Updated on 2024/12/02

写真a

 
HIRUKAWA Junichi
 
Organization
Academic Assembly Institute of Science and Technology Fundamental Sciences Associate Professor
Graduate School of Science and Technology Fundamental Sciences Associate Professor
Faculty of Science Department of Science Associate Professor
Title
Associate Professor
External link

Degree

  • 博士（理学） ( 2005.3   早稲田大学 )

Research Interests

  • Wavelet Analysis

  • Mathematical Statistics

  • Financial Engineering

  • Time Series Analysis

Research Areas

  • Humanities & Social Sciences / Money and finance

  • Natural Science / Applied mathematics and statistics

  • Natural Science / Basic mathematics

  • Informatics / Statistical science

Research History (researchmap)

  • Niigata University   Faculty of Science, Department of Science   Associate Professor

    2017.4

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  • Niigata University   Faculty of Science, Department of Mathematics   Associate Professor

    2007.4 - 2017.3

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  • Niigata University   Faculty of Science, Department of Mathematics   Associate Professor

    2007.1 - 2007.3

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  • Waseda University   School of Science and Engineering, Department of Mathematical Science   Research Associate

    2004.4 - 2006.12

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Research History

  • Niigata University   Faculty of Science Department of Science   Associate Professor

    2017.4

  • Niigata University   Graduate School of Science and Technology Fundamental Sciences   Associate Professor

    2010.4

  • Niigata University   Graduate School of Science and Technology Fundamental Sciences   Associate Professor

    2010.4

  • Niigata University   Faculty of Science Department of Mathematics   Associate Professor

    2007.1 - 2017.3

Education

  • Waseda University   Graduate School of Science and Engineering   Ph. D. student in Department of Mathematical Sciences

    2000.4 - 2004.3

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  • Waseda University   Graduate School of Science and Engineering   M.S. student in Department of Mathematical Sciences

    1998.4 - 2000.3

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  • Waseda University   School of Science & Engineering   Department of Mathematics

    1994.4 - 1998.3

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  • 神奈川県立湘南高等学校

    1990.4 - 1993.3

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Professional Memberships

Committee Memberships

  • Japanese Journal of Statistics and Data Science (JJSD)   Associate Editor  

    2018.6   

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    Committee type：Academic society

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  • Japanese Journal of Statistics and Data Science (JJSD)   Associate Editor  

    2018.6   

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    Committee type：Academic society

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  • 日本統計学会英文誌   編集委員  

    2017.6 - 2018.5   

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    Committee type：Academic society

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  • 雑誌「数学」   編集委員  

    2007.4 - 2010.3   

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    Committee type：Academic society

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  • 日本統計学会英文誌   編集委員  

    2006.4 - 2009.3   

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    Committee type：Academic society

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Papers

  • Time series regression models with locally stationary disturbance Reviewed

    Junichi Hirukawa

    Statistical Inference for Stochastic Processes   20 ( 3 )   329 - 346   2017.10

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    Language：English   Publishing type：Research paper (scientific journal)   Publisher：Springer Netherlands  

    Time series linear regression models with stationary residuals are a well studied topic, and have been widely applied in a number of fields. However, the stationarity assumption on the residuals seems to be restrictive. The analysis of relatively long stretches of time series data that may contain changes in the spectrum is of interest in many areas. Locally stationary processes have time-varying spectral densities, the structure of which smoothly changes in time. Therefore, we extend the model to the case of locally stationary residuals. The best linear unbiased estimator (BLUE) of vector of regression coefficients involves the residual covariance matrix which is usually unknown. Hence, we often use the least squares estimator (LSE), which is always feasible, but in general is not efficient. We evaluate the asymptotic covariance matrices of the BLUE and the LSE. We also study the efficiency of the LSE relative to the BLUE. Numerical examples illustrate the situation under locally stationary disturbances.

    DOI： 10.1007/s11203-017-9155-7

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  • Optimal multiperiod mean-variance portfolio selection for time series return process Reviewed

    K. Sasaki, M. Takahashi, J. Hirukawa

    International Journal of Applied & Experimental Mathematics   1 ( 1 )   4 pages   2015

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  • Generalized information criterion Reviewed

    Masanobu Taniguchi, Junichi Hirukawa

    JOURNAL OF TIME SERIES ANALYSIS   33 ( 2 )   287 - 297   2012.3

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    Language：English   Publishing type：Research paper (scientific journal)   Publisher：WILEY-BLACKWELL  

