Shiohama Takayuki 塩濱敬之

… Alternative Names

SHIOHAMA Takayuki 塩浜孝之

塩浜敬之シオハマタカユキ

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Researcher Number	40361844
Other IDs
External Links
Affiliation (Current)	2023: 南山大学, 理工学部, 教授
Affiliation (based on the past Project Information) *help	2021 – 2022: 南山大学, 理工学部, 教授 2016 – 2020: 東京理科大学, 工学部情報工学科, 准教授 2015: 東京理科大学, 工学部, 准教授 2014: 東京理科大学, 工学部, 講師 2010: 東京理科大学, 工学部, 講師 2004 – 2005: 一橋大学, 経済研究所, 講師
Review Section/Research Field	Principal Investigator Basic Section 60030:Statistical science-related / Basic Section 07060:Money and finance-related / Money/ Finance / Economic statistics Except Principal Investigator General mathematics (including Probability theory/Statistical mathematics)
Keywords	Principal Investigator 複雑ネットワーク / 空間統計学 / 方向統計学 / ポートフォリオ最適化 / データサイエンス / 資本資産価格モデル / 計量ファイナンス / 時系列解析 / ネットワークモデル / 高次元時系列解析 … More / リスク管理 / ファクター投資 / 信用デリバティブ評価 / 空間不平等性 / 推薦システム / 統計的推測理論 / 日本国債イールド / Vasicekモデル / ファクターモデル / 構造型アプローチ / ハル・ホワイト・モデル / 漸近展開 / 混合分布モデル / 与信ポートフォリオ管理 / 信用リスク / 金利デリバティブ / ベイズ推定 / 金融リスク評価 / 金利の期間構造 / 金利派生商品 / 確率展開 / 信用リスク計測 / 確率金利モデル / spectral density / sequential procedure / stopping rule / parameter estimation / asymptotic consistency / asymptotic efficiency / linear process / time series regression / 共和分分析 / 漸近有効性 / 構造変化 / GARCHモデル … More Except Principal Investigator 医学統計 / 計算機統計学 / 大偏差原理 / 非母数解析 / 順位統計量 / 金融工学 / 経験尤度解析 / 計量ファイナンス / 統計的漸近理論 / 確率解析 / 統計解析 / 非対称分布 / 多変量解析 / 非母数統計解析 / 漸近最適性 / 金融時系列 / 統計推測 Less

Statistical Analysis on Geometric Manifold and its Application to Data SciencePrincipal Investigator
- Principal Investigator
  
  塩濱敬之
- Project Period (FY)
  2022 – 2025
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 60030:Statistical science-related
- Research Institution
  Nanzan University
幾何情報を利用したネットワーク時系列モデルの統計的推測理論と金融市場分析Principal Investigator
- Principal Investigator
  
  塩濱敬之
- Project Period (FY)
  2018 – 2022
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Nanzan University
  Tokyo University of Science
Asymptotic expansion for the discretely observed interest rate models and its applications to interest rate derivatives pricingPrincipal Investigator
- Principal Investigator
  
  Shiohama Takayuki
- Project Period (FY)
  2014 – 2017
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Money/ Finance
- Research Institution
  Tokyo University of Science
Theory and Applications for Mathematical Methods in Statistical Science
- Principal Investigator
  
  TANIGUCHI Masanobu
- Project Period (FY)
  2007 – 2010
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  General mathematics (including Probability theory/Statistical mathematics)
- Research Institution
  Waseda University
時系列の構造変化点の推定とその漸近最適性Principal Investigator
- Principal Investigator
  
  塩浜敬之
- Project Period (FY)
  2004 – 2005
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University

