Rchr
J-GLOBAL ID:202201020001651961   Update date: Sep. 26, 2022

Takabatake Tetsuya

タカバタケ テツヤ | Takabatake Tetsuya
Affiliation and department:
Job title: Assistant Professor
Research field  (3): Economic statistics ,  Applied mathematics and statistics ,  Basic mathematics
Research keywords  (5): 非整数ブラウン運動 ,  確率ボラティリティ ,  高頻度観測金融データ ,  確率過程の統計解析 ,  数理ファイナンス
Research theme for competitive and other funds  (2):
  • 2019 - 2022 ボラティリティ変動の激しさに関する統計的仮説検定理論の構築
  • 2017 - 2019 ボラティリティ変動に現れる非整数Brown運動に対する高頻度データ解析
Papers (2):
  • 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):
  • Tetsuya Takabatake. Note on Error Bound for Trace Approximation of Products of Toeplitz Matrices. 2022
  • Tetsuya Takabatake. Quasi-Likelihood Analysis of Fractional Brownian Motion with Constant Drift under High-Frequency Observations. 2022
  • Kohei Chiba, Tetsuya Takabatake. Asymptotically Efficient Estimation of Ergodic Rough Fractional Ornstein-Uhlenbeck Process under Continuous Observations. 2022
  • 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
Lectures and oral presentations  (37):
  • Local Asymptotic Normality Property for Fractional Brownian Motion with Measurement Error
    (The SH3 Conference on Econometrics 2022)
  • Local Asymptotic Normality Property for Fractional Brownian Motion with Measurement Error
    (Computational and Methodological Statistics (CMStatistics) 2021)
  • ドリフトを持つ非整数Brown運動に対する疑似尤度解析
    (統計関連学会連合大会 2021)
  • 連続観測に基づく非整数Ornstein-Uhlenbeck過程の局所漸近正規性
    (岡山確率論セミナー 2021)
  • 観測誤差を含む非整数Brown運動に対する局所漸近正規性
    (統計関連学会連合大会 2020)
more...
Education (2):
  • 2016 - 2019 Osaka University Graduate School of Engineering Science Department of Systems Innovation, Division of Mathematical Science for Social Systems
  • 2014 - 2016 Osaka University Graduate School of Science Department of Mathematics
Professional career (1):
  • Doctor of Science (Osaka University)
Work history (2):
  • 2019/04 - 現在 Hiroshima University Faculty of Economics Assistant Professor
  • 2017/04 - 2019/03 Japan Society for the Promotion of Science
Awards (4):
  • 2018/09 - 統計関連学会連合 2018年度統計関連学会連合大会「優秀報告賞」
  • 2018/04 - 生産技術振興協会 生産技術振興協会「海外論文発表奨励賞」
  • 2016/09 - 統計関連学会連合 2016年度統計関連学会連合大会「優秀報告賞」
  • 2016/03 - 日本統計学会 第10回日本統計学会春季集会「学生優秀発表賞」
Association Membership(s) (1):
日本統計学会
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