研 究 内 容

グラフ


[専門・研究分野]

統計学,計量経済学.

最近は,
 (1) 非定常時系列の統計量の分布に関する漸近理論

 (2) 反転不可能な時系列モデルに関する統計的推測

 (3) フラクショナル・モデルおよび長記憶モデルに関する統計理論

 (4) ウェーブレット(Wavelet)の統計学的有効性

などのトピックを研究している.


[受賞歴]

  • The T. C. Koopmans 賞

    (論文 "An alternative approach to the asymptotic theory of spurious regression, cointegration, and near-cointegration" に対して),1996 年, Econometric Theory.

  • 第 3 回日本統計学会賞

    (統計学の研究活動, 特に,著書「Time Series Analysis」の研究成果に対して)1998 年.

  • Econometric Theory Award

    (計量経済学の 理論的学術誌への論文発表の功績に対して)1999 年.



    [著書]

  • Time Series Analysis: Nonstationary and Noninvertible Distribution Theory, Second edition, John Wiley, New York, 2017.

  • Time Series Analysis: Nonstationary and Noninvertible Distribution Theory, John Wiley, New York, 1996.

  • 『経済統計』岩波書店, 1996 年.

  • 『計量経済学』岩波書店,1998 年.

  • 『統計学』新世社, 1998 年.

  • 『経済統計 第2版』岩波書店, 2002 年.

  • 『経済時系列の統計−その数理的基礎』(共著)岩波書店, 2003 年.

  • 『現代時系列分析』岩波書店, 2006 年.



    [主要論文]

  • On a new estimation method for time series models,『季刊理論経済学』1977 年.
  • ARMAX models and recursive calculation, (with E. J. Hannan), in Systems Dynamics and Control in Quantitative Economics, H. Myoken, ed.,文真堂, 1978.
  • Analysis of time varying parameter models, Ph.D. Thesis submitted to the Australian National University, 1979.
  • The one-sided Lagrange multiplier test of the AR(p) model vs the AR(p) model with measurement error, Journal of the Royal Statistical Society, (B), 1983.
  • Asymptotic expansions associated with the AR(1) model with unknown mean, Econometrica, 1983.
  • Non-normality of the Lagrange multiplier statistic for testing the constancy of regression coefficients, Econometrica, 1983.
  • Estimation for transients in the frequency domain, Journal of the American Statistical Association, 1983.
  • An asymptotic expansion associated with the maximum likelihood estimators in ARMA models, Journal of the Royal Statistical Society, (B), 1984.
  • The sampling distributions of the predictor for an autoregressive model under misspecifications,(with Koichi Maekawa), Journal of Econometrics, 1984.
  • The identification problem in regression models with time-varying parameters in random walk,(with Michio Hatanaka)『季刊理論経済学』 1985 年.
  • 統計量の変換と統計的推測『一橋論叢』1985 年.
  • Asymptotic expansions for time series statistics, Journal of Applied Probability, 1986.
  • Approximate distributions of the periodogram and related statistics, (with Seiji Nabeya)Econometric Theory, 1986.
  • Pitfalls in the conventional approach to the analysis of economic time series, 大阪大学経済論集, 1987 年.
  • Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative,(with Seiji Nabeya), Annals of Statistics, 1988.
  • Brown 運動と非定常時系列解析『一橋論叢』1988 年.
  • Asymptotic properties of the maximum-likelihood and nonlinear least- squares estimators for noninvertible moving average models, (with S. E. Satchell), Econometric Theory, 1989.
  • 時系列データにおける欠測値と構造の一時的変化の取り扱いについて 『標本調査の解析方法:理論と応用』に所収,統計研究会, 1989 年.
  • A general approach to the limiting distribution for estimators in time series regression with nonstable autoregressive errors, (with Seiji Nabeya), Econometrica, 1990.
  • Limiting power of unit-root tests in time-series regression, (with Seiji Nabeya), Journal of Econometrics, 1990.
  • The Fredholm approach to asymptotic inference on nonstationary and noninvertible time series models, Econometric Theory, 1990.
  • Testing for a moving average unit root, Econometric Theory, 1990.
  • Asymptotic distribution of the least squares estimator of the cointegrating vector,『経済研究』1990 年.
  • 時系列データの欠測値問題『統計調査の解析手法』に所収, 統計研究会,1990 年.
  • An alternative approach to the asymptotic theory of spurious regression, cointegration, and near-cointegration, Econometric Theory, 1993.
  • 統計的時系列分析の現状と展望(藤井光昭,渡辺則生,酒井英昭, 川島利兵衛氏との共著)『日本統計学会誌』1993 年.
  • Statistical analysis of higher order integrated and cointegrated processes, in Proceedings of the Second Japan-US Time Series Seminar, 1993.
  • The optimality of extended score tests with applications to testing for a moving average unit root, in Advances in Econometrics and Quantitative Economics, Maddala, G.S., Phillips, P.C.B., and Srinivasan, T.N., eds., Blackwell, Oxford, 1995.
  • 景気の経済学と信号処理, Journal of Signal Processing, 1997.
  • The nonstationary fractional unit root, Econometric Theory, 1999.
  • K-asymptotics associated with deterministic trends in the integrated and near-integrated processes, Japan Economic Review, 2001.
  • 非定常経済時系列におけるトレンドの統計的問題『現代経済学の潮流 2001』所収,東洋経済新報社, 2001 年.
  • A unified approach to the measurement error problem in time series models, Econometric Theory, 2002.
  • 共和分分析『経済時系列の統計−その数理的基礎』所収,岩波書店,2003 年.
  • ウェーブレット解析『経済時系列の統計−その数理的基礎』所収,岩波書店,2003 年.
  • Frequency domain and wavelet-based estimation for long-memory signal plus noise models, in Harvey A., Koopman, S.J. and Shephard, N. ed., State Space and Unobserved Component Models, Cambridge University Press, 2004.
  • ウェーブレット解析の統計学への応用について『数学』,2005 年.
  • On various applications of the wavelet analysis to statistics, American Mathematical Society Translations, 2008.
  • On the distributions of quadratic functionals of the ordinary and fractional Brownian motions, Journal of Statistical Planning and Inference, 2008.
  • 時系列解析の理論と応用『21世紀の統計科学V 数理・計算の統計科学』(北川・竹村編)所収,岩波書店,2008 年.
  • Analysis of models with complex roots on the unit circle, Journal of the Japan Statistical Society, 2008.
  • Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process, Statistical Inference for Stochastic Processes, 2013.
  • Linear nonstationary models - A review of the work of Professor P.C.B. Phillips -, Econometric Theory, 2014.
  • ET Interview - Professor Katsuto Tanaka, interviewed by In Choi and Eiji Kurozumi, Econometric Theory, 2014.
  • Distributions of quadratic functionals of the fractional Brownian motion based on a martingale approximation, Econometric Theory, 2014.
  • Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process, Statistical Inference for Stochastic Processes, 2015.