    In this article, we propose a generalized Akaike's information criterion (AIC) (GAIC), which includes the usual AIC as a special case, for general class of stochastic models (i.e. i.i.d., non-i.i.d., time series models etc.). Then we derive the asymptotic distribution of selected order by GAIC, and show that is inconsistent, i.e. (true order). This is the problem of selection by completely specified models. In practice, it is natural to suppose that the true model g would be incompletely specified by uncertain prior information, and be contiguous to a fundamental parametric model with dim 0 = p0. One plausible parametric description for g is , h = (h1, ... ,hK - p0) where n is the sample size, and the true order is K. Under this setting, we derive the asymptotic distribution of . Then it is shown that GAIC has admissible properties for perturbation of models with order of , where the length h is large. This observation seems important. Also numerical studies will be given to confirm the results.

    DOI： 10.1111/j.1467-9892.2011.00759.x

    Web of Science

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  • Asymptotic properties of unit root processes with locally stationary disturbance Reviewed

    J. Hirukawa, M. Sadakata

    Special Issue of Waseda University   8   31 - 45   2012.3

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    Language：English   Publishing type：Research paper (bulletin of university, research institution)  

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  • On the causality between multiple locally stationary processes Reviewed

    Junichi Hirukawa

    Advances in Decision Sciences   2012   2012

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    Language：English   Publishing type：Research paper (scientific journal)  

    When one would like to describe the relations between multivariate time series, the concepts of dependence and causality are of importance. These concepts also appear to be useful when one is describing the properties of an engineering or econometric model. Although the measures of dependence and causality under stationary assumption are well established, empirical studies show that these measures are not constant in time. Recently one of the most important classes of nonstationary processes has been formulated in a rigorous asymptotic framework by Dahlhaus in (1996), (1997), and (2000), called locally stationary processes. Locally stationary processes have time-varying spectral densities whose spectral structures smoothly change in time. Here, we generalize measures of linear dependence and causality to multiple locally stationary processes. We give the measures of linear dependence, linear causality from one series to the other, and instantaneous linear feedback, at time t and frequency . Copyright © 2012 Junichi Hirukawa.

    DOI： 10.1155/2012/261707

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  • Large-deviation results for discriminant statistics of Gaussian locally stationary processes Reviewed

    Junichi Hirukawa

    Advances in Decision Sciences   2012   2012

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    Language：English   Publishing type：Research paper (scientific journal)  

    This paper discusses the large-deviation principle of discriminant statistics for Gaussian locally stationary processes. First, large-deviation theorems for quadratic forms and the log-likelihood ratio for a Gaussian locally stationary process with a mean function are proved. Their asymptotics are described by the large deviation rate functions. Second, we consider the situations where processes are misspecified to be stationary. In these misspecified cases, we formally make the log-likelihood ratio discriminant statistics and derive the large deviation theorems of them. Since they are complicated, they are evaluated and illustrated by numerical examples. We realize the misspecification of the process to be stationary seriously affecting our discrimination. Copyright © 2012 Junichi Hirukawa.

    DOI： 10.1155/2012/572919

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  • Least squares estimators for unit root processes with locally stationary disturbance Reviewed

    Junichi Hirukawa, Mako Sadakata

    Advances in Decision Sciences   2012   2012

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    Language：English   Publishing type：Research paper (scientific journal)  

    The random walk is used as a model expressing equitableness and the effectiveness of various finance phenomena. Random walk is included in unit root process which is a class of nonstationary processes. Due to its nonstationarity, the least squares estimator (LSE) of random walk does not satisfy asymptotic normality. However, it is well known that the sequence of partial sum processes of random walk weakly converges to standard Brownian motion. This result is so-called functional central limit theorem (FCLT). We can derive the limiting distribution of LSE of unit root process from the FCLT result. The FCLT result has been extended to unit root process with locally stationary process (LSP) innovation. This model includes different two types of nonstationarity. Since the LSP innovation has time-varying spectral structure, it is suitable for describing the empirical financial time series data. Here we will derive the limiting distributions of LSE of unit root, near unit root and general integrated processes with LSP innovation. Testing problem between unit root and near unit root will be also discussed. Furthermore, we will suggest two kind of extensions for LSE, which include various famous estimators as special cases. © 2012 Junichi Hirukawa and Mako Sadakata.

