研究者詳細 - 永井　圭二

論文 - 永井　圭二

件数 17 件

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年4月 [査読有り] [招待有り]

担当区分：責任著者記述言語：英語掲載種別：研究論文（学術雑誌）単著

その他リンク： https://www.emerald.com/insight/content/doi/10.1108/S0731-90532023000045A004/full/html?utm_source=smc_email_welcome&utm_medium=email&utm_campaign=author_welcome_journey_bookseries_tokens_20201103

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年11月

担当区分：責任著者記述言語：英語掲載種別：研究論文（大学，研究機関紀要）出版者・発行元：Kyoto University, Institute of Economic Research 単著

その他リンク： https://ideas.repec.org/p/kyo/wpaper/1084.html

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年11月

担当区分：責任著者記述言語：英語掲載種別：研究論文（大学，研究機関紀要）出版者・発行元：Kyoto University, Institute of Economic Research 単著

その他リンク： https://ideas.repec.org/p/kyo/wpaper/1084.html

Joint Asymptotic Properties of Stopping Times and Sequential Estimators for Stationary First-order Autoregressive Models

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

KIER Discussion Paper Series, Kyoto University, Institute of Economic Research ( No. 1060 ) 1 - 17 2021年9月

記述言語：英語掲載種別：研究論文（大学，研究機関紀要）出版者・発行元：Kyoto University, Institute of Economic Research 単著

その他リンク： https://www.kier.kyoto-u.ac.jp/wp/wp-content/uploads/2021/06/DP1060.pdf

Sequential tests for criticality of branching process with immigration

Keiji Nagai, Junfan Tao

Discussion paper series 2020-CEGS ( 05 ) 1 - 14 2021年6月

記述言語：英語掲載種別：研究論文（大学，研究機関紀要）出版者・発行元：YNU Education and Research Center for Economic Growth Strategy 単著

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年6月 [査読有り]

記述言語：英語掲載種別：研究論文（国際会議プロシーディングス）単著

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年6月

記述言語：英語掲載種別：研究論文（国際会議プロシーディングス）単著

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年10月

記述言語：英語掲載種別：研究論文（学術雑誌）出版者・発行元：KYOTO INSTITUTE OF ECONOMIC RESEARCH 共著

Nonparametric Estimation Methods of Integrated Multivariate Volatilities

Toshiya Hoshikawa,Keiji Nagai,Taro Kanatani &Yoshihiko Nishiyama

Econometric Reviews 27 ( 1 ) 112 - 138 2008年 [査読有り]

DOI Web of Science

担当区分：責任著者記述言語：英語掲載種別：研究論文（学術雑誌）共著

その他リンク： https://www.tandfonline.com/doi/full/10.1080/07474930701853855

Sequential Unit Root Test

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

Proceedings of MODSIM07 3031 - 3036 2007年4月 [査読有り]

記述言語：英語掲載種別：研究論文（学術雑誌）出版者・発行元：MODSIM 共著

Unit Root Test and Sequential Estimation of Autoregressive Parameter with Conditionally Heteroskedastic Errors

Proceedings of ISM/KIER Jonint Conference Nonparmetric and Semiparametric Statistics 2005年3月

記述言語：英語掲載種別：研究論文（国際会議プロシーディングス）共著

Nonparametric methods of estimating integrated multivariate volatilities

Proceedings of ISM/KIER Jonint Conference Nonparmetric and Semiparametric Statistics 183 - 198 2005年3月

記述言語：英語掲載種別：研究論文（国際会議プロシーディングス）共著

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年6月

記述言語：英語掲載種別：研究論文（学術雑誌）単著

Decoupling for Generalized U-statistics and its Application to Nonparametrics

Synthetic Study of Probabability, edited by N. Funaki 219 - 220 2002年

記述言語：英語掲載種別：研究論文（その他学術会議資料等）

Expected sample size of the rank-order SPRT via nonlinear renewal theory

C-H, Zhang

Rutgers Technical Report 98 007 1998年

記述言語：英語掲載種別：研究論文（その他学術会議資料等）共著

Nonparametric Change-Point Detection for Two Population

Keiji Nagai

Sequential Analysis 17 ( 3-4 ) 279 - 296 1998年 [査読有り]

DOI

担当区分：責任著者記述言語：英語掲載種別：研究論文（その他学術会議資料等）単著

Nonparametric Sequential Tests and Change-point Detection Problems

Rutgers University(Ph. D Thesis) 1998年

記述言語：英語掲載種別：研究論文（その他学術会議資料等）

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論文 - 永井 圭二

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論文 - 永井　圭二