudas Giraitis.   Queen Mary University of London ,  UK

Abstract.  This paper investigates the adequacy of the matrix exponential spatial specification (MESS) as an alternative to the widely used spatial autoregressive model (SAR). We first analyze the partial and marginal covariance structures, finding similar behavior for the MESS and SAR models in particular cases. We then propose a new implementation of Bayesian parameter estimation for the MESS model with vague prior distributions, which is shown to be precise and computationally efficient, and whose predictive accuracy is comparable to that of the SAR model. Our further proposal of a model including spatial splines among the regressors increases the predictive accuracy of the matrix exponential specification with regard to the modeling of the covariance matrix.

日時:11月30日(水) 16:00 - 17:30
場所:63号館1F 数学応数会議室

講演者:河合玲一郎(The University of Sydney)

Title: Computable Bounding Functions for Expectation, Boundary Value and Obstacle Problems

Abstract: The computation of expectations involving stochastic processes has long been one of the central issues, in one form or another, in various fields of natural and social sciences, such as the Fokker-Planck equation, financial derivatives pricing, the assessment of ruin probabilities of an insurance company, to name just a few.
In this talk, we propose novel methods for obtaining hard bounding functions, without recourse to sample path simulation, without truncating the naturally unbounded domain that arises in this problem, and without discretizing the time and state variables. Unlike accurate approximate solutions via the existing discretization-based methods, our hard bounding functions are free from statistical error and act as pointwise 100% confidence intervals within which the unknown solution is guaranteed to exist. The proposed approaches can be applied to a variety of problem settings, such as mixed boundary conditions, stochastic volatility, stochastic processes with jumps, regime-switching and obstacle problems. Numerical results are presented throughout to support our theoretical developments and to illustrate the effectiveness of the proposed approaches.

This talk consist of two parts; (i) optimization and (ii) perturbation.
We propose a novel method for obtaining and tightening hard bounding functions for the expected value on stochastic differential equations with the help of the mathematical programming and the Dynkin formula.
In a single implementation of semi-definite programming, the proposed approach obtains explicit bounds in the form of piecewise polynomial functions, which bound the expectation over the whole domain both in time and state. As a consequence, these global bounds store a continuum of bounding information in the form of a finite number of polynomial coefficients.
In this talk, we pay particular attention to the American style option pricing problem.
It is often the case that expectations are easy to compute for a simple model, while small perturbations make the computation of expectation suddenly prohibitive. We propose a novel method for measuring the impact of such small perturbations in expectations without significant computing effort. Our hard bounding functions are deterministic in the form of Markov-type inequalities, parametrized by the perturbation parameter, so that the upper and lower bounds converge to each other when the perturbation tends to vanish. The proposed method requires only well-developed numerical methods for boundary value problems for partial differential equations and elementary numerical integration of smooth functions.


(I) Waseda International Symposium

”High Dimensional Statistical Analysis for Time Spatial Processes, Quantile and Empirical Likelihood Analysis for Time Series”
Date: October 24 - 26, 2016
Venue: Waseda University Nishi-Waseda Campus Building 55S 2nd Floor, Room 3
(Access map: http://www.sci.waseda.ac.jp/en g/access/)
Organizer: Masanobu TANIGUCHI

プログラム:http://www.taniguchi.sci.wased a.ac.jp/WIS_ver3.pdf


(Research Seminar on Statistics and Financial Mathematics (supported by Kiban(A)))
日時: 9月2日(金) 13:30 - 17:00
Date: September 2 (Fri) 13:30 - 17:00

場所:早稲田大学理工63号館1階 数学応数会議室
Location: Nishi-Waseda Campus, Building 63-1st Floor Meeting Room

(I) 13:30 - 15:00

講演者(Speaker): Ilia Negri,
     Department of Management, Information and Production Engineering, University of Bergamo (Italy)

題目( Title ): Moment convergence of Z-estimators with applications

(II) 15:30 - 17:00

講演者(Speaker): 近重 裕次,
     情報通信研究機構・未来ICT研究所, フロンティア創造総合研究室

題目( Title ): 増殖細胞における遺伝子発現レベルの配分について


日時: 7月29日(金) 15:00-17:00
場所: 51号館 17階 06室
講演者: 明石 郁哉 ・ 劉 言 (早稲田大学応用数理学科)

(I) 15:00-16:00
 講演者:明石 郁哉(早稲田大学応用数理学科)
とする。特に、モデルの計画行列に対する 正則性の仮定と、誤差項の有限分散性の仮
定を緩和し、結果として 無限分散を持つ確率過程や、古典的な分散分析の手法を含む
 一般的な枠組みの構成を行う。具体的には、自己加重と分位点回帰の 手法を用いて
計画行列および誤差項の無限分散性をそれぞれ制御し、 経験尤度法を用いて尤度比
検定統計量を構成する。結果として、 無限分散を持つモデルを仮定しながらも統計量は
カイ二乗分布に収束し、 未知母数の推定を省略した検定を行うことが可能となる。さらに
数値例を用いて、 本講演の提案する統計量のパフォーマンスを、従来から用いられてきた
 random weighting bootstrap法に基づく検定統計量や 自己加重型Wald統計量と比較

 (II) 16:00-17:00
 講演題目:Statistical theory for quantiles in frequency domain
 講演者:劉 言(早稲田大学応用数理学科)
 Abstract:In this talk, we discuss estimation and hypothesis testing for quantiles
 in frequency domain of time series models. For second order stationary stochastic
 processes, the spectral distribution function is uniquely determined by
the autocovariance functions of the processes. We focus on the sinusoidal models,
 which are contained in the second order stationary processes. The sinusoidal
 components, which show the nonlinear feature, correspond to jumps in the spectral
 distribution function. We define the quantiles of the spectral distribution function and
 propose quantile estimator in frequency domain as it in time domain. Although the
 quantile estimator has consistency, it is not asymptotically normal, which is a peculiarity
 compared with the estimator in time domain. We propose a modified quantile estimator
 for asymptotic normality with tractability in hypothesis testing for sinusoid models.
 We conclude our talk with several numerical results.