    DOI： 10.1155/2012/893497

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  • Wavelet estimation for hidden periodic components in spatial series Reviewed

    J. Hirukawa

    Scientiae Mathematicae Japonicae   74 ( 2&3 )   203 - 230   2011.12

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  • Rank based inference for multivariate nonlinear and long-memory time series model Reviewed

    J. Hirukawa, H.Taniai, M. Hallin, M. Taniguchi

    Journal of the Japan Statistical Society   40 ( 1 )   167 - 187   2010.12

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    Language：English   Publishing type：Research paper (scientific journal)   Publisher：THE JAPAN STATISTICAL SOCIETY  

    The portfolio of the Japanese Government Pension Investment Fund (GPIF) consists of a linear combination of five benchmarks of financial assets. Some of these exhibit long-memory and nonlinear behavior. Their analysis therefore requires multivariate nonlinear and long-memory time series models. Moreover, the assumption that the innovation densities underlying those models are known seems quite unrealistic. If those densities remain unspecified, the model becomes a semiparametric one, and rank-based inference methods naturally come into the picture. Rank-based inference methods under very general conditions are known to achieve the semiparametric efficiency bounds. % through the maximum invariant property of ranks. Defining ranks in the context of multivariate time series models, however, is not obvious. We propose two distinct definitions. The first one relies on the assumption that the innovation density is some unspecified elliptical density. The second one relies on the assumption that the innovation process is described by some unspecified independent component analysis model. Applications to portfolio management problems are discussed.

    DOI： 10.14490/jjss.40.167

    CiNii Article

    CiNii Books

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    Other Link： https://jlc.jst.go.jp/DN/JALC/00367298713?from=CiNii

  • On the asymptotic inference for locally stationary processes

    J. Hirukawa

    RIMS Preprint   1603   80 - 93   2008.12

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    Language：English   Publishing type：Research paper (bulletin of university, research institution)  

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  • Generalized information criteria in model selection for locally stationary processes Reviewed

    J. Hirukawa, H. Solvang Kato, K. Tamaki, M. Taniguchi

    Journal of The Japan Statistical Society   38 ( 1 )   157 - 171   2008.12

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    Language：English   Publishing type：Research paper (scientific journal)   Publisher：THE JAPAN STATISTICAL SOCIETY  

    The problem of fitting a parametric model of time series with time varying parameters attracts our attention. We evaluate a goodness of time varying spectral models from an information theoretic point of view. We propose model selection criteria for locally stationary processes based on nonlinear functionals of a time varying spectral density without assuming that the true time varying spectral density belongs to the model. Also, we obtain a sufficient condition such that our information criteria coincide with Akaike's information criterion.

    DOI： 10.14490/jjss.38.157

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  • LAN theorem for non-Gaussian locally stationary processes and its applications Reviewed

    J Hirukawa, M Taniguchi

    JOURNAL OF STATISTICAL PLANNING AND INFERENCE   136 ( 3 )   640 - 688   2006.3

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    Language：English   Publishing type：Research paper (scientific journal)   Publisher：ELSEVIER SCIENCE BV  

    For a class of locally stationary processes introduced by Dahlhaus, we derive the LAN theorem under non-Gaussianity and apply the results to asymptotically optimal estimation and testing problems. For a class F of statistics which includes important statistics, we derive the asymptotic distributions of statistics in F under contiguous alternatives of unknown parameter. Because the asymptotics depend on the non-Gaussianity of the process, we discuss the non-Gaussian robustness. An interesting feature of effect of non-Gaussianity is elucidated in terms of LAN. Furthermore, the LAN theorem is applied to adaptive estimation when the innovation density is unknown. (c) 2004 Elsevier B.V. All rights reserved.

    DOI： 10.1016/j.jspi.2004.08.017

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  • Cluster analysis for non-Gaussian locally stationary processes Reviewed

    Junichi Hirukawa

    International Journal of Theoretical and Applied Finance   9 ( 1 )   113 - 132   2006.2

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    Language：English   Publishing type：Research paper (scientific journal)  

    Time series analysis under stationary assumption has been well established. However, stationary time series models are not plausible to describe the real world. Indeed, relatively long stretches of time series data should contain either slow or rapid changes in the spectra. To develop a general non-stationary theory, we have to pay careful attention to constituting a suitable model, otherwise the observations obtained in the future give no information about the present structure. Dahlhaus [1-4] has introduced an important class of non-stationary processes, called locally stationary processes which have the time varying spectral densities. In this paper, for a clustering problem of stock returns in Tokyo Stock Exchanges, we propose nonparametric approach based on generalized integral functional measures of the time varying spectral densities. The generalized measures include Gaussian Kullback-Leibler information and Chernoff information measures. The clustering results well extract the features of the relationship among the companies. © World Scientific Publishing Company.

