University of the Ryukyus · Faculty of Science · 准教授

Research keywords時系列解析・Time Series Analysis・Stochastic Finance・数理ファイナンス・数理統計学・Mathematical Statistics

This is a public-data preview. Personalized fit, contact angles, and saved workflows require sign-in.

• Stable non-Gaussian time series2002 · （管理者追加）リポジトリ登録情報を移行しました。確認のうえ、加除修正をしてください。
• A PROOF OF THE EXISTENCE OF COMPLEX-VALUED SYMMETRIC α-STABLE RANDOM MEASURES1998 · We give a rigorous proof for the existence of complex-valued symmetric α-stable random measures. （管理者追加）リポジトリ登録情報を移行しました。確認のうえ、加除修正をしてください。
• THEORETICAL RESULTS AND EMPIRICAL STUDIES ON THE FORECASTING ACCURACY OF THE HOLT'S LINEAR EXPONENTIAL SMOOTHING METHOD1995 · The Holt's linear exponential smoothing method has been frequently used to forecast a time series that has a trend. In this paper, we investigate the forecasting accuracy of this method. We give theoretical results on the asymptotic prediction errors for some stochastic processes. Using real-life time series data, we show short-range forecasting performances of this method. Problems related to the range of the smoothing parameters are also discussed. （管理者追加）リポジトリ登録情報を移行しました。確認のうえ、加除修正をしてください。
• ON ASYMPTOTIC NORMALITY OF ESTIMATES FOR SMOOTHING PARAMETERS IN THE HOLT-WINTERS SEASONAL FORECASTING METHOD1994 · The smoothing parameters in the Holt-Winters seasonal forecasting method are often estimated by minimizing the mean square error of one-step forecasts using the sample. In this note we show that such an estimator holds asymptotic normality for some stochastic processes. （管理者追加）リポジトリ登録情報を移行しました。確認のうえ、加除修正をしてください。

• 時系列の頑健推測1998 · 奨励研究(A)
• Holt-Winters法の統計的性質1995 · 奨励研究(A)
• 確率過程に関する統計推測
• Applications of Non-linear Time Series Models and Continuous-Time Stochastic Processes for Mathematical Finance

• Official profile