 17:30- 懇親会(参加費無料)


(Research Seminar on Statistics and Financial Mathematics (supported by Kiban(A)))

第 7 回早稲田大学数学・応数談話会

日時: 5/26(木)16:30~17:30 (tea time: 16:00~16:30)
会場: 早稲田大学理工62W号館1階大会議室

講師: 柴田 里程
講演題目: データサイヤンスのすゝめ


日時: 4月25日(月) 15:30-17:00
場所: 55N号館 1階 第二会議室
題目: 「高次元の統計学(再び)」
講演者: 青嶋 誠(筑波大学数理物質系)


セミナーのお知ら せ
共催 早稲田理工講演会
日時:1月27日(水)14:40 - 16:10
Date: January 27 (Wed), 2016, 14:40 - 16:10

場所:早稲田大学理工63号館1階 数学応数会議室
Location: Nishi-Waseda Campus, Building 63-1st Floor Meeting Room

講演者(Speaker): Chunhao Cai (Nankai University)

題目(Topic): Mixed fractional Brownian motion and application in statistics

概要(Abstract): This talk presents a new approach to the analysis of mixed processes
 $Xt=B_t+G_t, t∈[0,T]$,
 where $B_t$ is a Brownian motion and $G_t$ is an independent centered
 Gaussian process. We obtain a new canonical innovation representation of X,
using linear filtering theory. When the kernel
 $\frac{\partial^2}{\partial^2K(s,t)}= \partial s \partial t E G_sG_t,$
 has a weak singularity on the diagonal, our results generalize the
 classical innovation formulas beyond the square integrable setting. For
 kernels with stronger singularity, our approach is applicable to
 processes with additional “fractional” structure, including the mixed
 fractional Brownian motion from mathematical finance. We show how
 previously known measure equivalence relations and semimartingale
 properties follow from our canonical representation in a unified way,
 and complement them with new formulas for Radon-Nikodym densities. For
 the application, we will use the asymptotic eigenvalues method to
 estimation the drift parameter in the mixed fractional O-U process.
 This work will be published from 'Annals of Probability' in the near

セミナーのお知ら せ
( Project Research Seminar on Financial and Pension Mathematics
(supported by Kiban(A)(15H02061), Research Institute for Science & Engineering, & 早稲田理工談話会) )

日時:2015年12月22日(火) 15:30-17:00
Date: December 22 (Tues), 2015, 15:30 ― 17:00

場所: 63号館 数学応数会議室
Location: Nishi-Waseda Campus, Building 63-1st Floor Meeting Room

講演者: 鈴木大慈(東京工業大学)
Speaker: Taiji Suzuki(Tokyo Institute of Technology)

Topic: Statistical properties of high dimensional low rank tensor estimators

Abstract: We investigate the statistical convergence rate of a Bayesian low-rank tensor estimator,
and derive the minimax optimalrate for learning a low-rank tensor. Our problem setting is the regression problem
where the regression coefficient forms a tensor structure. The convergence rate of the Bayes tensor estimator
is analyzed in terms of both in-sample and out-of-sample predictive accuracies. It is shown that
a fast learning rate is achieved without any strong convexity of the observation. Moreover, we show that
the method has adaptivity to the unknown rank of the true tensor. Finally, we show the minimax optimal learning rate
for the tensor estimation problem, and thus show that the derived bound of the Bayes estimator is tight
and actually near minimax optimal. If time permitted, we will also discuss the non-parametric estimation
of a tensor product of non-linear functions.

セミナーのお知ら せ

(Project Research Seminar on Financial and Pension Mathematics
  (supported by Kiban(A)(15H02061), Research Institute for Science & Engineering)


題目: "High Dim Statistical Analysis for Spatio-Temporal Processes & Quantile Analysis for Time Series"

Date: November 9 (Mon.) - 11 (Wed.), 2015

場所:早稲田大学西早稲田キャンパス55号館N棟 1階02A室
Location: Waseda University, Nishi-Waseda Campus, Building 55N 1st Floor Room 02A

プログラム&アブストラクト(Program & abstract):

セミナーのお知ら せ

(Project Research Seminar on Financial and Pension Mathematics
 (supportedby Kiban(A)(15H02061), Research Institute for Science & Engineering & 早稲田理工談話会)

日時:2015年8月31日(月)15:00 −17:30
Date: August 31 (Mon), 2015,  15:00 — 17:30

場所:早稲田大学理工63号館1階 数学応数会議室
Location: Nishi-Waseda Campus, Building 63-1st Floor Meeting Room

(1) 15:00 − 16:00

Speaker: Shu-Hui Yu, Institute of Statistics, National University of Kaohsiung
Topic I: Asymptotic inefficiency of BIC and asymptotic efficiency of TSIC: the case of an I(d) process

Abstract: We consider in this paper an I(d) autoregressive (AR) process, d>=0 is an unknown integer. While Sin and Yu (2015) show that Akaike's information criterion (AIC) is
asymptotically inefficient when the lag order is finite, this paper shows that when the lag order is infinite with (a) exponentially decaying AR coefficients, or (b) algebraically
decaying AR coefficients, Bayesian information criterion (BIC) is asymptotically inefficient. These results motivate us to combine the strengths of AIC and BIC, yielding a so-called
two-stage information criterion (TSIC) for a general I(d) AR process. We show that TSIC is asymptotically efficient in the aforementionedthree scenarios.
The paper concludes with a simulation study.