[Book] On some flexible models for circular, toroidal, and cylindrical data (Directional Statistics for Innovative Applications2022
- Author(s)
  Abe. T., Imoto, T., Shiohama., T., and Miyata, Y. (SenGupta and Arnold: Eds)
- Publisher
  Springer
- ISBN
  9789811910432
- Data Source
  KAKENHI-PROJECT-18K01706
[Book] Credit portfolio risk evaluation with non-Gaussian one-factor Merton models and its application to CDO pricing in "Data Analysis and Applications 4"2020
- Author(s)
  T. Fujii and T. Shiohama
- Publisher
  iSTE Wiley
- ISBN
  9781786306241
- Data Source
  KAKENHI-PROJECT-18K01706
[Book] Data Analysis and Applications 4 - Financial Data Analysis and Methods (Ch.2) Credit portfolio risk evaluation with non-Gaussian one-factor Merton models and its application to CDO pricing in "Data Analysis and Applications 4"2020
- Author(s)
  T. Fujii and T. Shiohama
- Publisher
  iSTE Wiley
- ISBN
  9781786306241
- Data Source
  KAKENHI-PROJECT-18K01706
[Book] 理工系の基礎情報工学　６章「モンテカルロ法とデータサイエンス」2018
- Author(s)
  塩濱敬之・佐藤寛之
- Total Pages
  292
- Publisher
  丸善出版
- ISBN
  9784621302859
- Data Source
  KAKENHI-PROJECT-26380401
[Journal Article] Topic model-based recommender systems and their applications to cold-start problems2022
- Author(s)
  T. Kawai, H. Sato, and T. Shiohama
- Journal Title
  
  Expert Systems with Applications
  
  Volume: Online Published Pages: 117129-117129
- DOI
  10.1016/j.eswa.2022.117129
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K01706
[Journal Article] Land price polarization and dispersion in Tokyo: a spatial model approach2022
- Author(s)
  Y. Kanno and T. Shiohama
- Journal Title
  
  Asia-Pacific Journal of Regional Science
  
  Volume: Online Published Issue: 2 Pages: 807-835
- DOI
  10.1007/s41685-021-00221-8
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K01706
[Journal Article] 多様体上の時系列解析2021
- Author(s)
  塩濱敬之
- Journal Title
  
  理大科学フォーラム: 東京理科大学科学教養雑誌
  
  Volume: 39号3巻 Pages: 24-30
- Data Source
  KAKENHI-PROJECT-18K01706
[Journal Article] 地理的加重回帰モデルによる東京都公示地価の分析とその推定値の経年変化について2021
- Author(s)
  菅野雄太, 塩濱敬之
- Journal Title
  
  統計研究彙報
  
  Volume: 第78号 Pages: 55-74
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K01706
[Journal Article] Bayesian estimation for mode and anti-mode preserving circular distributions2021
- Author(s)
  T. Abe, Y. Miyata, and T. Shiohama
- Journal Title
  
  Econometrics and Statistics
  
  Volume: - Pages: 136-160
- DOI
  10.1016/j.ecosta.2021.03.004
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K01706, KAKENHI-PROJECT-19K11863, KAKENHI-PROJECT-19K11869, KAKENHI-PROJECT-19KK0287
[Journal Article] 東京都公示地価の普遍型クリギングにおける空間バリオグラムの経年変化について2020
- Author(s)
  菅野雄太, 塩濱敬之
- Journal Title
  
  応用統計学
  
  Volume: 49巻2号 Issue: 2 Pages: 47-69
- DOI
  10.5023/jappstat.49.47
- NAID
  130007953791
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K01706
[Journal Article] Constructing inverse factor volatility portfolios: A risk-based asset allocation for factor investing2020
- Author(s)
  H. Shimizu and T. Shiohama
- Journal Title
  
  International Review of Financial Analysis
  
  Volume: - Pages: 101438-101438
- DOI
  10.1016/j.irfa.2019.101438
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K01706
[Journal Article] 円柱データの確率分布と隠れマルコフモデルについて2020
- Author(s)
  塩濱敬之, 宮田庸一, 阿部俊弘
- Journal Title
  
