Current Affiliation Organization 【 display / non-display 】

Current Affiliation Organization 【 display / non-display 】

Academic degree 【 display / non-display 】

Academic degree 【 display / non-display 】

External Career 【 display / non-display 】

External Career 【 display / non-display 】

Research Interests 【 display / non-display 】

Research Interests 【 display / non-display 】

Research Theme 【 display / non-display 】

Research Theme 【 display / non-display 】

• Applications of Non-linear Time Series Models and Continuous-Time Stochastic Processes for Mathematical Finance

• Statistical Inference for Stochastic Processes

• Probabilistic Analysis and Statistical Inference for Mathematical Finance

Published Papers 【 display / non-display 】

Published Papers 【 display / non-display 】

• Stable non-Gaussian time series

  その他の著者

  Vol.15 (2002) ( Department of Mathematical Science, Faculty of Science, University of the Ryukyus )  15   1 - 18   2011.02

  Type of publication: Research paper (bulletin of university, research institution)

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• ON ASYMPTOTIC NORMALITY OF ESTIMATES FOR SMOOTHING PARAMETERS IN THE HOLT-WINTERS SEASONAL FORECASTING METHOD

  その他の著者

  Vol.7 (1994) ( Department of Mathematical Science, College of Science, University of the Ryukyus )  7   1 - 11   2011.02

  Type of publication: Research paper (bulletin of university, research institution)

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  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。

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• A NOTE ON THE ASYMPTOTIC DISTRIBUTION OF THE PERIODOGRAM OF A LONG MEMORY PROCESS

  その他の著者

  Vol.7 (1994) ( Department of Mathematical Science, College of Science, University of the Ryukyus )  7   13 - 24   2011.02

  Type of publication: Research paper (bulletin of university, research institution)

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  We consider a long memory process and show the asymptotic distribution of the periodogram under weaker conditions than those in previous works. （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。

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• THEORETICAL RESULTS AND EMPIRICAL STUDIES ON THE FORECASTING ACCURACY OF THE HOLT'S LINEAR EXPONENTIAL SMOOTHING METHOD

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  Vol.8 (1995) ( Department of Mathematical Science, College of Science, University of the Ryukyus )  8   1 - 25   2011.02

  Type of publication: Research paper (bulletin of university, research institution)

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  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。

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• A PROOF OF THE EXISTENCE OF COMPLEX-VALUED SYMMETRIC α-STABLE RANDOM MEASURES

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  Vol.11 (1998) ( Department of Mathematical Science, Faculty of Science, University of the Ryukyus )  11   1 - 11   2011.02

  Type of publication: Research paper (bulletin of university, research institution)

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  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。

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