wuts

Waseda University Time Series Discussion Paper

WUTS1; Kato, H., Taniguchi, M., Honda, M. (2006). Multiplicatively Modulated Nonlinear Autoregressive Model and Its Applications to Biomedical Signal Analysis. IEEE Trans. Signal Processing. Vol.54-9, 3414-3425.

WUTS2; Hirukawa, J., Taniguchi, M. (2006). LAN Theorem for Non-Gaussian Locally Stationary Processes and Its Applications. Journal of Statistical Planning and Inference, 136, No.3, 640-688.

WUTS3; Hirukawa, J. (2006, March). ESTIMATION FOR HIDDEN PERIODIC COMPONENTS IN TWO DIMENSIONALLY INDEXED RANDOM FIELDS USING WAVELETS.

WUTS4; Hirukawa, J. (2004). Discriminant Analysis for Multivariate Non-Gaussian Locally Stationary Processes. Scientiae Mathematicae Japonicae, 60, No.2, 357-380, :e10, 235-258.

WUTS5; Shiraishi, H. (2005). Statistical Estimation of Optimal Portfolios for Gaussian Dependent Returns of Assets. Scientiae Mathematicae Japonicae, 62, No 3, 439-449.

WUTS6; Taniai, H., Taniguchi, M. (2008). Statistical Estimation Problems for VaR under ARCH Returns. J. Statist. Plan. Inf. (Ogawa Volume), 138, 3568-3577.

WUTS7; Taniguchi, M, Hirukawa, J. (2005). The Stein-James Estimator for Short- and Long-Memory Gaussian Processes. Biometrika, 92, No.3, 737-746.

WUTS8; Tamaki, K. (2004. May). Second Order Asymptotic Properties of a Class of Test Statistics under the Existence of Nuisance Parameters. Scientiae Mathematicae Japonicae, 61, No 1, 119-143, :e2004, 65-89.

WUTS9; Kato, H., Taniguchi, M., Nakatani, T., Amano, S. (2008). Discrimination and clustering of fundamental frequency patterns of infant and parent speech based on time series regression models. Statistical Methodology, 5, 187-208.

WUTS10; Lee, S., Taniguchi, M., (2005). Asymptotic Theory for ARCH-SM Models: LAN and Residual Empirical Processes. Statistica Sinica, 15, No. 1, 215-234.

WUTS11; Tamaki, K., Taniguchi, M. (2004. September). Higher Order Asymptotic Option Valuation for Non-Gaussian Dependent Returns. J. Statist. Plan. Inf. (for the Special Issue in honor of Professor Madan L. Puri), 137, 1043-1058.

WUTS12; Hirukawa, J. (2006). Cluster Analysis for non-Gaussian Locally Stationary Processes. International Journal of Theoretical and Applied Finance, 9, No.1, 113-132.

WUTS13; Senda, M., Taniguchi, M. (2006). James-Stein Estimators for Time Series Regression Models. J. Multivariate Anal. (Fujikoshi Volume), 97, 1984-1996.

WUTS14; Hirukawa, J. (2005. April). Time series regression models with locally stationary disturbance.

WUTS15; Shiraishi, H., Taniguchi, M. (2008). Statistical Estimation of Optimal Portfolios for non-Gaussian Dependent Returns of Assets. Journal of Forecasting, 27, 193-215.

WUTS16; Tamaki, K. (2005. May). Second order optimality for estimators in time series regression models. J. Multivariate Anal., 98, 638-659.

WUTS17; Taniguchi, M., Shiraishi, H., Ogata H. (2007). Improved Estimation for the Autocovariances of a Gaussian Stationary Process. Statistics, 41-4, 269-277.

WUTS18; Ogata H. (2005. August). Empirical Likelihood Approach for Non Gaussian Stationary Processes. Scientiae Mathematicae Japonicae, 62, No 3, 429-438, :e2005, 465-474.

WUTS19; Taniguchi, M. (2005). Discriminant analysis for time series. J. Japan Statist. Soc. (Japanese Issue). Vol. 35, 71-79 (in Japanese).

WUTS20; Amano, T., Taniguchi, M. (2008). Asymptotic efficiency of conditional least squares estimators for ARCH models. Statistics & Probability Letters, 78, No 2, 179-185.

WUTS21; Tamaki, K. (2009). Second order properties of locally stationary processes. J. Time Ser. Anal., 30-1, 145-166.

WUTS22; Shiraishi, H., Taniguchi, M. (2007). Statistical Estimation of Optimal Portfolios for Locally Stationary Returns of Assets. International Journal of Theoretical and Applied Finance, 10, 129-154.