  京都大学数理解析研究所講究録
  
  Volume: 2157巻 Pages: 39-51
- Data Source
  KAKENHI-PROJECT-18K01706
[Journal Article] Estimation of finite mixture models of skew-symmetric circular distributions2020
- Author(s)
  Y. Miyata, T. Shiohama, and T. Abe
- Journal Title
  
  Metrika
  
  Volume: 83 Issue: 8 Pages: 895-922
- DOI
  10.1007/s00184-019-00756-z
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K01706, KAKENHI-PROJECT-19K11863, KAKENHI-PROJECT-19K11869, KAKENHI-PROJECT-19KK0287
[Journal Article] Multifactor portfolio construction by factor risk parity strategies: An empirical comparison of global stock markets2019
- Author(s)
  Shimizu, H. and Shiohama, T.
- Journal Title
  
  Asia-Pacific Financial Analysis
  
  Volume: 印刷中 Issue: 4 Pages: 453-477
- DOI
  10.1007/s10690-019-09274-4
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K01706
[Journal Article] 正弦関数に基づく非対称な円周分布の推定理論における諸問題について2019
- Author(s)
  宮田庸一, 塩濱敬之, 阿部俊弘
- Journal Title
  
  数理解析研究所講究録
  
  Volume: 2124 Pages: 28-43
- Data Source
  KAKENHI-PROJECT-18K01706
[Journal Article] 日本株式市場におけるファクター・リスクパリティ・ポートフォリオの実践2018
- Author(s)
  清水英彦・塩濱敬之
- Journal Title
  
  証券アナリストジャーナル
  
  Volume: 5
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26380401
[Journal Article] 非対称な円周分布による有限混合分布とその推定について2018
- Author(s)
  宮田陽一・阿部俊弘・塩濱敬之
- Journal Title
  
  数理解析研究所講究録
  
  Volume: 2091 Pages: 96-115
- Data Source
  KAKENHI-PROJECT-18K01706
[Journal Article] 日本株式市場におけるファクター・リスクパリティ・ポートフォリオの実践2018
- Author(s)
  清水英彦・塩濱敬之
- Journal Title
  
  証券アナリストジャーナル
  
  Volume: 56 Pages: 66-75
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K01706
[Journal Article] Circular autocorrelation of stationary circular Markov processes2017
- Author(s)
  Abe, T., Ogata, H., Shiohama, T., and Taniai, H.
- Journal Title
  
  Stochastic Process and Statistical Inference
  
  Volume: 印刷中 Issue: 3 Pages: 275-290
- DOI
  10.1007/s11203-016-9154-0
- Peer Reviewed / Acknowledgement Compliant / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380401, KAKENHI-PROJECT-26870655, KAKENHI-PROJECT-15K21433, KAKENHI-PROJECT-15K17593
[Journal Article] Bootstrap Estimation and Model Selection for Multivariate Normal Mixtures using Parallel Computing with Graphics Processing Units2017
- Author(s)
  Iida, M., Miata, Y., and Shiohama, T.
- Journal Title
  
  Communications in Statistics - Simulation and Computation
  
  Volume: 印刷中 Issue: 5 Pages: 1326-1342
- DOI
  10.1080/03610918.2017.1311916
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26380401
[Journal Article] Supervised-topic-model-based hybrid filtering for recommender systems2017
- Author(s)
  Kawai, Mimu., Shiohama, Takayuki, and Sato, Hiroyuki.
- Journal Title
  
  Proceedings of the 2nd International Conference on Big Data, Cloud Computing, Data Science & Engineering
  
  Volume: - Pages: 272-277
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26380401
[Journal Article] Structural Credit Risks with Non-Gaussian and Serially Correlated Innovations2016
- Author(s)
  Kawada, A. and Shiohama, T.
- Journal Title
  
  American Journal of Mathematical and Management Sciences
  
  Volume: 35 Issue: 2 Pages: 143-158
- DOI
  10.1080/01966324.2015.1126208
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26380401
[Journal Article] Financial News Classification based on Topographic Independent Component Analysis: Optimization on the Stiefel Manifold2016
- Author(s)
  Kitao, A., Shiohama, T., and Sato, H.
- Journal Title
  
  Stochastic and Data Analysis Methods and Applications in Statistics and Demography
  
  Volume: - Pages: 449-462
- Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26380401
[Journal Article] Asymptotic expansion of one-factor Merton models with non-Gaussian and serially correlated innovations2016
- Author(s)
  Shiohama, T.
- Journal Title
  
  JSM Proceedings, Business and Economic Section.
  
