NAGAI Keiji

Affiliation

Faculty of International Social Sciences, Division of International Social Sciences

Job Title

Professor

Research Fields, Keywords

Statistics

Related SDGs




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Education 【 display / non-display 】

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    1998

    Rutgers Univ.   Statistics   Doctor Course   Completed

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    1995

    Hitotsubashi University   Commerce   Unfinished Course

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    1991

    Hitotsubashi University   Commerce   Completed

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    1987

    Hitotsubashi University   Faculty of Commerce   Graduated

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Degree 【 display / non-display 】

  • Master of Commerce - Hitotsubashi University

  • Doctor of Philosophy - Rutgers,The State University of New Jersey

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Campus Career 【 display / non-display 】

  • 2013.4
    　
    　

    Duty   Yokohama National UniversityFaculty of International Social Sciences   Division of International Social Sciences   Professor  

  • 2010.4
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    2013.3

    Duty   Yokohama National UniversityInternational Graduate School of Social Sciences   Professor  

  • 2009.4
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    2010.3

    Duty   Yokohama National UniversityFaculty of Economics   Professor  

  • 2007.4
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    2009.3

    Duty   Yokohama National UniversityInternational Graduate School of Social Sciences   Professor  

  • 2002.4
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    2007.3

    Duty   Yokohama National UniversityInternational Graduate School of Social Sciences   Associate Professor  

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External Career 【 display / non-display 】

  • 1999.4
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    2002.3

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

  • 1998.10
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    1999.3

    Nagasaki Univ.   Faculty of Economics   Lecture  

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Academic Society Affiliations 【 display / non-display 】

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    Japan Statistical Society

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    日本経済学会

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    横浜経済学会

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    横浜国際社会科学会

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Research Areas 【 display / non-display 】

  • Humanities & Social Sciences / Economic statistics

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Research Career 【 display / non-display 】

  • 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：

  • Statistical Sequential Testing and Change-point Detection on Nonstationality

    Grant-in-Aid for Scientific Research  

    Project Year：

    　More detail

    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.

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Books 【 display / non-display 】

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Thesis for a degree 【 display / non-display 】

  • Nonparametric Sequential Tests and Change-point Detection Problems

    Keiji Nagai

    Rutgers Univ.   1998

    Doctoral Thesis   Single Work    [Reviewed]

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Papers 【 display / non-display 】

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

  • Statistical Sequential Analysis Based on Information Criteria for Non-Ergodic Time Serie

    Grant number： 24K04816  2024.4 - 2026.5

    Grant-in-Aid for Scientific Research(C)

    Investigator(s)：Keiji Naai

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    Authorship：Principal investigator  Grant type：Competitive

    This study conducts statistical inference of non-ergodic time series using statistical sequential analysis. The sampling rule is based on random stopping times derived from observed Kullback-Leibler information and Fisher information. It is necessary to identify the model and make inferences as quickly as possible using online data after changes occur in policies, social situations, exogenous factors, etc. In particular, in non-ergodic models, we resolve issues related to ① the invariance of sequential testing brought about by introducing local parameters and the equicovariance of sequential estimation, ② sequential probability ratio testing using Kullback-Leibler information and sequential model selection based on information criteria, and ③ establishing methods for sequential fixed-precision estimation using Fisher information.

  • 情報量に基づく停止時刻を用いたゴルトン=ワトソン分枝過程の統計的逐次解析

    2021.4 - 2024.3

    科学研究費補助金  Grant-in-Aid for Scientific Research(C)

    Investigator(s)：永井　圭二

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    Grant type：Competitive

    本研究の中心的課題は，オンライン観測されるゴルトン＝ワトソン分枝過程の基本再生産数Rに関する臨界性検定（Rが１を超えているか，超えていないかの検定），モデルの特定化，推定，変化点探索に対して統計的逐次解析の手法を確立する点にある．まず，移民項のないもっとも簡単な分枝過程を出発点として，移民項のある分枝過程，p階の分枝過程，多次元分枝過程などに拡張してゆく．ここでは，基本再生産数の臨界性検定，次数pの同定，パラメータの推定，変化点の探索といった問題を Fisher 情報量や Kullback-Leibler 情報量を用いた停止時を用いて統計的逐次解析を展開する．

  • 情報量を用いた停止時による非定常時系列の統計的逐次解析

    2018.4 - 2021.3

    科学研究費補助金  Grant-in-Aid for Scientific Research(C)

    Investigator(s)：永井　圭二

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    Grant type：Competitive

    情報量を用いた停止時による非定常時系列の統計的逐次解析を考える。特に爆発的な場合について研究する。

  • 確率解析の手法を用いた統計的逐次解析の理論とその応用

    2015.4 - 2018.3

    科学研究費補助金  Grant-in-Aid for Scientific Research(C)