(2) 16:00 − 17:30

Speaker: Ching-Kang Ing, Institute of Statistical Science, Academia Sinica
II: Model Selection for High-Dimensional Time Series

Abstract: In the past decade, model selection for high-dimensional regression models is one of the most vibrant research topicsin statistics. However, most of the attention has been
devoted to situations where observations are independent, and hence time series data are precluded. Inthis talk, I shall address model selection problems for some high-dimensional
time series models, including high-dimensional stochastic regression models and high-dimensional regression models with correlated errors. I will present rates of convergence of
the orthogonal greedy algorithm (OGA) under various sparsity conditions. I will also show that when the high-dimensional information criterion (HDIC) of Ing and Lai (2011) is used in
conjunction with the OGA, the resultant predictor achieves the optimal error rate. Rates of convergence of the OGA are furtherestablished under model misspecification. Applications
of this latter result to model selection for high-dimensional interaction models will also be given.


日時: 2015年6月24日(水)15:30 -- 17:00
Date: June 24 (Wed), 2015 15:30 -- 17:00

場所: 早稲田大学理工63号館1階 数学応数会議室
Location: Nishi-Waseda Campus, Building 63-1st Floor Meeting Room

(1) 正規定常過程の自己共分散行列の縮小推定
        須藤 慶大(早稲田大学 基幹理工学研究科)

(2) Discriminant and cluster analysis of high-dimensional time series data by a class of disparities
        長幡 英明(早稲田大学基幹理工学研究科)*,
        劉  言(早稲田大学基幹理工学研究科),
        内山 弘隆(早稲田大学基幹理工学研究科),
        谷口 正信(早稲田大学 理工学研究所)

日時: 2015年5月27日(水)15:30 -- 17:00
Date: May 27 (Wed), 2015 15:30 -- 17:00

場所: 早稲田大学理工63号館1階 数学応数会議室
Location: Nishi-Waseda Campus, Building 63-1st Floor Meeting Room

講演者: 筑波大学数理物質科学研究科 矢田 和善

講演題目: 高次元データにおける分類問題について


日時:2015年4月29日(水) 15:30-17:00
Date: April 29 (Wed), 2015 15:30 - 17:00

場所:早稲田大学理工63号館1階 数学応数会議室
Location: Nishi-Waseda Campus, Building 63-1st Floor Meeting Room

共 催 早稲田理工学術院談話会

講 演題目   : 高次元中心極限定理に関する話題
講 演者     : 加藤 賢悟  東京大学大学院経済学研究科

ア ブストラクト:In this talk I will discuss central limit and bootstrap
theorems for probabilities that sums of centered high-dimensional
random vectors hit rectangles and sparsely convex sets. Specifically,
we derive Gaussian and bootstrap approximations for the probabilities
$\Pr(n^{-1/2}\sum_{i=1}^n X_i\in A)$ where $X_1,\dots,X_n$ are
independent random vectors in $\R^p$ and $A$ is a rectangle, or, more
generally, a sparsely convex set, and show that the approximation
error converges to zero even if $p=p_n\to \infty$ as $n \to \infty$
and $p \gg n$; in particular, $p$ can be as large as $O(e^{Cn^c})$ for
some constants $c,C>0$. The result holds uniformly over all
rectangles, or more generally, sparsely convex sets, and does not
require any restriction on the correlation structure among coordinates
of $X_i$.  Sparsely convex sets are sets that can be represented as
intersections of many convex sets whose indicator functions depend
only on a small subset of their arguments, with rectangles being a
special case. This talk is based on joint work with Victor
Chernozhukov (MIT) and Denis Chetverikov (UCLA).


Masanobu TANIGUCHI (Waseda Univ.), Kiyoshi INOUE (Waseda Univ.),
Yoichi MIYATA (Takasaki Econ Univ.) & Xiaoling DOU (Waseda Univ.)
Supported by Kiban (A) (23244011) (M. Taniguchi)

日時: 2015年3月2日 - 4日
早稲田 大学西早稲田キャンパス
(i) 3月2日、3日: 55号館S棟2階 第3会議室
(ii) 3月4日: 55号館N棟1階 第1会議室


March 2
13:30 - 13:40: Masanobu TANIGUCHI (Waseda Univ.)
Opening address

13:40 - 14:10: Fumiya AKASHI (Waseda Univ.)
Higher-order asymptotic properties of generalized empirical likelihood estimator for alpha-stable processes

14:10 - 14:40: Yoichi NISHIYAMA (Inst. Stat. Math. Tokyo)
A stochastic maximal inequality, monotone convergence arguments, and related topics

14:40 - 15:10: Satoshi KURIKI (Inst. Stat. Math. Tokyo), with Hsien-Kuei Hwang
A generalization of Anderson-Darling goodness-of-fit statistic based on multifold integrated empirical distribution functions       

15:10 - 15:30: Coffee break

15:30 - 16:10: Stanislav VOLGUSHEV (Ruhr-Univ. Bochum), with Holger Dette, Marc Hallin and Tobias Kley
Quantile spectral analysis

16:10 - 16:50: Qi-Man SHAO (The Chinese Univ. Hong Kong)
Perspective of self-normalized limit theory

16:50 - 17:30: Marco LIPPI (Einaudi Inst. Economics & Finance), with Mario Forni, Alessandro Giovannelli and Stefano Soccorsi
Dynamic factor models with infinite dimensional factor space. Forecasting US monthly macroeconomic series.