WUTS23; Ogata, H., Taniguchi, M. (2010). Empirical Likelihood Approach for Non-Gaussian Vector Stationary Processes and Its Application to Minimum ContrastEstimation. To appear in Austral. New Zeal. J. Statist.

WUTS24; Naito, T., Asai, K., Amano, T., Taniguchi, M. (2006. March). Local Whittle LIkelihood Estimators and Tests for non-Gaussian Linear Processes. Statistical Inference for Stochastic Processes, 13, No 3, 163-174.

WUTS25; Tamaki, K. (2006. June). Second order properties of the distributions of test statistics derived under Whittle measure.

WUTS26; Amano, T. (2007). Note on Asymptotics of Whittle estimators for square transformed ARCH($\infty$) models. Scientiae Mathematicae Japonicae, 65, No 1, 43-51.

WUTS27; Hirukawa, J. (2006. July). Large deviation results for discriminant statistics of Gaussian locally stationary processes.

WUTS28; Ogata, H., Taniguchi, M. (2009). Cressie-Read Power-Divergence Statistics for Non Gaussian Vector Stationary Processes. Scandinavian Journal of Statistics, 36, 141-156.

WUTS29; Shiraishi, H., Taniguchi, M. (2009). Statistical Estimation of Optimal Portfolios depending on Higher Order Cumulants. Annales de I'I. S. U. P., 3-18.

WUTS30; Nishikawa, M., Taniguchi, M. (2009). Discriminant Analysis for Dynamics of Stable Processes. Statistical Methodology, 6, 89-96.

WUTS31; Watanabe. T., Shiraishi. H. and Taniguchi. M. (2010). Cluster Analysis for Stable Processes. Communications in Statistics Theory and Methods, 39, 1630-1642.

WUTS32; Taniguchi. M. (2008). Non-regular estimation theory for piecewise continuous spectral densities. Stochastic Processes and their Applications, 118, 153-170.

WUTS33; Amano, T., Taniguchi, M. (2010). Control variate method for stationary processes. To appear in Journal of Econometrics.

WUTS34; Tamaki, K. (2008) The Bernstein-von Mises theorem for stationary processes. J. Japan Statist. Soc., 38-2, 311-323.

WUTS35; Tamaki, K. (2007) Power properties of empirical likelihood for stationary processes. Sci. Math. Jpn., 66-3, 359-369.

WUTS36; Shiraishi,H. (2008. April). Resampling Procedure to Construct Value at Risk Efficient Portfolios for Stationary Returns of Assets

WUTS37; Taniguchi, M., Amano, T. (2009). Systematic Approach for Portmanteau Tests in View of Whittle Likelihood Ratio. Journal of The Japan Statistical Society, 39, 177-192.

WUTS38; Ogata, H. (2007. October). Empirical Likelihood Approach for Non-Gaussian Locally Stationary Processes.

WUTS39; Amano, T. (2008. April). Comparison of Whittle type portmanteau tests. Scientiae Mathematicae Japonicae, 68, No 2, 247-254.

WUTS40; Hatai, I., Shiraishi,H., Taniguchi,M. (2010). Statistical Testing for Asymptotic No-arbitrage in Financial Markets.. To appear in J. Statistics: Advance in Theory and Applications.

WUTS41; Maeyama, Y., Tamaki, K., Taniguchi ,M. (2008, April). Preliminary Test Estimation for Spectra and Its Applications to Financial Hedging Problem.

WUTS42; Shiraishi, H. (2008, September). Resampling Procedure in estimation of Optimal Portfolios for Time -Varying ARCH Processes.

WUTS43; Taniguchi, M., Ogata H., Shiraishi, H, (2009). Preliminary Test Estimation for Regression Models with Long-Memory Disturbance. Communications in Statistics. (S. Zacks festschrift issues), 38, 1-12.

WUTS44; Amano, T. (2009). Asymptotic efficiency of estimating function estimators for nonlinear time series models. Journal of The Japan Statistical Society, 39, 209-231.

WUTS45; Ishioka, T., Kawamura, S., Amano, T. and Taniguchi, M. (2009). Spectral analysis for intrinsic time processes. Statist. Probab. Letters, 79, 2389-2396.

WUTS46; Taniguchi-Xue

WUTS47; Solvang, H. and Taniguchi, M. (2017). Microarray Analysis Using Rank Order Statistics for ARCH Residual Empirical Process. Open J. Statist., 7, 54-71.

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