Hiroaki Ogata
School of Business Administration
Faculty of Urban Liberal Arts
Tokyo Metropolitan University
1-1, Minami-Osawa, Hachioji, Tokyo, 192-0397, Japan
Contact Details
NAME : Hiroaki OGATA
E-MAIL : hiroakiogatatmu.ac.jp
Education
2004-2007 : Ph. D. in Mathematical Sciences, Waseda University
2002-2004 : M.A. in Mathematical Sciences, Waseda University
1998-2002 : B.S. in Mathematical Sciences, Waseda University
Employment
2014-Present : Associate Professor in the School of Business Administration, Faculty
of Urban Liberal Arts, Tokyo Metropolitan University, Japan
2011-2014 : Assistant Professor in the School of International Liberal Studies, Waseda University, Japan
2009-2011 :
Assistant Professor in the School of Business Administration, Faculty
of Urban Liberal Arts, Tokyo Metropolitan University, Japan
2007-2009 : Research Associate in the School of International Liberal Studies, Waseda University, Japan
Research Interests
Time series
analysis, Empirical likelihood method, Copulas, Stable distributions.
Directional statistics, Financial engineering.
Books
- Taniguchi, M., Amano, T., Ogata, H. & Taniai, H. (2014). Statistical inference for financial engineering. SpringerBriefs in Statistics.
Published Papers
- Ogata, H. (2005). Empirical likelihood approach for non Gaussian stationary processes. Scientiae Mathematicae Japonicae, 62, No.3, 429-438, :e2005, 465-474.
- Taniguchi, M., Shiraishi, H. & Ogata, H. (2007). Improved estimation for the autocovariances of a Gaussian stationary process. Statistics, 41, Issue.4, 269-277. doi: 10.1080/02331880701270515
- Ogata, H. & Taniguchi, M. (2009). Cressie-Read power-divergence statistics for non-Gaussian vector stationary processes. Scandinavian Journal of Statistics 36, 141-156. doi: 10.1111/j.1467-9469.2008.00618.x
- Taniguchi, M., Ogata, H. & Shiraishi, H. (2009). Preliminary test estimation for regression models with long-memory disturbance. Communications in Statistics -Theory and Methods- 38, Issue 16 & 17, 3213-3224. doi:10.1080/03610920902947741
- Kanai, H., Ogata, H. & Taniguchi, M. (2010). Estimating function approach for CHARN models. Metron, 68, n-1, 1-21. doi: 10.1007/BF03263521
- Ogata, H. &
Taniguchi, M. (2010). An empirical likelihood approach for non-Gaussian
vector stationary processes and its application to minimum contrast
estimation. Australian and New Zealand Journal of Statistics, 52, No.4, 451-468. doi: 10.1111/j.1467-842X.2010.00585.x
- Ogata, H. (2010). Empirical likelihood estimation for a class of stable processes. Journal of the Japan Statistical Society, 40, No.2, 207-219.
- Shiraishi, H., Ogata, H., Amano, T., Patilea, V., Veredas, D. & Taniguchi, M. Optimal portfolios with end-of-period target. (2012) Advances in Decision Sciences, 2012, Article ID 703465, 13pages. doi:10.1155/2012/703465
- Ogata, H. Estimation for non-Gaussian locally stationary processes with empirical likelihood method. (2012). Advances in Decision Sciences, 2012, Article ID 704693, 22pages. doi:10.1155/2012/704693
- Ogata, H. Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood. (2012). Advances in Decision Sciences, 2012, Article ID 973173, 8pages. doi:10.1155/2012/973173
- Dominicy, Y., Hörmann, S., Ogata, H. & Veredas, D. (2013). On sample marginal quantiles for stationary processes. Statistics and Probability Letters, 83, Issue.1, 28-36. doi:10.1016/j.spl.2012.07.016
- Ogata, H. Estimation for multivariate stable distributions with generalized empirical likelihood. (2013). Journal of Econometrics, 172, Issue.2, 248-254. doi: 10.1016/j.jeconom.2012.08.017
- Dominicy, Y., Ogata, H. & Veredas, D. Inference for vast dimensional elliptical distributions. (2013). Computational Statistics. 28, Issue.4, 1853-1880. doi: 10.1007/s00180-012-0384-3
- Ogata, H. (2014). Estimation of autocopulas. ASTE, Research Institute for Science and Engineering, Waseda University, Special Issue "Financial and Pension Mathematical Science" : Editor, M. Taniguchi. 10, 19-24.
- Mohammadi, M., Mohammadpour, A. & Ogata, H. On estimating the tail index and the spectral measure of multivariate alpha-stable distributions. Metrika. Forthcoming. doi: 10.1007/s00184-014-0515-7
Proceedings
- Estimation for multivariate stable distributions. RIMS Kokyuroku, 1758, 100-108 (2011).
- Application of empirical likelihood method to time series model. RIMS Kokyuroku, 1621, 88-103 (2009).
- Conditional confidence intervals for a location-scale parameter family of distributions (with Masafumi Akahira). RIMS Kokyuroku, 1380, 80-93 (2004).
Links
Tokyo Metropolitan University
Last update : 30 November, 2014
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