March 3
10:00 - 10:30: Yan LIU (Waseda Univ.)
Empirical likelihood methods for quantile regression with long range dependent errors

10:30 - 11:00: Xiaoling DOU (Waseda Univ.), with Satoshi Kuriki, Gwodong Lin and Donald Richards
Baker's distribution and the B-spline copula

11:00 - 11:20: Coffee Break

11:20 - 11:50: Toshio HONDA (Hitotsubashi Univ.), with Ming-Yen Cheng and Jialiang Li
Efficient estimation in semivarying coefficient models for longitudinal/clustered data

11:50 - 13:30: Lunch

13:30 - 14:00: Shu-Hui YU (National University of Kaohsiung)
Toward optimal averaging in regression models with time series errors

14:00 - 14:40: Xiaofeng SHAO (Univ. Illinois)
Martingale difference correlation and high dimensional feature screening

14:40 - 15:20: Ching-Kang ING (Inst. Stat. Science, Academia Sinica)
Group and variable selection in high-dimensional regressions

15:20 - 15:40: Coffee Break

15:40 - 16:20: Holger DETTE (Ruhr-Univ. Bochum)
Detection of multiple structural breaks in multivariate time series

16:20 - 17:00: Marc HALLIN (ECARES, Université libre de Bruxelles)
Generalized dynamic factor models and volatilities

18:00 -:          Buffet-style party (Cafeteria; Basya-Michi)

March 4
10:00 - 10:30: Yoichi MIYATA (Takasaki city Univ. of Econ.)
The validity of Bayesian information criteria in misspecified models

10:30 - 11:00: Tomoyuki AMANO (Wakayama Univ.), with Masanobu Taniguchi (Waseda Univ.)
Control variate method for time series

11:00 - 11:30: Hiroaki OGATA (Tokyo Metropolitan Univ.)
Stationary circular time series

11:30 - 12:00: Kiyoshi INOUE (Waseda Univ.)
Precision of estimators for common parameters from several populations

12:00 - 13:30: Lunch

13:30 - 14:00: Kenta KOIZUMI and Hiroshi SHIRAISHI (Keio Univ.)
Statistical estimation for optimal dividend barrier

14:00 - 14:30: Kenichiro TAMAKI (Waseda Univ.)
One-step time series model-building by empirical likelihood

14:30 - 15:00: Shunsuke Sakai and *Junichi Hirukawa (Niigata Univ.)
Rank tests for an ARMA model against other tv-ARMA models

15:00 - 15:20: Coffee Break

15:20 - 15:50: Yasutaka SHIMIZU (Waseda Univ.)
LSE-type estimation for stochastic processes with small Levy noise

15:50 - 16:20: Ryozo MIURA (Hitotsubashi Univ.)
Asymptotic theory of R-estimators from iid to weakly dependent observations: the case of one sample models and simple linear regression models with generalized Lehmann’s alternative models

16:20 - 17:00: Herbert HEYER (Univ. Tuebingen)
Information functionals and applications to random walks and statistics

17:00 - 17:10: Takeru SUZUKI (Waseda Univ.)
Closing address

18:00 -:          Party (Further details will be announced later)

日時:2015年1月28日(水) 15:30ー17:00

Title: Robustness in the context of ordinal response models.
Speaker: Anna Clara Monti,   University of Sannio,  Italy

日時:2014年12月22日(月) 13:00-17:30
場所:早稲田大学理工63号館1階 数学応数会議室

共 催 早稲田理工学術院談話会

(1) 13:00 - 14:30
講 演者:Runhuan Feng (University of Illinois at Urbana-Champaign, USA)
講 演題目:Quantitative Risk Management of Variable Annuities Guaranteed Benefits:
          Opportunities and Challenges

(2) 14:30 - 16:00
講 演者:Jose Garrido (Concordia University, Canada)
講 演題目:On the finite-time Gerber-Shiu function and its use as a risk measure

(3) 16:00 - 17:30
講 演者: 謝 衷潔(XIE, Zhongjie)  (北京大学)
講 演題目: Some Interesting Problems in Statistical Testing of Random Sequences

18:00-   ビュッフェ形式懇親会 於 馬車道

上記、 (1),(2) の講演に関する問い合わせは、 清水泰隆 <shimizu@waseda.jp> まで、

(3) の講演に関する問い合わせは、鈴木武 <tasuzuki@waseda.jp> まで

日時:2014年11月25日(火) 16:00-17:00
場所:早稲田大学理工63号館1階 数学応数会議室

Title: Recent developments in estimation for CO-GARCH(1,1) models
Speaker: Ilia Negri  (Univ. Bergamo, Italy)

COGARCH models are continuous time version of the well known GARCH models of financial returns.
It turns out that COGARCH(1,1) captures the so called stylized facts of volatility:
is random and has jumps; has heavy-tailed margins; has cluster in the extremes (volatility clustering).
In this talk Method of Moments and Pseudo Maximum Likelihood estimators are presented for such COGARCH(1,1) models
and it is shown how the method of Prediction-Based Estimating Functions, that can be applied to this model
if the higher order structure of the process is clarified, outperforms the other available estimation methods.

