Rchr
J-GLOBAL ID：202201020001651961
Update date: Sep. 11, 2024
TAKABATAKE TETSUYA
タカバタケ テツヤ | TAKABATAKE TETSUYA
Affiliation and department：
Job title：
Associate 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
, 高頻度観測時系列データ
, 確率過程の統計解析
, 数理ファイナンス
Research theme for competitive and other funds (4)：
- 2023 - 2026 Uncertainty evaluation and prediction of spatio-temporal data
- 2023 - 2026 ボラティリティ変動の激しさに対するセミパラメトリック推定手法の開発
- 2019 - 2023 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 (5)：
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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
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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)：
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Tetsuya Takabatake. Supplementary article to "Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra". Journal of Time Series Analysis. 2024
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Grégoire Szymanski, Tetsuya Takabatake. Asymptotic Efficiency for Fractional Brownian Motion with general noise. 2023
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Tetsuya Takabatake, Keisuke Yano. Towards a robust frequency-domain analysis: Spectral Rényi divergence revisited. 2023
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Masaaki Fukasawa, Tetsuya Takabatake, Rebecca Westphal. Supplement to ”Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics”. 2022
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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 (18)：
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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)
ｍore...
Professional career (1)：
- Doctor of Science (Osaka University)
Work history (4)：
- 2024/09 - 現在 Osaka University Graduate School of Engineering Science Associate Professor
- 2020/04 - 2024/08 Hiroshima University Graduate School of Humanities and Social Sciences Assistant Professor
- 2019/04 - 2020/03 Hiroshima University Graduate School of Social Sciences Assistant Professor
- 2017/04 - 2019/03 Japan Society for the Promotion of Science
Association Membership(s) (1)：
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