    Investigator(s)：永井圭二

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    Grant type：Competitive

    局所対立仮説に関する逐次単位根検定の理論をAR(p)モデル適用し，局所対立仮説の統計的逐次検定の理論を構築した．そこでは，帰無仮説(単位根)と局所対立仮説の検定は標準正規分布N(0,1)とN(μ,1)の検定になることを示された. このことにより，逐次的単位根検定はADF検定と異なり，局所一様最強力検定となることがわかる．さらに，帰無仮説と局所対立仮説における 停止時刻の漸近分布 (Bessel過程で表現される) が求められた．
    また，定常なAR(p)モデルについての統計的逐次推定に関し停止時刻の漸近正規性を導いた．これにより時系列の統計的逐次解析が実用可能になったと言ってよい．

  • 非定常性に関する統計的逐次検定と変化点探索について

    2012.4 - 2015.4

    科学研究費補助金  Grant-in-Aid for Scientific Research(C)

    Investigator(s)：永井圭二

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    Grant type：Competitive

    この研究においては、オンラインで観測される確率系列を想定し、金融時系列のバブルなどの非定常性の存在を探索する逐次検定の方法と、金融時系列におけるパラメータの変化を探索する逐次変化点問題の方法を確立した。また、疫学や人口統計で重要な分枝過程に関して、ウイルスや人口の爆発的な増加が起きるのか、それとも根絶や人口減少が起きるのかの逐次的に探索する手法を考察した。それぞれに対して、数学的な最適性の性質と数値計算の方法を見出した。

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Presentations 【 display / non-display 】

  • Sequential criticality test for branching process with immigration

    5. Keiji Nagai, Kohtaro Hitomi, Yoshihiko Nishiyama, and Junfan Tao

    63rd ISI World Statistics Congress 2021  2021.7  International Statistical Institute

    　More details

    Event date： 2021.7

    Language：English   Presentation type：Oral presentation (general)  

    Venue：Online  

  • Local Asymptotic Optimality of Equivariant Sequential Estimation in Autoregressive Process

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

    Kansai Keiryo Keizaigaku Kenkyukai  2024.1  Hiroshima Univ.

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    Event date： 2024.1

    Language：English   Presentation type：Oral presentation (general)  

    Venue：Hiroshima   Country：Japan  

  • Unit root tests with initial values and a concise method for computing powers

    金建偉， 人見 光太郎，永井 圭二，西山 慶彦，陶 俊帆

    関西計量経済学研究会  2023.1  関西計量経済学研究会

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    Event date： 2023.1

    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：オンライン（大阪大学）   Country：Japan  

    We consider a sequential sampling scheme of branching process. Observations are collected sequentially as time goes by. Statistics are evaluated when sufficient information is accumulated. For a sequentially observed branching processes with immigration, we use a stopping time based on the observed Fisher information. A sequential criticality test (SCT) is introduced for near criticality including sub-and-super-criticality. The joint density and Laplace transform of the test statistics and stopping time with initial values are obtained.
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  • Criticality tests for branching process with immigration

    唐越之，永井 圭二

    関西計量経済学研究会  2023.1  関西計量経済学研究会

    　More details

    Event date： 2023.1

    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：オンライン（大阪大学）   Country：Japan  

    We consider a sequential sampling scheme of branching process. Observations are collected sequentially as time goes by. Statistics are evaluated when sufficient information is accumulated. For a sequentially observed branching processes with immigration, we use a stopping time based on the observed Fisher information. A sequential criticality test (SCT) is introduced for near criticality including sub-and-super-criticality. The joint density and Laplace transform of the test statistics and stopping time with initial values are obtained.
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  • Time-changed method in non-ergodic autoregressive process and branching process

    Keiji Nagai, Yoshihiko Nishiyama, Kohtaro Hitomi, and Junfan Tao

    日本経済学会秋季大会  2021.10  日本経済学会

    　More details

    Event date： 2021.10

    Language：English   Presentation type：Oral presentation (general)  

    Venue：大阪大学  

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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： 2018.4  -  2019.3 

  • Application of weak convergence of stochastic processes to statisitics

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

    Project Year： 2004.4  -  2005.3 

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Charge of on-campus class subject 【 display / non-display 】

  • 2024   Workshop Ⅱ

    Graduate School of International Social Sciences

  • 2024   Workshop Ⅰ

    Graduate School of International Social Sciences

  • 2024   Seminar 2b (Doctoral Programs)

    Graduate School of International Social Sciences

  • 2024   Seminar 2a (Doctoral Programs)

    Graduate School of International Social Sciences

  • 2024   Seminar 1b (Doctoral Programs)

    Graduate School of International Social Sciences

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