日時:2014年10月22日(水) 14:00-17:00

  (i) 14:00 - 15:30
  Abnormal volume effects on the CAPM with heteroskedasticity:
  A quantile regression approach
  Cathy W.S. Chen  (Feng Chia University, Taiwan)

  (ii) 15:30 - 17:00
  LASSO estimation of threshold autoregressive models
  Ngai Hang Chan (Chinese University of Hong Kong, Hong Kong)

  17:30 -  馬車道で立食式懇親会


Date: July 23 (Wed), 2014 15:45−17:30

場所:早稲田大学理工63号館1階 数学応数会議室
Location: Nishi-Waseda Campus, Building 63-1st Floor Meeting Room

(1) 15:45−16:30

Spectral envelope analyses for sequence data

Solvang Hiroko Kato, Institute of Marine Research, Norway

(2) 16:30−17:30

Distribution of the sum-of-digits function of random integers: a survey

Hsien-Kuei Hwang, Institute of Statistical Science, A cademia Sinica, Taiwan,
( Cowork with Louis H. Y. Chen and Vytas Zacharovas).

なお、講演終了後、18:00より馬車道でビュッフェ形式の小宴を予定していますの で、ご参加ください。


Date: June 25 (Wed), 2014 15:00 — 17:00

場所:早稲田大学理工63号館1階 数学応数会議室
Location: Nishi-Waseda Campus, Building 63-1st Floor Meeting Room

(1) 15:00−16:00


早稲田大学商学研究科 大塚忠義

(2) 16:00−17:00

The Holistic Balance Sheet Approach and Evaluation of Employer
Covenant for Occupational Pensions in Europe

厚生省年金局 清水 信広

なお、講演終了後、17:30より馬車道でビュッフェ形式の小宴を予定していますの で、ご参加ください。

Date: May 28 (Wed), 2014 15:00 — 17:00

場所:早稲田大学理工63号館1階 数学応数会議室
Location: Nishi-Waseda Campus, Building 63-1st Floor Meeting Room

(1) 15:00−15:50

早稲田大学理工学術院 柴田 里程

(2) 16:00−16:30

Asymptotic Theory of Parameter Estimation by a Function Based on Interpolation Error    

早稲田大学理工学研究科 *須籐 慶大
早稲田大学理工学研究科  劉 言
早稲田大学理工学術院   谷口 正信



東京理科大学工学部 塩濱敬之

なお、講演終了後、17:30よりビュッフェ形式の小宴を予定していますので、ご参 加ください。


場所:  早稲田大学理工63号館1階 数学応数会議室
Location: Nishi-Waseda Campus, Building 63-1st Floor Meeting Room

(1) 15:00−15:30

    早稲田大学国際教育センター  Dou Xiaoling

(2) 15:30−16:10
   Default risk analysis with ruin theory

    早稲田大学理工学術院  清水泰隆

(3) 16:20−17:00

    年金積立金管理運用独立行政法人(GPIF) 山下 隆 

なお、講演終了後、17: 30よりビュッフェ形式の小宴を予定していますので、ご参加ください。


Waseda International Symposium on “Stable Process, Semimartingale, Finance & Pension Mathematics”
2014年3月3日ー5日 (March 3ー5, 2014)
場所: 早稲田大学理工55号館S棟2階 Meeting Room 3
Location: Nishi-Waseda Campus, Building 55S-2th Floor Meeting Room 3

Organizers: Masanobu Taniguchi (Waseda Univ.), Dou Xiaoling (ISM) and Kenta Hamada (Waseda Univ.)
Waseda University, (map http://www.sci.waseda.ac.jp/eng/access/)

Supported by Kiban (A) (23244011) (M.Taniguchi)
& Government Pension Investment Fund (GPIF), Japan

Program (* speaker )

March 3, 2014

13:00 - 14:40 : Chaired by X. Dou
    13:00 - 13:30
    (1) Generalized Periodogram and Its Statistical Inference for Time Series
    Yan Liu (Waseda Univ.)
    13:30 - 14:10
    (2) Dimension reduction for locally stationary time series factor models
    Junichi Hirukawa (Niigata Univ.)
    14:10 - 14:50
    (3) Estimation of autocopula with estimating function approach
    Hiroaki Ogata (Waseda Univ.)

Coffee Break

15:10 - 17:20 : Chaired by J. Hirukawa
    15:10 - 15:50
    (4) Semiparametric statistics with infinite-dimensional martingales: Bridges between a stochastic maximal inequality and Cox’s         regression model
    Yoichi Nishiyama (Inst. Statist. Math., Tokyo)
    15:50 - 16:30
    (5) Parameter change problem for diffusion processes
    Ilia Negri (Univ. Bergamo)
    16:30 - 17:20
    (6) Inference for change point problems for fractional diffusion processes
    B.L.S. Prakasa Rao (Univ. Hyderabad Campus)

March 4, 2014
9:30 - 10:50 : Chaired by T. Mikosch
    9:30 - 10:10
    (7) Empirical likelihood ratio for symmetric alpha-stable processes
    Fumiya Akashi*, Yan Liu and Masanobu Taniguchi (Waseda Univ.)
    10:10 - 10:50
    (8) EM algorithms for estimating the Bernstein copula
    Xiaoling Dou* (Inst. Stat. Math.), Satoshi Kuriki, Gwo Dong Lin and Donald Richards

