Keio University · Faculty of Economics / Graduate School of Economics

Research keywordsGaussian state space models・exact score vectors・random coefficient autoregression・stochastic unit roots・vech operator・vecd operator・integrated variance estimation・market microstructure noise

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• Testing for Random Coefficient Autoregressive and Stochastic Unit Root Models2021 · Studies in Nonlinear Dynamics and Econometrics 2021年
• Computing exact score vectors for linear Gaussian state space models2021 · Communications in Statistics - Simulation and Computation forthcoming 2021年
• Further Results on the vecd Operator and Its Applications2020 · Communications in Statistics, Theory and Methods 49
• On the Relationship between the Matrix Operators, vech and vecd2018 · Communications in Statistics, Theory and Method 47

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