Zobrazeno 1 - 10
of 12
pro vyhledávání: '"Hideatsu Tsukahara"'
Publikováno v:
Pioneering Works on Extreme Value Theory ISBN: 9789811607677
The empirical beta copula is a simple but effective smoother of the empirical copula. Because it is a genuine copula, from which it is particularly easy to sample, it is reasonable to expect that resampling procedures based on the empirical beta copu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e9ffd63f3e2c88b0c0dcfb678f768c66
https://doi.org/10.1007/978-981-16-0768-4_2
https://doi.org/10.1007/978-981-16-0768-4_2
Publikováno v:
Journal of Multivariate Analysis. 155:35-51
Given a sample from a multivariate distribution $F$, the uniform random variates generated independently and rearranged in the order specified by the componentwise ranks of the original sample look like a sample from the copula of $F$. This idea can
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5fa73d77c4c82ef60346570532f258b2
https://doi.org/10.1016/j.jmva.2016.11.010
https://doi.org/10.1016/j.jmva.2016.11.010
Autor:
Hideatsu Tsukahara
Publikováno v:
Journal of Financial Econometrics. 12:213-235
For the class of distortion risk measures, a natural estimator has the form of L-statistics. In this article, we investigate the large sample properties of general L-statistics based on weakly dependent data and apply them to our estimator. Under cer
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bd84c95b66d49fb2e38811458dc5bdfd
https://doi.org/10.1093/jjfinec/nbt005
https://doi.org/10.1093/jjfinec/nbt005
Autor:
Hideatsu Tsukahara
Publikováno v:
Mathematical Finance. 19:691-705
This paper introduces parametric families of distortion risk measures, investigates their properties, and discusses their use in risk management. Their derivation is based on Kusuoka's representation theorem of law invariant and comonotonically addit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::564ee525d21ca7c458f7733ae71995be
https://doi.org/10.1111/j.1467-9965.2009.00385.x
https://doi.org/10.1111/j.1467-9965.2009.00385.x
Autor:
Hideatsu Tsukahara
Publikováno v:
Canadian Journal of Statistics. 33:357-375
The author recalls the limiting behaviour of the empirical copula process and applies it to prove some asymptotic properties of a minimum distance estimator for a Euclidean parameter in a copula model. The estimator in question is semiparametric in t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5c40eb4446cd625135a65f5b4b2bb652
https://doi.org/10.1002/cjs.5540330304
https://doi.org/10.1002/cjs.5540330304
Autor:
Hideatsu Tsukahara
Publikováno v:
Japanese journal of applied statistics. 32:77-88
Copulas have recently been of great interest to statisticians as well as financial econometricians since they give a promising, flexible tool for understanding dependence among random variables, and for modeling and simulating nonnormal multivariate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fd71f264e4085ad96d96e4b0bdea38ec
https://doi.org/10.5023/jappstat.32.77
https://doi.org/10.5023/jappstat.32.77
Autor:
Hideatsu Tsukahara
Publikováno v:
TEST. 20:287-289
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1555a1a16c9cfd2b2344a000b67da0b7
https://doi.org/10.1007/s11749-011-0257-z
https://doi.org/10.1007/s11749-011-0257-z
Autor:
Hideatsu Tsukahara
Publikováno v:
Annals of the Institute of Statistical Mathematics. 44:313-333
We consider the transformation model which is a generalization of Lehmann alternatives model. This model contains a parameter 0 and a nonparametric part F1 which is a distribution function. We propose a kind of M-estimator of 8 based on ranks in the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::822557278e34b21f575c02a773c3cfac
https://doi.org/10.1007/bf00058643
https://doi.org/10.1007/bf00058643
Autor:
Hideatsu Tsukahara
Publikováno v:
Advance in Mathematical Economics ISBN: 9784431929345
We give a simplified proof of the fact that law invariant convex risk mea sures automatically have Fatou property, which is first shown by Jouini et al. (Adv. Math. Econ. 9:49–71, 2006). After providing a streamlined proof of Kusuoka's rep resentat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5b9f17a19f4c088adcb0e53ff4e27990
https://doi.org/10.1007/978-4-431-92935-2_6
https://doi.org/10.1007/978-4-431-92935-2_6
Autor:
Hideatsu Tsukahara
Publikováno v:
Illinois J. Math. 51, no. 4 (2007), 1231-1242
We study and characterize laws of measurable processes and their convergence with general state space and parameter set. Using those results, it is shown that convergence of the prediction processes implies that of the given processes. We also give a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6bb81115f65a5106707128d4f4c9481e
https://doi.org/10.1215/ijm/1258138540
https://doi.org/10.1215/ijm/1258138540