Coffee Break

11:00 - 12:30 : Chaired by I. Negri

    11:00 - 11:40
    (9) LAD-based estimation of locally stable Ornstein-Uhlenbeck processes
    H. Masuda (Kyushu Univ.)
    11:40 - 12:30
    (10) Nonparametric independence screening and structural identification for ultra-high dimen- sional longitudinal data
    Ming-Yen Cheng, Toshio Honda* (Hitotsubashi Univ.), Jialiang Li and Heng Peng


13:40 - 15:20 : Chaired by C. Kluppelberg
    13:40 - 14:30
    (11) Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck     process
    Katsuto Tanaka (Gakusyuin Univ.)
    14:30 - 15:20
    (12) Extremogram and Ex-Periodogram for heavy-tailed time series
    Thomas Mikosch* (Univ. Copenhagen), Richard A. Davis (Columbia Univ.) and Yuwei Zhao

Coffee Break

15:40 - 17:20 : Chaired by M.Taniguchi

    15:40 - 16:30
    (13) Continuous-time GARCH models Claudia Kluppelberg (Munich Univ. Technology)
    16:30 - 17:20
    (14) Asymptotic Theory for the Sample Covariance Matrix of a Heavy-Tailed Multivariate Time Series
    Richard A. Davis (Columbia Univ.)

Buffet Style Dinner
    18:30 - Basyamichi (63 building 1st floor)

March 5, 2014
10:00 - 12:10 : Chaired by R. Davis
    10:00 - 10:40
    (15) Asymptotics of Realized Volatility with Non-Gaussian ARCH(∞) Microstructure Noise
    Hiroyuki TANIAI*, T. Usami, N. Suto and M. Taniguchi (Waseda Univ.)
    10:40 - 11:20
    (16) Review of Statistical Portfolio Theory
    Hiroshi Shiraishi (Jikei Medical Univ.)
    11:20 - 12: 10
    (17) Bayesian estimation of smoothly mixing time-varying parameter GARCH models
    Cathy W. S. Chen* (Feng Chia Univ), Richard Gerlach and Edward M. H. Lin


High Dimensional Statistical Analysis and Related Topics
2014年1月6日ー7日 (January 6-7, 2014)
場所: 早稲田大学理工63号館1階 数学応数会議室
Location: Waseda University  Building 63-1 Meeting Room

(Supported by (A) 23244011( M.Taniguchi, Waseda Univ. )
理工研プロジェクト研究共催 ( Supported by GPIF )


January 6, 2014

13:30 - 14:15 : Discussion on “ High Dimensional Statistical Analysis “
       Chaired by Masanobu Taniguchi ( Waseda Univ. )

14:15 - 15:00
  Efficient influence function of coefficient functions in quantile regression
   By Hiroyuki Taniai ( Waseda Univ. )

15:00 - 15:30   Coffee Break

15:30 - 16:15
 Locally stationary time series factor models
   By Junichi Hirukawa ( Niigata Univ. )

16:15 -17:00
   Generalized Least Squares Model Averaging,
    Qingfeng Liu ( Otaru University of Commerce ) , Ryo Okui ( Kyoto Univ. )
      and Arihiro Yoshimura ( Kyoto Univ. )

17:30 -
  Buffet Style Dinner

January 7, 2014

10:30 - 11:00
 Robust spectral estimation in time series analysis
   By Yan Liu ( Waseda Univ. )

11:00- 11:30
Nonparametric LAN approach for frequency domain GMM-type hypothesis
  By Fumiya Akashi ( Waseda Univ. )

11:30 - 12:15 : General Discussion

12:15 - 13:45 : Lunch

13:45 - 14:45
Testing second order dynamics for autoregressive processes in presence of time-varying variance.
    By Hamdi Raissi  ( Univ. Europeenne de Bretagne, France )

14:45 - 15:00: Coffee Break

15:00- 16:00
Nonparametric estimation of probability density functions for irregularly observed spatial data
   By Zudi Lu  ( University of Southampton, U.K. )

16:00- 17:00
The dynamic structure of high-dimensional factor models
  By Marco Lippi  ( Universit a di Roma "La Sapienza" and EIEF )

日時: 2013年10月1日(火) 15:00−17:00
          (Oct. 1st, 3:00pm to 5:00pm)
場所: 早稲田大学理工63号館1階 数学応数会議室
(Location: Waseda University, Nishi-Waseda Campus, Room 63-1-Meeting Room)

講演(1): 15:00--16:00
     ( Portfolio Estimation for Continuous Time Models)
            白石 博 
            慈恵医科大学( Shiraishi, H., Jikei Medical Univ.)

講演(2): 16:00--17:00
            Optimal prediction-based estimating function for COGARCH(1,1) models
            Ilia Negri
            Department of Engineering、University of Bergamo (Italy)

(3) Small Buffet Party:  17:30 - 19:30


2013 年9月3日(September 3,2013)(火) 16:00−17:00
場所: 早稲田大学理工63号館1階 数学応数会議室

(1)  16:00-17:00

講 演題目 : "Likelihood Adaptive Modified Penalties"

講 演者 : Yang Feng, Columbia University, USA.


2013年7月30日 (July 30, 2013)(火)15:30−16:30
場所: 早稲田大学理工63号館1階 数学応数会議室


講演者 : Institute of Statistical Science, Academia Sinica,
       Hsien-Kuei Hwang

2013年7月31日 (July 31, 2013)(水)15:00−17:00
場所: 早稲田大学理工63号館1階 数学応数会議室

(1) 15:00−16:00
  Consideration on a serial correlation
         早稲田大学 小方 浩明 ( Ogata, H., Waseda Univ.)