    DOI： 10.1142/S0219024906003457

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  • The Stein-James estimator for short- and long-memory Gaussian processes Reviewed

    M Taniguchi, J Hirukawa

    BIOMETRIKA   92 ( 3 )   737 - 746   2005.9

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    Language：English   Publishing type：Research paper (scientific journal)   Publisher：OXFORD UNIV PRESS  

    We investigate the mean squared error of the Stein-James estimator for the mean when the observations are generated from a Gaussian vector stationary process with dimension greater than two. First, assuming that the process is short-memory, we evaluate the mean squared error, and compare it with that for the sample mean. Then a sufficient condition for the Stein-James estimator to improve upon the sample mean is given in terms of the spectral density matrix around the origin. We repeat the analysis for Gaussian vector long-memory processes. Numerical examples clearly illuminate the Stein-James phenomenon for dependent samples. The results have the potential to improve the usual trend estimator in time series regression models.

    DOI： 10.1093/biomet/92.3.737

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  • LAN Theorem for Non-Gaussian Locally Stationary Processes and Their Discriminant Analysis Reviewed

    J. Hirukawa

    Waseda University (doctor thesis)   2005

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  • Discriminant Analysis for Multivariate Non-Gaussian Locally Stationary Processes Reviewed

    J. Hirukawa

    Scientiae Mathematicae Japonicae   60, No.2   235 - 258   2004.12

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Books

  • Statistical Portfolio Estimation

    M. Taniguchi, H. Shiraishi, J. Hirukawa, H. Kato Solvang, T. Yamashita（ Role： Joint author）

    Chapman & Hall  2017 

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  • 北川 源四朗・田中 勝人・川崎 能典 監修:「時系列分析ハンドブック」

    蛭川 潤一（ Role： Joint translator ,  13章 局所定常過程 (pp.377-439)）

    朝倉書店  2016 

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    原著 Dahlhaus, R. (2012). Locally stationary processes. in Handbook of Statistics, 30, Time Series Analysis: Methods and Applications, North Holland, 351-413.

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  • 要点明解 統計学

    磯貝 英一, 宇野 力, 蛭川 潤一（ Role： Joint author）

    培風館  2013.3 

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    Language：Japanese Book type：Textbook, survey, introduction

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  • Optimal Statistical Inference in Financial Engineering

    M. Taniguchi, J. Hirukawa, K. Tamaki（ Role： Joint author）

    Chapman & Hall  2007.12 

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    Language：English Book type：Scholarly book

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Presentations

  • On the Causality between Multiple Locally Stationary Processes International conference

    Hirukawa, J

    Niigata Global Graduate Research Forum 2013  2013.1  Niigata University

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：Niigata University  

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  • Asymptotic properties of time series non-life insurance model

    小林 賢太朗, 蛭川 潤一

    日本行動計量学会第40回大会  2012.9  日本行動計量学会

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：新潟県立大学  

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  • Ruin probabilities for locally stationary time series premium model International conference

    Hirukawa, J, Suzuki, T

    Waseda Statistical Symposium on Time Series and Related Topics ---A Satellite Meeting of IMS-APRM 2012---  2012.7  早稲田大学

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：早稲田大学  

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  • Asymptotic properties of time series non-life insurance model International conference

    Kobayashi, K, Hirukawa, J

    The 2nd ims-APRM (Institute of Mathematical Statistics Asia Pacific Rim Meetings)  2012.7  Institute of Mathematical Statistics

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    Language：English   Presentation type：Oral presentation (invited, special)  

    Venue：エポカル筑波  

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  • Ruin probabilities in time series premium model International conference

    Suzuki, T, Hirukawa, J

    The 2012 Taipei International Statistics Workshop  2012.5  National Taiwan University

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    Language：English   Presentation type：Oral presentation (invited, special)  

    Venue：Taipei  

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  • The optimal portfolio problem with the ideal balance and exogenous variable causality International conference

    Hirukawa, J, Sasaki, K

    Statistics for Biomedical & Social Mathematical Sciences  2012.3  早稲田大学

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：早稲田大学  

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  • Asymptotic properties of time series non-life insurance model

    蛭川 潤一, 小林賢太郎

    科学研究費シンポジウム「非対称・非線形統計理論と経済・生体科学への応用」  2011.12  和歌山ビッグ愛

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：和歌山ビッグ愛  

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  • On thr unit root process with locally stationary disturbance International conference

    Hirukawa, J, Sadakata, M

    Statistical Concepts and Methods for the Modern World  2011.12  Applied Statistical Association of Sri Lanka

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    Language：English   Presentation type：Oral presentation (invited, special)  

