TANIGUCHI, Masanobu


TANIGUCHI, Masanobu

J-GLOBAL         Last updated: Nov 28, 2019 at 02:57
 
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Name
TANIGUCHI, Masanobu
E-mail
taniguchiwaseda.jp
Affiliation
Waseda University
Section
Faculty of Science and Engineering School of Fundamental Science and Engineering
Job title
Professor
Degree
Doctor of Engineering
Research funding number
00116625

Education

 
 
 - 
1974
Mathematics, Faculty of Science, Osaka University
 

Awards & Honors

 
Sep 2012
Analysis Award
 
Sep 2004
Japan Statistical Society Prize
 
2000
Econometric Theory Award
 
1989
Ogawa Prize
 

Published Papers

 
Asymptotics of realized volatility with non-Gaussian ARCH(infty) microstructure noise
Taniai, H., Usami, T., Suto, N. and Taniguchi, M.
J. Financial Econometrics   10 617-636   2012
Robust portfolio estimation under skew-normal return processes
Taniguchi, M., Petkovic, A., Kase, T., DiCiccio, T.J. and Monti, A.C.
The European Journal of Finance   iFirst 1-22   2012
Jackknifed Whittle estimators
Taniguchi, M., Tamaki, K., DiCiccio, T.J. and Monti, A.C.
Statistica Sinica   22(3) 1287-1304   2012
Generalized information criterion
Taniguchi, M. and Hirukawa, J.
J.Time Series Analysis   33 287-297   2012
Control variate method for stationary processes
Amano, T. and Taniguchi, M.
J. Econometrics   165 20-29   2011

Books etc

 
Optimal Statistical Inference in Financial Engineering
Taniguchi, M., Hirukwa, J. and Tamaki, K.
Chapman & Hall   2008   ISBN:1-58488-591-2
数理統計・時系列・金融工学
谷口 正信
朝倉   2005   

Research Grants & Projects

 
Introduction of general causality to various observations and the innovation for its optimal statistical inference
Project Year: Jun 2018 - Mar 2023
Shrinkage Estimation Theory for Unbiased Estimators of Dependent Observations
Project Year: Apr 2014 - Mar 2017
Introducing a curved probability model,which includes a class of very general nonlinear time series models,we proposed a shrinkage estimator for unknown parameter of the curved probability models. Then we developed the third-order asymptotic estim...
Asymmetric and nonlinear statistical theory and its applications to economics and bioscience
Project Year: Apr 2011 - Mar 2015
We investigated a class of very general stochastic processes with nonlinear dynamics and asymmetric innovation distributions, which can be applied to a varitety of fields e.g., economics, finance, bionics, natural phenomenon etc., as a paradigm mo...
Developments of mathematical statistics through computational algebraic methods
Project Year: Apr 2010 - Mar 2014
In this project we obtained many important results. The most notable one is the success of the second Institute of Mathematical Statistics Pacific Rim Meeting, held in Tsukuba City during July 1-4 of 2012. The principal investigator of thi...
Project Year: 2007 - 2010
Mathematical models that describe random phenomena depending on past, present and future are called stochastic processes. In this research we established statistically optimal estimation theory for general stochastic processes, and applied the the...