  Volume: - Pages: 2604-2615
- Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26380401
[Journal Article] Expected Shortfall Estimation via Importance Sampling GARCH Predictive Distribution2016
- Author(s)
  Nakajima, K. and Shiohama, T.
- Journal Title
  
  Stochastic and Data Analysis Methods and Applications in Statistics and Demography
  
  Volume: - Pages: 165-176
- Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26380401
[Journal Article] Estimating Multi-Factor Discretely Observed Vasicek Term Structure Models with non-Gaussian Innovations2015
- Author(s)
  Takayuki Shiohama
- Journal Title
  
  Proceedings of SMTDA
  
  Volume: -
- Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26380401
[Journal Article] Multi-Factor Discretely Observed Vasicek Term Structure Models with non-Gaussian Innovations and Its Applications to the Japanese Government Bond Markets2014
- Author(s)
  Takayuki Shiohama
- Journal Title
  
  JSM Proceedings, Business and Economic Statistics Section
  
  Volume: - Pages: 2853-2861
- Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26380401
[Journal Article] Dynamic portfolio optimization using generalized dynamic conditional heteroskedastic factor models2010
- Author(s)
  Shiohama T., Hallin M., Veredas D., Taniguchi M.
- Journal Title
  
  J.Japan Statist.Soc. Vol.40
  
  Pages: 145-166
- NAID
  10026983631
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19204009
[Journal Article] Dynamic portfolio optimization using generalized dynamic conditional heteroskedastic factor models2010
- Author(s)
  Shiohama, T., Hallin, M., Veredas, D., Taniguchi, M.
- Journal Title
  
  J.Japan Statist.Soc.
  
  Volume: 40 Pages: 145-166
- NAID
  10026983631
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19204009
[Journal Article] 日本の株式収益率に対する構造変化を伴うボラティリティ変動モデルによる分析2006
- Author(s)
  塩濱敬之
- Journal Title
  
  経済研究 57巻・1号
  
  Pages: 58-71
- NAID
  120003802852
- Data Source
  KAKENHI-PROJECT-16730111
[Journal Article] Asymptotically efficient estimation of the change point for semiparametric GARCH models2006
- Author(s)
  Takayuki Shiohama
- Journal Title
  
  Institute of Economic Research Discussion Paper Series A-471
  
  Pages: 1-23
- Data Source
  KAKENHI-PROJECT-16730111
[Journal Article] Fixed size confidence regions for parameters of stationary processes based on a minimum contrast estimator2005
- Author(s)
  Shiohama, T.
- Journal Title
  
  PIE Discussion Paper Series 243
  
  Pages: 1-19
- Data Source
  KAKENHI-PROJECT-16730111
[Journal Article] Sequential estimation for time series regression models2004
- Author(s)
  Shiohama, T., Taniguchi, M
- Journal Title
  
  Journal of Statistical Planning and Inference 123
  
  Pages: 257-284
- Data Source
  KAKENHI-PROJECT-16730111
[Journal Article] Asymptotic efficient estimation of the change point in time series regression models2004
- Author(s)
  Shiohama, T.
- Journal Title
  
