Papers - NAGAI Keiji
about 17-
A Sequential Test For a Unit Root in Monitoring a p-th Order Autoregressive Process
Kohtaro Hitomi, Keiji Nagai, Yoshihiko Nishiyama, and Junfan Tao
Advances in Econometrics Vol. 45A 115 - 153 2023.4 [Reviewed] [Invited]
Authorship：Corresponding author Language：English Publishing type：Research paper (scientific journal) Single Work
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Sequential unit root test for first-order autoregressive processes with initial values
Jianwei Jin, Keiji Nagai
KIER Discussion Paper Series, Kyoto University, Institute of Economic Research ( No. 1085 ) 1 - 16 2022.11
Authorship：Corresponding author Language：English Publishing type：Research paper (bulletin of university, research institution) Publisher：Kyoto University, Institute of Economic Research Single Work
Other Link： https://ideas.repec.org/p/kyo/wpaper/1084.html
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Unit root tests considering initial values and a concise method for computing power
Jianwei Jin, Kohtaro Hitomi, Keiji Nagai, Yoshihiko Nishiyama, and Junfan Tao
KIER Discussion Paper Series, Kyoto University, Institute of Economic Research ( No. 1084 ) 1 - 13 2022.11
Authorship：Corresponding author Language：English Publishing type：Research paper (bulletin of university, research institution) Publisher：Kyoto University, Institute of Economic Research Single Work
Other Link： https://ideas.repec.org/p/kyo/wpaper/1084.html
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Kohtaro Hitomi, Keiji Nagai, Yoshihiko Nishiyama, and Junfan Tao
KIER Discussion Paper Series, Kyoto University, Institute of Economic Research ( No. 1060 ) 1 - 17 2021.9
Language：English Publishing type：Research paper (bulletin of university, research institution) Publisher：Kyoto University, Institute of Economic Research Single Work
Other Link： https://www.kier.kyoto-u.ac.jp/wp/wp-content/uploads/2021/06/DP1060.pdf
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Sequential tests for criticality of branching process with immigration
Keiji Nagai, Junfan Tao
Discussion paper series 2020-CEGS ( 05 ) 1 - 14 2021.6
Language：English Publishing type：Research paper (bulletin of university, research institution) Publisher：YNU Education and Research Center for Economic Growth Strategy Single Work
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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 ) 335 - 341 2019.6 [Reviewed]
Language：English Publishing type：Research paper (international conference proceedings) Single Work
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Joint Asymptotic Normality of Stopping Time and Sequential Estimators for Monitoring Autoregressive Processes
K. Nagai, K. Hitomi, Y. Nishiyama, J. Tao
ISI WSC2019 ( CPS2107 ) 15 - 21 2019.6
Language：English Publishing type：Research paper (international conference proceedings) Single Work
We consider the joint asymptotic properties of stopping times and sequential esti
mators for a stationary first-order autoregressive (AR(1)) process with independent and
identically distributed (i.i.d.) errors with mean 0 and finite variance. Lai and Siegmund
(1983) defined two stopping times based on the observed Fisher information. The first
stopping time is defined to be the first time at which the observed Fisher information
with known variance of errors exceeds a prescribed level. The second one is defined by
replacing the variance of errors with its estimator. They derived the almost sure convergence of the stopping times to some constant for a stationary AR(1). Using a functional
central limit theorem for nonlinear ergodic stationary processes, we show that the stopping times, the sequential least square estimators, and the estimator of the variance of errors have the joint asymptotic normality. We also find that the asymptotic variance of
the first stopping time is strictly greater than that of the second one. -
Sequential test for unit root in AR(1) model
K. Nagai, Y. Nishiyama, K. Hitomi
KIER DISCUSSION PAPER SERIES ( 1003 ) 1 - 27 2018.10
Language：English Publishing type：Research paper (scientific journal) Publisher：KYOTO INSTITUTE OF ECONOMIC RESEARCH Joint Work
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Nonparametric Estimation Methods of Integrated Multivariate Volatilities
Toshiya Hoshikawa,Keiji Nagai,Taro Kanatani &Yoshihiko Nishiyama
Econometric Reviews 27 ( 1 ) 112 - 138 2008 [Reviewed]
Authorship：Corresponding author Language：English Publishing type：Research paper (scientific journal) Joint Work
Other Link： https://www.tandfonline.com/doi/full/10.1080/07474930701853855
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Sequential Unit Root Test
Nagai, K., Y. Nishiyama, K. Hitomi
Proceedings of MODSIM07 3031 - 3036 2007.4 [Reviewed]
Language：English Publishing type：Research paper (scientific journal) Publisher：MODSIM Joint Work
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Unit Root Test and Sequential Estimation of Autoregressive Parameter with Conditionally Heteroskedastic Errors
Proceedings of ISM/KIER Jonint Conference Nonparmetric and Semiparametric Statistics 2005.3
Language：English Publishing type：Research paper (international conference proceedings) Joint Work
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Nonparametric methods of estimating integrated multivariate volatilities
Proceedings of ISM/KIER Jonint Conference Nonparmetric and Semiparametric Statistics 183 - 198 2005.3
Language：English Publishing type：Research paper (international conference proceedings) Joint Work
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Asymptotic Lower Bounds for the Average Detection Delay of Change-point Detection Rules
Discussion Paper Series, The Center for International Trade Studies, Faculty of Economics, Yokohama National University 03-F ( 5 ) 2003.6
Language：English Publishing type：Research paper (scientific journal) Single Work
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Decoupling for Generalized U-statistics and its Application to Nonparametrics
Synthetic Study of Probabability, edited by N. Funaki 219 - 220 2002
Language：English Publishing type：Research paper (other science council materials etc.)
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Nonparametric Change-Point Detection for Two Population
Keiji Nagai
Sequential Analysis 17 ( 3-4 ) 279 - 296 1998 [Reviewed]
Authorship：Corresponding author Language：English Publishing type：Research paper (other science council materials etc.) Single Work
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Nonparametric Sequential Tests and Change-point Detection Problems
Rutgers University(Ph. D Thesis) 1998
Language：English Publishing type：Research paper (other science council materials etc.)
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Expected sample size of the rank-order SPRT via nonlinear renewal theory
C-H, Zhang
Rutgers Technical Report 98 007 1998
Language：English Publishing type：Research paper (other science council materials etc.) Joint Work