NAGAI Keiji

Organization

Graduate School of International Social Sciences, International Social Sciences Section

Title

Professor

Research Fields, Keywords

Statistics

Homepage URL

http://er-web.jmk.ynu.ac.jp/html/NAGAI_Keiji/en.html



Graduating School 【 display / non-display

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    1987

    Hitotsubashi University   Faculty of Commerce   Faculty of Commerce   Graduated

Graduate School 【 display / non-display

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    1998

    Rutgers Univ.  Statistics  Statistics  Doctor Course  Completed

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    1995

    Hitotsubashi University  Graduate School, Division of Commerce  Commerce    Unfinished course

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    1991

    Hitotsubashi University  Graduate School, Division of Commerce  Commerce    Completed

Degree 【 display / non-display

  • Doctor of Philosophy - 

External Career 【 display / non-display

  • 1999.04
    -
    2002.03

    Nagasaki Univ.   Faculty of Economics   Associate Professor (as old post name)  

  • 1998.10
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    1999.03

    Nagasaki Univ.   Faculty of Economics   Lecture  

Academic Society Affiliations 【 display / non-display

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    Japan Statistical Society

Field of expertise (Grants-in-aid for Scientific Research classification) 【 display / non-display

  • Economic statistics

 

Research Career 【 display / non-display

  • Statistical Sequential Testing and Change-point Detection on Nonstationality

    Grant-in-Aid for Scientific Research  

    Project Year:  -   

     View Summary

    We consider unit root test and change-point detection problem under sequential sampling for an autoregressive (AR) process. We formulate a sequential unit root test and a sequential change-point detection procedure by using a stopping time based on the observed Fisher information.

  • Statistics of Stochastic Processes

    Project Year:  -   

  • Semiparametric Statistics

    Grant-in-Aid for Scientific Research  

    Project Year:  -   

  • Study on Sequential Analysis and Change-point Detection

    Project Year:  -   

Books 【 display / non-display

  • Nonlinear renewal theorems for random walks with perturbations of intermediate order

    (Part: Joint Work )

    IMS Lecture Notes – Monograph Series Recent Developments in Nonparametric Inference and Probability  2006

Thesis for a degree 【 display / non-display

  • Nonparametric Sequential Tests and Change-point Detection Problems

    Keiji Nagai 

    Rutgers Univ.    1998  [Refereed]

    Doctoral Thesis   Single Work

Papers 【 display / non-display

  • Monitoring Unit Root in Sequentially Observed Autoregressive Processes against Local-to-unity hypotheses

    K. Nagai, K. Hitomi, Y. Nishiyama, J. Tao

    62nd ISI World Statistics Congress 2019   ( CPS2060 )   2019.06  [Refereed]

    Single Work

  • Joint Asymptotic Normality of Stopping Time and Sequential Estimators for Monitoring Autoregressive Processes

    K. Nagai, K. Hitomi, Y. Nishiyama, J. Tao

    ISI WSC2019   ( CPS2107 )   2019.06

    Single Work

  • Sequential test for unit root in AR(1) model

    K. Nagai, Y. Nishiyama, K. Hitomi

    KIER DISCUSSION PAPER SERIES ( KYOTO INSTITUTE OF ECONOMIC RESEARCH )  ( 1003 )   1 - 27   2018.10

    Joint Work

  • Nonparametric Estimation Methods of Integrated Multivariate Volatilities

    Econometric Reviews   27 ( 1 )   112 - 138   2008  [Refereed]

    Joint Work

    Web of Science

  • Sequential Unit Root Test

    Nagai, K., Y. Nishiyama, K. Hitomi

    Proceedings of MODSIM07 ( MODSIM )    3031 - 3036   2007.04  [Refereed]

    Joint Work

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Grant-in-Aid for Scientific Research 【 display / non-display

  • Grant-in-Aid for Scientific Research(C)

    Project Year: 2018.04  -  2021.03 

  • Grant-in-Aid for Scientific Research(C)

    Project Year: 2015.04  -  2018.03 

  • Grant-in-Aid for Scientific Research(C)

    Project Year: 2012.04  -  2015.04 

  • Grant-in-Aid for Scientific Research(C)

    Project Year: 2009.04  -  2011.04 

  • Grant-in-Aid for Scientific Research(C)

    Project Year: 2007.04  -  2008.03 

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Presentations 【 display / non-display

  • Sequential estimation and unit root tests for autoregressive processes

    Yoshihiko Nishiyama, Kohtaro Hitomi, Keiji Nagai, Junfan Tao  [Invited]

    Waseda International Symposium “Introduction of General Causality to Various Data & its Innovation of the Optimal Inference"  (Waseda University, Nishi-Waseda Campus )  2018.10.23   Waseda Research Institute for Science & Engineering, Institute for Mathematical Science

     View Summary

    Estimation and testing for autoregressive processes have a long history, where the literature mostly assume that off-line sampling data is available. Lai and Siegmund (1983) consider the case of online sampling, where they propose to stop sampling using the observed Fisher information and show that the OLS estimator of the AR coefficient is symptotically normally distributed for both stationary and nonstationary AR(1) processes. Motivated by the unit root testing problem, we consider the case of nearly nonstationary processes where we employ a unifying approach by diffusion approximation for both nonstationary and nearly nonstationary cases to examine the statistical properties. It allows us to scrutinize the properties of the stopping times we consider, which are shown to be characterized by Bessel processes of dimension 3/2. We also consider the stationary autoregressive processes and prove the asymptotic normality of the coefficient estimator and the stopping times.

  • Sequential Estimation for Strongly Stationary AR(p) Process

    2018.09.11  

  • Sequential Estimation for Strongly Stationary AR(p) Process

    2018.09.10  

Past of Collaboration and Commissioned Research 【 display / non-display

  • Asymptotic theory of sequential tests and estimation for unit root processes

    Offer organization: Institute of Economic Research   Cooperative Research within Japan  

    Project Year: 2018.04  -  2019.03 

  • Application of weak convergence of stochastic processes to statisitics

    Offer organization: Institute of Economic Research, Kyoto University   Cooperative Research within Japan  

    Project Year: 2004.04  -  2005.03