  PIE Discussion Paper Series 209
  
  Pages: 1-19
- Data Source
  KAKENHI-PROJECT-16730111
[Presentation] Topological data analysis based classification in time series2022
- Author(s)
  T. Shiohama
- Organizer
  Waseda International SymposiumTopological Data Science, Causality, Analysis of Variance & Time Series
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] Finite Mixtures of Disc Distribution and Its Applications to Image Recognition2022
- Author(s)
  S. Maki and T. Shiohama
- Organizer
  IASC-ARS2022
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] Geographically Weighted Regression for Official Land Prices and Their Temporal Variation in Tokyo2021
- Author(s)
  Y. Kanno and T. Shiohama
- Organizer
  ASMDA2021
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] Topological data analysis based classification and anomaly detection in time series2021
- Author(s)
  T. Shiohama
- Organizer
  Waseda Cherry Blossom Workshop on Topological Data Science
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] Some recent developments in time-series modeling for cylindrical data2020
- Author(s)
  T. Shiohama
- Organizer
  RIMS共同研究「統計的モデルの新展開」
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] Bootstrap estimation for rating based network centrality measures2020
- Author(s)
  Y. Kuroki and T. Shiohama
- Organizer
  NETSCIX 2020 (International school and Conference on Network Science)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] Non-stationary time series classfication using topological data analysis2020
- Author(s)
  T. Shiohama
- Organizer
  Statistical Topological Data Analysis Workshop at King Abdullah University of Science and Technology (KAUST)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] Non-stationary time series classfication using topological data analysis2019
- Author(s)
  Y. Kuroki and T. Shiohama
- Organizer
  科学研究費・基盤研究(A)(課題番号:15H01678) シンポジウム「統計的推測および確率解析に関する総合的研究」
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] Risk-based asset allocation strategies for facror investing2019
- Author(s)
  T.Shiohama
- Organizer
  National Sun Yat-sen University-Waseda International Symposium
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] レーティング手法を用いたネットワーク中心性の構築とその統計的性質2019
- Author(s)
  Y. Kuroki and T. Shiohama
- Organizer
  科学研究費・基盤研究(A)(課題番号:15H01678)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」
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] A multi-factor modelling for retail demand forecasting: An empirical analysis of restaurant visitors prediction2019
- Author(s)
  Y. Kuroki and T. Shiohama
- Organizer
  62nd ISI World Statistics Congress
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] Maximum likelihood estimation for hidden Markov models with cylindrical distributions2019
- Author(s)
  T. Kotsubo and T. Shiohama
- Organizer
  科学研究費・基盤研究(A)(課題番号:15H01678) シンポジウム「統計的推測および確率解析に関する総合的研究」
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] Testing symmetry of a mode and anti-mode preserving distribution on the circle2019
- Author(s)
  T. Shiohama, T. Abe, and Y. Miyata
- Organizer
  3rd International Confrence on Econometrics and Statistics (EcoSta 2019)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] 正弦関数に基づく非対称な円周分布の推定理論における諸問題について2019
- Author(s)
  宮田陽一・阿部俊弘・塩濱敬之
- Organizer
  京都大学数理解析研究所 RIMS共同研究会
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] Hidden Markov models for cylindrical data and its application for animal mocement analysis2019
- Author(s)
  T. Kotsubo and T. Shiohama
- Organizer
  科学研究費・基盤研究(A)(課題番号:15H01678)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」
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] Some recent developments in time-series modeling for cylindrical data2019
- Author(s)
  T. Shiohama
- Organizer
  National Cheng Kung University-Waseda International Symposium
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] 位相的データ解析を用いた非定常時系列の変動特性の可視化とクラスタリング2018
- Author(s)
  黒木裕鷹・塩濱敬之
- Organizer
  統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] The mixture transition distribution modeling for higher order circular Markov processes2018
- Author(s)