    Venue：Waters Edge, Colombo  

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  • On the unit root process with locally stationary disturbance International conference

    Hirukawa, J, Sadakata, M

    The 1st International Conference of Graduate Students with Sisterhood Universities  2011.10  National Changhua University of Education

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：National Changhua University of Education, Taiwan  

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  • Rank-based inference for multivariate nonlinear and long-memory time series models

    Hirukawa, J, Taniai, H, Hallin, M, Taniguchi, M

    科学研究費シンポジウム「計算機支援による統計手法，理論・応用およびその周辺」  2010.11  高知大学

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：高知大学  

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  • On the asymptotic property of unit root process generated by locally stationary processes

    蛭川 潤一, 定方 真子

    科学研究費シンポジウム「多変量モデル・時系列モデルにおける統計的推測の理論と応用」  2009.12  鹿児島大学

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：鹿児島大学  

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  • On the unit root process with locally stationary innovation

    蛭川 潤一, 定方 真子

    科学研究費シンポジウム「数理統計学における最近の展開とその周辺」  2009.11  高崎経済大学

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：高崎経済大学  

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  • On the unit root process with locally stationary innovation process

    蛭川 潤一, 定方 真子

    日本統計学会 2009年度 統計関連学会連合大会  2009.9  日本統計学会

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：同志社大学  

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  • Ranks for multivariate nonlinear and long-memory time series model International conference

    Hirukawa, J, Taniai, H, Hallin, M, Taniguchi, M

    Time Series, Quantile Regression and Model Choice  2009.9  Technische Universitat Dortmund

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    Language：English   Presentation type：Oral presentation (invited, special)  

    Venue：Dortmund  

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  • On the unit root process with locally stationary disturbance International conference

    Hirukawa, J, Sadakata, M

    Fourth Brussels-Waseda Seminar on Time Series and Financial Statistics  2009.6  Universite libre de Bruxelles

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：Brussels, Belgium  

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  • Independent component analysis for locally stationary processes International conference

    Hirukawa, J, Ogata. H

    Recent Developments in Statistics and Econometrics ~In Honor of Hirotugu Akaike~  2008.11  京都大学

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：京都大学  

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  • Large deviation results for discriminant statistics of Gaussian locally stationary processes International conference

    Hirukawa, J

    Second Japan-Belgium Seminar on Time Series and Statistical Finance in Brussels  2008.6  Universite libre de Bruxelles

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：Brussels, Belgium  

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  • On the asymptotic inference for locally stationary processes

    蛭川 潤一

    数理解析研究所・RIMS共同研究による研究集会「Statistical Analysis of Various Models」研究会  2008.3  京都大学数理解析研究所

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：京都大学数理解析研究所  

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  • On the asymptotic inference for locally stationary processes

    蛭川 潤一

    日本統計学会春季集会 2008  2008.3  日本統計学会

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：成城大学  

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  • Generalised information criteria in model selection for locally stationary processes

    蛭川 潤一, 加藤 比呂子, 玉置 健一郎, 谷口 正信

    日本数学会 2008年度年会  2008.3  日本数学会

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：近畿大学  

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  • Generalized information criteria in model selection for locally stationary processes

    蛭川 潤一, 加藤 比呂子, 玉置 健一郎, 谷口 正信

    科学研究費シンポジウム「統計科学における数理的手法の理論と応用」  2007.12  北海道大学

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：北海道大学  

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  • Generalized information criteria in model selection for locally stationary processes International conference

    Hirukawa, J, Kato, H. S, Tamaki, K, Taniguchi, M

    Niigata Optimization Meeting  2007.11  新潟大学

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：新潟大学  

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  • Generalised information criteria in model selection for locally stationary processes

    蛭川 潤一, 加藤 比呂子, 玉置 健一郎, 谷口 正信

    日本統計学会 2007年度 統計関連学会連合大会  2007.9  日本統計学会

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：神戸大学  

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  • Asymptotic inference for locally stationary processes

    蛭川 潤一

    日本数学会 2007年度秋期総合分科会  2007.9  日本数学会

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    Language：Japanese   Presentation type：Oral presentation (invited, special)  

    Venue：東北大学  

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  • Generalised information criteria in model selection for locally stationary processes International conference

    Hirukawa, J, Kato, H. S, Tamaki, K, Taniguchi, M

    56th Session of the International Statistical Institute (ISI)  2007.8  International Statistical Institute (ISI)

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：Lisboa, Portugal  

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  • Large deviation results for discriminant statistics of Gaussian locally stationary processes