  • [招待講演等]

  • 「時系列統計量の分布の漸近展開−数式処理言語 REDUCE 使って−」日本数学会特別講演, 大阪大学,1984 年.
  • Statistical analysis of higher order integrated and cointegrated processes. 日米時系列解析セミナー招待講演,ハワイ,1993 年.
  • 「非定常および反転不可能な時系列モデルに関する統計的推測」 日本数学会特別講演,東京大学,1997 年.
  • 「非定常および反転不可能な時系列モデルの統計理論」 日本統計学会賞受賞記念講演,中央大学,1998 年.
  • K-asymptotics associated with deterministic trends in the integrated and near-integrated processes. 日本経済学会招待講演,大阪府立大学,2000 年.
  • A unified approach to the measurement error problem in time series models. 日米時系列解析セミナー招待講演,京都大学, 2001 年.
  • Testing for a boundary parameter. 台湾中央研究院統計研究所招待講演,台北,2001 年.
  • Wavelet methods for inference problems associated with long-memory signal plus noise models. オランダ王立 科学アカデミー招待講演,アムステルダム,2002 年.
  • Linear nonstationary models - A review of the work of Professor P.C.B. Phillips -, New Zealand Econometrics Study Group Meeting 招待講演,オークランド,2008 年.
  • Derivation and computation of distributions of quadratic functionals of the ordinary and fractional Brownian motions, Distinguished Lecturer at IMS meeting, ソウル,2009 年
  • Distributions of quadratic functionals of the fractional Brownian motion based on a martingale approximation, 香港中文大学招待講演,2012 年.