   Performance of time-varying volatility estimation methods for portfolio management
    GPIF 山下 隆 ( Yamashita, T., GPIF)

2013年6月18日 (June 18, 2013)(火)15:30−17:00
場所: 早稲田大学理工55号館S棟 第3会議室


講演者: 矢田和善   筑波大学数理物質系


2013年5月21日(May 21, 2013)(火)14:30−17:00
場所: 早稲田大学理工63号館数学・応数会議室( 63-1-Meeting Room )

(1) 14:30−15:15
      Empirical likelihood approach for discriminant analysis
      of stable linear processes
             早稲田大学理工学研究科  明石 郁哉
                                      (Fumiya Akashi, Waseda Univ.)

(2) 15:15−16:00
      Asymptotic moments of symmetric self-normalized sums
      早稲田大学理工学研究科  劉 言
                                      (Yan Liu, Waseda Univ.)

(3) 16:00−17:00
      Efficient inference for regression quantiles via Z-estimation
      早稲田大学国際教養学部  谷合 弘行
                                      (Hiroyuki Taniai, Waseda Univ.)

2013年4月23日(April 23, 2013)(火)15:00−17:00
場所: 早稲田大学理工63号館数学・応数会議室( 63-1-Meeting Room )

(1) 15:00−16:00
   Non-regular estimation for time series
        早稲田大学 谷口 正信

(2) 16:00−17:00
        統計数理研究所  Dou Xiaoling

2013年3月28日(March 28, 2013)(木)14:00−17:00
場所: 早稲田大学理工63号館数学・応数会議室( 63-1-Meeting Room )

(1) 14:00 - 15:30
  CUB models: properties, applications and robustness issues.
    Anna Clara Monti ( University of Sannio, Italy).

(2) 15:30 - 17:00
   Adjusted profile empirical likelihood.
    Thomas J. DiCiccio ( Cornell University, USA ).

2013年1月29日(Jan. 29, 2013)(火)15:00−17:00
場所: 早稲田大学理工63号館数学・応数会議室( 63-1-Meeting Room )


(1)  15:00−16:00
     Alex Petkovic ( Waseda University )

Title : On the local likelihood estimator

(2)  16:00−17:00
   広島大学 柳原宏和 ( Yanagihara, H. Hiroshima Univ.)

Title : Theoretical and numerical considerations of properties of the variable selection in normal multivariate linear regression models by an information criterion minimization method

2012年11月28日(Nov. 28, 2012)(水,Wed)15:00−17:00
場所: 早稲田大学理工63号館数学・応数会議室( 63-1-Meeting Room )


(1) 15:00−16:00 :

 Recent developments of insurance ruin theory: Gerber-Shiu Analysis
  大阪大学 清水 泰隆 ( Shimizu, Y., Osaka Univ.)

(2) 16:00−17:00 :

 Quantile regression estimator for GARCH models
 Sangyeol Lee, (Seoul National University)

2012年10月30日(Oct. 30, 2012)(火)15:00−17:00
場所: 早稲田大学理工63号館数学・応数会議室( 63-1-Meeting Room )


(1) 15:00−16:00 :

 Analysis of CL and estimating function estimators for financial time series models
  和歌山大学 天野 友之 ( Amano, T., Wakayama Univ.)

(2)16:00−17:00 :

 An estimation techniqe for Jamp-diffusion process using MLE based jump detection scheme
 GPIF 山下 隆 ( Yamashita, T., Government Pension Investment Fund)

2012年9月25日(September 25, 2012)(火)14:00−17:00
場所: 早稲田大学理工63号館数学・応数会議室( 63-1-Meeting Room )


(1) 14:00−15:00 :

 Grapgical Representation of Multiple Regression Analysis.
 早稲田大学 石村 友二郎 ( Ishimura, Y., Waseda Univ.)

(2)15:00−16:00 :

 いろいろなポートフォリオ推定理論について。    ( Various Estimation Theory for Portfolios)
 慈恵医科大学 白石 博 ( Shiraishi, H., Jikei Medical Univ.)

(1) 16:00−17:00 :

 周辺尤度に対するラプラス近似の漸近誤差とその周辺。    ( Asymptotic Error Evaluation of Laplace Approximation for Marginal Likelihood and Its Related Fields )
 高崎経済大学 宮田 庸一( Miyata, Y., Takasaki City Univ. Economicsi)

日時:2012年4月24日(April 24, 2012)(火)15:00−17:00
場所: 早稲田大学理工63号館数学・応数会議室( 63-1-Meeting Room )


(1) 15:00−16:00 :

 Theory & Applications for Statistical Science.
 早稲田大学 谷口 正信 ( Taniguchi, M., Waseda Univ.)

(2)16:00−17:00 :

 最近の欧州公的年金ポートフォリオ策定手法の紹介 ( Introduction to Recent Methods for European Government Pension Portfolios) 
 GPIF 山下 隆 ( Yamashita, T., Government Pension Investment Fund)

日時:2012年1月24 日 (January 24, 2012)(火)13:00−17:00
場所:早稲田大学理工63 号館1階 数学・応数会議室 (63-1-Meeting Room Dept. Math & Appl. Math.)


(2)13 : 00−14 : 00 :

 Various Problems in Financial Time Series Analysis
 早稲田大学 長幡 英明  ( Nagahata, H., Waseda Univ.)
 早稲田大学 宇佐美 友梨 ( Usami, U., Waseda Univ.)
 早稲田大学 鈴木 卓哉  ( Suzuki, T., Waseda Univ.)
 早稲田大学 横山 明日希 ( Yokoyama, A.,Waseda Univ.)
 早稲田大学 谷口 正信 ( Taniguchi, M., Waseda Univ.)