    蛭川 潤一

    日本数学会 2006年度秋期総合分科会  2006.9  日本数学会

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：大阪市立大学  

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  • The asymptotic properties of the multivariate time varying autoregressive spectral estimates

    蛭川 潤一

    日本統計学会 2006年度 統計関連学会連合大会  2006.9  日本統計学会

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：東北大学  

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  • Discriminant and Cluster Analysis for Multivariate Non-Gaussian Locally Stationary Processes International conference

    Hirukawa, J

    Fourth World Congress of the Bachelier Finance Society  2006.8  Bachelier Finance Society

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：Tokyo, Japan  

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  • Testing problems for causality between multiple locally stationary processes

    蛭川 潤一

    日本数学会 2006年度年会  2006.3  日本数学会

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：中央大学  

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  • On the causality between multiple locally stationary processes International conference

    Hirukawa, J

    Time Series Analysis and Its Related Topics  2006.1  早稲田大学

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：早稲田大学  

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  • On the causality between multiple locally stationary processes International conference

    Hirukawa, J

    Latent Structural Modelling and Analysis for Spatio-Temporal Data  2005.12  京都大学

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：京都大学  

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  • On the causality between multiple locally stationary processes

    蛭川 潤一

    日本数学会 2005年度秋期総合分科会  2005.9  日本数学会

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：岡山大学  

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  • Time series regression models with locally stationary disturbance

    蛭川 潤一

    日本統計学会 2005年度 統計関連学会連合大会  2005.9  日本統計学会

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：広島プリンスホテル  

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  • Time series regression models with locally stationary disturbance

    蛭川 潤一

    日本数学会 2005年度秋期総合分科会  2005.9  日本数学会

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：岡山大学  

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  • Time series regression models with locally stationary disturbance International conference

    Hirukawa, J

    25th European Meeting of Statisticians  2005.7  European Meeting of Statisticians

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：University of Oslo, Oslo, Norway  

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  • Discriminant and Cluster Analysis for Multivariate Non-Gaussian Locally Stationary Processes International conference

    Hirukawa, J

    55th Session of the International Statistical Institute (ISI)  2005.4  International Statistical Institute (ISI)

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：Sydney Convention and Exhibition Centre, Sydney, Australia  

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  • Cluster Analysis for non-Gaussian Locally Stationary Processes

    蛭川 潤一

    日本数学会 2005年度年会  2005.3  日本数学会

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：日本大学  

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  • Discriminant Analysis for Multivariate Non-Gaussian Locally Stationary Processes

    蛭川 潤一

    科学研究費シンポジウム「統計科学の理論と応用の新展開」  2004.11  九州大学

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：九州大学  

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  • The wavelet estimation for hidden periodic model in spatial series

    蛭川 潤一

    科学研究費シンポジウム「統計的推定方式に関する理論とその応用」  2004.11  秋田大学

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：秋田大学  

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  • The Stein-James Estimator for Short- and Long-Memory Gaussian Processes

    谷口 正信, 蛭川 潤一

    日本数学会 2004年度秋期総合分科会  2004.9  日本数学会

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：北海道大学  

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  • Discriminant Analysis for Multivariate Non-Gaussian Locally Stationary Processes

    蛭川 潤一

    日本数学会 2004年度秋期総合分科会  2004.9  日本数学会

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：北海道大学  

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  • The wavelet estimation for hidden periodic model in spatial series

    蛭川 潤一

    日本数学会 2004年度秋期総合分科会  2004.9  日本数学会

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：北海道大学  

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  • LAN Theorem for Non-Gaussian Locally Stationary Processes and Its Applications International conference

    Hirukawa, J, Taniguchi, M

    Recent Developments in Nonlinear Time Series Analysis with Applications to Finance  2004.1  早稲田大学

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：早稲田大学  

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  • LAN Theorem for Non-Gaussian Locally Stationary Processes and Its Applications

    蛭川 潤一, 谷口 正信

    科学研究費シンポジウム「統計的推測の理論とその応用」  2003.11  熊本大学

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：熊本大学  

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  • LAN Theorem for Non-Gaussian Locally Stationary Processes and Its Applications

    蛭川 潤一, 谷口 正信

    日本数学会 2003年度秋期総合分科会  2003.9  日本数学会

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：千葉大学  

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Research Projects

  • 局所定常単位根周辺過程を用いた大規模金融データにおけるバブル期の経済構造の調査

    2019.4 - 2020.3

    System name：科学研究費助成事業 基盤研究(C)（一般）研究代表者

    Awarding organization：日本学術振興会

    蛭川 潤一

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    Authorship：Principal investigator  Grant type：Competitive

