About my research
My current research interests are mainly in the statistical analysis of non-stationary discrete stochastic processes. In particular, I am working on statistical sequential analysis to detect non-stationary states such as bubbles and booms, when economic, financial, and social phenomena time series are monitored. For example, when stationary or unit-root time series are observed online, we consider employing stopping times to detect the explosive states.
Selected publications
“Sequential test for a unit root in monitoring a p-th order autoregressive process,” with Kohtaro Hitomi, Keiji Nagai, and Yoshihiko Nishiyama. Accepted by Advances in Econometrics: Essays in Honor of Joon Y. Park, forthcoming.
“Joint Asymptotic Properties of Stopping Times and Sequential Estimators for Stationary First-order Autoregressive Models,” with Kohtaro Hitomi, Keiji Nagai, and Yoshihiko Nishiyama. KIER Discussion Paper Series, No. 1060 (2021).
” Sequential test for unit root in first-order autoregressive model,” with Kohtaro Hitomi, Keiji Nagai, and Yoshihiko Nishiyama, working paper.
” Sequential criticality test for branching process with immigration,” with Kohtaro Hitomi, Keiji Nagai, and Yoshihiko Nishiyama, working paper (An earlier version of this paper was reported at the 63rd ISI World Statistics Congress 2021 and awarded the ISI Tokyo Memorial Award).