髙畠哲也

タカバタケテツヤ | TAKABATAKE TETSUYA

所属機関・部署：
職名：講師

研究分野 (3件)：経済統計 , 応用数学、統計数学 , 数学基礎

研究キーワード (5件)：非整数ブラウン運動 , 確率ボラティリティ , 高頻度観測時系列データ , 確率過程の統計解析 , 数理ファイナンス

競争的資金等の研究課題 (4件)：

論文 (5件)：

Tetsuya Takabatake. Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra. Journal of Time Series Analysis. 2024
Tetsuya Takabatake. Quasi-likelihood analysis of fractional Brownian motion with constant drift under high-frequency observations. Statistics & Probability Letters. 2023
Kohei Chiba, Tetsuya Takabatake. Asymptotically efficient estimation of Ergodic rough fractional Ornstein-Uhlenbeck process under continuous observations. Statistical Inference for Stochastic Processes. 2023
Masaaki Fukasawa, Tetsuya Takabatake, Rebecca Westphal. Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics. Mathematical Finance. 2022. 32. 4. 1086-1132
Masaaki Fukasawa, Tetsuya Takabatake. Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations. BERNOULLI. 2019. 25. 3. 1870-1900

MISC (5件)：

Tetsuya Takabatake. Supplementary article to "Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra". Journal of Time Series Analysis. 2024
Grégoire Szymanski, Tetsuya Takabatake. Asymptotic Efficiency for Fractional Brownian Motion with general noise. 2023
Tetsuya Takabatake, Keisuke Yano. Towards a robust frequency-domain analysis: Spectral Rényi divergence revisited. 2023
Masaaki Fukasawa, Tetsuya Takabatake, Rebecca Westphal. Supplement to ”Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics”. 2022
Masaaki Fukasawa, Tetsuya Takabatake. Supplement to ”Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations”. BERNOULLI. 2019. 1-4

講演・口頭発表等 (18件)：

特異核関数を持つ連続時間移動平均過程に対する尤度解析
(関西計量経済学研究会 2024)
Likelihood Analysis of Continuous-time Gaussian Moving Average Processes with Singular Kernels
(CMStatistics 2023)
Local Asymptotic Normality Property for Fractional Brownian Motion with Additive Noise
(Probability and statistics seminars, Le Mans University 2023)
金融資産収益率のボラティリティ・モデリングに関する最近の展開
(OLIS-保険フォーラム 2023)
Asymptotically Efficient Estimation of Mixed Fractional Brownian Motion under High-Frequency Observations
(EcoSta 2023)

学位 (1件)：

経歴 (4件)：

所属学会 (1件)：

日本統計学会

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髙畠 哲也