    Grant amount：\1430000 （ Direct Cost: \1100000 、 Indirect Cost：\330000 ）

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  • 大規模金融データに対する局所定常時系列因子モデルの理論と応用

    2016.4 - 2019.3

    System name：科学研究費助成事業 基盤研究(C)（一般）研究代表者

    Awarding organization：日本学術振興会

    蛭川 潤一

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    Authorship：Principal investigator  Grant type：Competitive

    Grant amount：\3506836 （ Direct Cost: \2666836 、 Indirect Cost：\840000 ）

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  • 大規模複雑データの理論と方法論の総合的研究

    2015.4 - 2020.3

    System name：科学研究費助成事業 基盤研究(A)(一般) 研究分担者

    Awarding organization：日本学術振興会

    青嶋 誠

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    Grant type：Competitive

    2019年度の研究分担者，分担金 1200千円
    シンポジウム「多様な分野における統計科学に関する諸問題」を開催予定。
    2017年度の研究分担者，分担金 1200千円
    シンポジウム「多様な分野における統計科学の総合的研究」を開催した。
    2015年度の研究分担者，分担金 1300千円
    シンポジウム「多様な分野における統計科学の教育・理論・応用の新展開」を開催した。

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  • 局所定常過程の漸近最適理論と金融工学分野への応用

    2013.9 - 2013.11

    System name：2013年度新潟大学在外研究制度 研究代表者

    Awarding organization：新潟大学

    蛭川 潤一

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    Authorship：Principal investigator  Grant type：Competitive

    Grant amount：\1999000

    ロンドン・スクール・オブ・エコノミクス（イギリス）
    多変量局所定常時系列因子モデルについて，因子荷重を推定する方法の既存の一致性の結果を，次元を固定した設定の下で，重要な基礎結果である推定量の漸近正規性に拡張した。漸近分散を評価することによって，多変量定常時系列因子モデルと多変量局所定常時系列因子モデルの間の推定量の性質の違いを明確にした。この基礎結果について，ロンドン・スクール・オブ・エコノミクスの統計学部とクイーン・メアリーの経済学部でセミナー講演を行った。

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  • 非対称・非線形統計理論と経済・生体科学への応用

    2011.4 - 2015.3

    System name：科学研究費助成事業 基盤研究(A)(一般) 研究分担者

    Awarding organization：日本学術振興会

    谷口 正信

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    Grant type：Competitive

    2014年度の研究分担者，分担金 1300千円
    シンポジウム「多様な分野における統計科学の教育・理論・応用の新展開」を開催した。

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  • 統計科学ににおける数理的手法の理論と応用

    2007.4 - 2011.3

    System name：科学研究費助成事業 基盤研究(A)(一般) 研究分担者

    Awarding organization：日本学術振興会

    谷口 正信

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    Grant type：Competitive

    2008年度の研究分担者，分担金 1300千円
    シンポジウム「統計推測理論の最近の展開とその周辺」を開催した。

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  • 局所定常過程間の因果関係と経済時系列データへの応用

    2006.4 - 2009.3

    System name：科学研究費助成事業 若手研究(B) 研究代表者

    Research category：若手研究(B)

    Awarding organization：日本学術振興会

    蛭川潤一

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    Authorship：Principal investigator  Grant type：Competitive

    Grant amount：\3800000 （ Direct Cost: \3500000 、 Indirect Cost：\300000 ）

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Other research activities

  • 2018 Sep. 20- 23

    2018.9

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    Visiting the Research Group of Prof. Sangyeol Lee in Seoul National University, Seoul, Korea. (2)

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  • 2014 June 20-23

    2018.6

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    Visiting Prof. Ngai Hang Chan of The Chinese University of Hong Kong, Hong Kong. (2)

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  • 2017 Sep. 26- Oct. 2

    2017.9

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    Visiting Prof. Ngai Hang Chan of The Chinese University of Hong Kong, Hong Kong.

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  • 2017 June 1-6

    2017.6

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    Visiting the Research Group of Prof. Sangyeol Lee in Seoul National University, Seoul, Korea.

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  • 2016 Sep. 13-22

    2016.9

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    Visiting Prof. Hamdi Raissi of Instituto de Estadistica, Pontificia Universidad Cat\'{o}lica de Valpara\'{\i}so, Valpara\'{\i}so, Chile.

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  • 2015 Mar. 9-24

    2015.3

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    Visiting the Research Group of Prof. Richard A. Davis in Columbia University, New York, United States.