(2)14 : 00−15 : 00 :

 The Detection of Stress Using the Voice Analysis
 早稲田大学 石村 友次郎 ( Ishimura, T., Waseda Univ.)

(3) 15:00−16:00 :

 Productivity of Service Providers: Microeconometric measurement in the case of hair salons
 経済産業研究所 小西 葉子 ( Konishi, Y., RIETI)

(3) 16:00−17:00 :

 “Soft” Benefit Promises of Occupational Pensions and Intergenerational Fairness
 農業者年金基金 清水 信広 ( Shimizu, N., NFPF )

日時:2011年12月6日(December 6, 2011)(火) 13 : 30−16 : 30
場所:早稲田大学理工63号館1階 数学・応数会議室  (63-1-Meeting Room Dept. Math & Appl. Math.)


(2)13 : 00−14 : 00 :

 Statistical properties for long-horizon investors's portfolio linking with macroeconomic indices performance
 Takashi Yamashita ( Government Pension Investment Fund (GPIF) )

(2)14 : 00−15 : 30 :

 A simple model for vast panels of volatilities
 David Veredas (Univ. Libre de Bruxelles)

(3) 15:30−17:00 :

 Pseudo-Gaussian and Rank-Based Optimal Tests for Random Individual Effects in Large n Small T Panels
 Marc Hallin (Univ. Libre de Bruxelles)

日時:2011年10月25日(October 25, 2011)(火)15:00−17:00
場所:早稲田大学理工 55S 号館406A( Room 55S-406A)


(1) 15:00−16:00 :

 Modeling financial data with multivariate stable distributions.
 早稲田大学 小方 浩明 ( Ogata, H., Waseda Univ.)br>

(2)16:00−17:00 :

 年金制度の自動安定化メカニズムと世代間の公正(Automatic Stabilization Mechanism and Intergenerational Equity in Pension System)
 農業者年金基金 清水信広( Shimizu, N., National Farmers Pension Fund)

日時:2011年 9月27日 (Sep 27, 2011)(火) 13 : 30−16 : 30
場所:早稲田大学理工63号館1階 数学・応数会議室 (63-1-Meeting Room Dept. Math & Appl. Math.)

講演内容 (Program)

(2)13 : 30−14 : 30 :

 Asymptotic Efficiency in Dynamic Panel Data Models When Both N and T are Large
 京都大学経済研究所 岩倉 相雄 ( Iwakura, H., Kyoto Univ.)

(2)14 : 30−15 : 30 :

 クレーム総額の時系列モデルについて(Time Series Models for Total Claim Amount)
 新潟大学自然科学系 蛭川 潤一( Hirukawa, J. Niigata Univ.)

(3) 15:30−16:30

 臨床研究で使われる統計解析手法の紹介 (Introduction of statistical methods for clinical reserch)
 第一三共株式会社研究開発本部・データサイエンス部・統計解析グループ:塩境 一仁( Shiosakai, K., Daiichi-Sankyo Pharmaceutical Company)

日時:2011年7月26 日(July 26, 2011)(火) 15:00−16:50
場所:早稲田大学理工  55S 号館406A( Room 55S-406A)


(1) 15:00−15:50 :

 GPIF基本ポートフォリオの策定方法 (Formulation Method for GPIF fundamental portfolios)
 山下 隆 (T. Yamashita) ( GPIF )

(2)16:00−16: 50 :

 Linear regression with deterministic regressors and unit root in the variance
 Alex Petkovic (Waseda University)

日時:2011年6月21日(June 21, 2011)(火) 15:00−17:00
場所:早稲田大学理工 55S 号館406A( Room 55S-406A)


(1) 15:00−16:00 :

 Semiparametric estimation for diffusion processes: pseudo-likelihood method and Bays method
 統計数理研究所 西山 陽一 ( Nishiyama, Y., Inst. Statist. Math.)

(2)16:10−17:00 :

 掛金の経済価値を制御する方法(Economic Values of Contribution Cashflows and Measures to Bring the EVs under Control)
 農業者年金基金 清水 信広 ( Shimizu, N., National Farmer Pension Fund)

日時:2011年5月24日(May 24, 2011)(火) 15:00−17:00
場所:早稲田大学理工 55S 号館406A( Room 55S-406A)


(1) 15:00−15:40 :

 Statistical Portfolio Estimation Under the Utility Function Depending on Exogenous Variables and Its Applications
 早稲田大学 濱田 健太 ( Hamada, K. (D1), Waseda Univ.)

(2)16:00−16:40 :

 運用関係指標(資産運用収益率、賃金上昇率など)の統計的性質( Statistical Properties of Indices on Working Assets )
 GPIF 山下 隆 ( Yamashita, T., Government Pension Investment Fund)

日時:2011年4月26日(April 26, 2011)(火)13:30−17:00
場所:早稲田大学理工 55S 号館406A( Room 55S-406A)


(1) 13:30−14:15 :

 Statistical Estimation of Optimal Portfolios for Dependent Returns.
 早稲田大学 谷口 正信 ( Taniguchi, M., Waseda Univ.)

(2)14:15−15:00 :

 Bootstrap Estimation of Optimal Portfolios
 慈恵医科大学 白石 博 ( Shiraishi, H., Jikei Medical Univ.)

(2)15:30−16:00 :

 最近の公的年金投資の諸問題( Recent Problems for Government Pension Investment)
 GPIF 山下 隆 ( Yamashita, T., Government Pension Investment Fund)