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  • 2014 June 5-18

    2014.6

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    Visiting Dr. Hamdi Raissi of Institut National des Sciences Appliqu\'{e}es (INSA) de Rennes, Rennes, France.

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  • 2013 Sep.-Nov.

    2013.9

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    Visiting the Research Group of Prof. Qiwei Yao in London School of Economics and Political Science, London, UK.

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  • 2001 Feb.-Aug.

    2001.2

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    Visiting the Research Group of Prof. Zhongjie Xie in Peking
    University, Beijing, China

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Teaching Experience (researchmap)

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Teaching Experience

  • 計算機演習A

    2024
    Institution name：新潟大学

  • 計算機演習B

    2024
    Institution name：新潟大学

  • 理学基礎演習

    2023
    Institution name：新潟大学

  • 数理統計学IIB

    2022
    Institution name：新潟大学

  • 数理統計学IA

    2022
    Institution name：新潟大学

  • 数理統計学IIA

    2022
    Institution name：新潟大学

  • 数理統計学IB

    2022
    Institution name：新潟大学

  • 理学スタディ・スキルズ

    2022
    Institution name：新潟大学

  • 科学・技術と社会

    2021
    -
    2023
    Institution name：新潟大学

  • 応用数理特別講義

    2021
    Institution name：新潟大学

  • 確率論B

    2020
    -
    2023
    Institution name：新潟大学

  • 確率論A

    2020
    -
    2023
    Institution name：新潟大学

  • 数学基礎演習b

    2020
    -
    2021
    Institution name：新潟大学

  • 数学基礎演習a

    2020
    -
    2021
    Institution name：新潟大学

  • 理学スタディ・スキルズ

    2018
    -
    2022
    Institution name：新潟大学

  • 自然科学総論Ⅰ

    2018
    -
    2020
    Institution name：新潟大学

  • 統計学基礎1

    2017
    Institution name：新潟大学

  • 統計学基礎2

    2017
    Institution name：新潟大学

  • 保険数学

    2017
    -
    2023
    Institution name：新潟大学

  • 専門力アクティブ・ラーニング

    2017
    Institution name：新潟大学

  • データ解析法

    2017
    Institution name：新潟大学

  • 数学の世界

    2015
    -
    2020
    Institution name：新潟大学

  • スタディ・スキルズ(数学・情報学習法)

    2015
    -
    2016
    Institution name：新潟大学

  • 確率論

    2014
    -
    2016
    Institution name：新潟大学

  • 計算機概論

    2014
    Institution name：新潟大学

  • 計算機概論実習

    2013
    -
    2023
    Institution name：新潟大学

  • 数理科学文献詳読Ⅱ(数学)

    2013
    -
    2015
    Institution name：新潟大学

  • 数理科学セミナーⅡ(数学)

    2013
    -
    2015
    Institution name：新潟大学

  • 知能システム論

    2013
    -
    2015
    Institution name：新潟大学

  • 数理物質科学特定研究Ⅱ(数学)

    2013
    -
    2015
    Institution name：新潟大学

  • 数理科学セミナーⅠ(数学)

    2013
    -
    2014
    Institution name：新潟大学

  • 数理科学研究発表演習〔中間発表〕(数学)

    2013
    -
    2014
    Institution name：新潟大学

  • 数理科学文献詳読Ⅰ(数学)

    2013
    -
    2014
    Institution name：新潟大学

  • 数理物質科学特定研究Ⅰ(数学)

    2013
    -
    2014
    Institution name：新潟大学

  • 数理科学研究発表演習〔外部発表〕(数学)

    2013
    Institution name：新潟大学

  • 日本事情自然系A

    2010
    -
    2018
    Institution name：新潟大学

  • スタディ・スキルズ(数学学習法)

    2009
    -
    2014
    Institution name：新潟大学

  • 数学英語

    2009
    -
    2012
    Institution name：新潟大学

  • 安全教育

    2009
    Institution name：新潟大学

  • 数学講究

    2008
    Institution name：新潟大学

  • 基礎ゼミIII

    2008
    Institution name：新潟大学

  • 線形代数学と微分積分学の基礎

    2008
    Institution name：新潟大学

  • 応用統計学概論

    2007
    Institution name：新潟大学

  • 応用統計学特論

    2007
    Institution name：新潟大学

  • 統計学基礎

    2007
    -
    2016
    Institution name：新潟大学

  • 情報管理学

    2007
    -
    2013
    Institution name：新潟大学

  • 情報統計学

    2007
    -
    2012
    Institution name：新潟大学

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