  H. Ogata and T. Shiohama
- Organizer
  11th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2018)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] Adaptive estimation for mode and anti-mode preserving distribution on the circle2018
- Author(s)
  T. Shiohama
- Organizer
  11th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2018)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] The mixture transition distribution modeling for higher order circular Markov processes2018
- Author(s)
  H. Ogata and T. Shiohama
- Organizer
  2nd International Conference on Econometrics and Statistics (EcoSta 2018)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] Circular time series analysis based on the projected normal distribution2018
- Author(s)
  T. Shiohama, T. Kotsubo, H. Ogata
- Organizer
  2nd International Conference on Econometrics and Statistics (EcoSta 2018)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] Constructing Inverse Factor Volatility Portfolios: A Risk-Based Asset Allocation Approach for Factor Investing2018
- Author(s)
  H. Shimizu and T. Shiohama
- Organizer
  Paris Financial Management Conference 2018
- Invited
- Data Source
  KAKENHI-PROJECT-18K01706
[Presentation] Asymptotically optimal inference for two modal concentration of antipodally symmetric circular distributions2017
- Author(s)
  Abe, T., Ogata, H., T. Shiohama, and Taniai, H.
- Organizer
  1st International Conference on Econometrics and Statistics (EcoSta 2017)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380401
[Presentation] Bayesian estimation of the default rate distributions with non-Gaussian single factor models2017
- Author(s)
  T. Shiohama
- Organizer
  Joint Statistical Meeting 2017
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380401
[Presentation] Bayesian estimation for the inverse Batschelet distributions on the circle2017
- Author(s)
  Abe, T., Miyata, Y., and T. Shiohama
- Organizer
  1st International Conference on Econometrics and Statistics (EcoSta 2017)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380401
[Presentation] Asymptotic expansion of one-factor Merton models with non-Gaussian and serially correlated innovations2016
- Author(s)
  Shiohama, T.
- Organizer
  Joint Statistical Meeting 2016
- Place of Presentation
  McCormick Place, Chicako, U.S.
- Year and Date
  2016-07-29
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380401
[Presentation] Non-linear State-Space Modeling for Wind Speed and Direction2016
- Author(s)
  Shiohama, T.
- Organizer
  The 9th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics) 2016
- Place of Presentation
  University of Seville, Spain
- Year and Date
  2016-12-09
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380401
[Presentation] Evaluating Interest Rate Derivatives with Discretely Observed non-Gaussian Hull-White Models2015
- Author(s)
  Shiohama, T.
- Organizer
  Joint Statistical Meetings 2015
- Place of Presentation
  Seattle
- Year and Date
  2015-08-09
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380401
[Presentation] 離散時間確率金利モデルの漸近展開と金利派生商品の価格付け2014
- Author(s)
  塩濱敬之
- Organizer
  金融数理および年金数理研究セミナー
- Place of Presentation
  早稲田大学
- Year and Date
  2014-05-28
- Data Source
  KAKENHI-PROJECT-26380401
[Presentation] 複数の閾値を持つ短期金利モデルのパラメータ推定方法とその漸近有効性2009
- Author(s)
  本田哲弘、塩浜敬之
- Organizer
  統計関連学会連合大会
- Place of Presentation
  同志社大学
- Year and Date
  2009-09-07
- Data Source
  KAKENHI-PROJECT-19204009
[Presentation] Empirical likelihood ratio test of the change-point problem for stationary processes2009
- Author(s)
  庄司直史、小方浩明、玉置健一郎、塩浜敬之
- Organizer
  統計関連学会連合大会
- Place of Presentation
  同志社大学
- Year and Date
  2009-09-06
- Data Source
  KAKENHI-PROJECT-19204009
[Presentation] 一般化パレート分布混合モデルのMCMCベイズ推定:バリュー・アット・リスク計算への応用2009
- Author(s)
  高山俊則・塩濱敬之・河村智之
- Organizer
  統計関連学会連合大会
- Place of Presentation
  同志社大学
- Year and Date
  2009-09-07
- Data Source
  KAKENHI-PROJECT-19204009
[Presentation] コピュラを用いたポートフォリオの信用リスク評価2009
- Author(s)
  川田章広・塩濱敬之
- Organizer
  統計関連学会連合大会
- Place of Presentation
  同志社大学
- Year and Date
  2009-09-06
- Data Source
  KAKENHI-PROJECT-19204009
[Presentation] 複数の闡値を持つ短期金利モデルのパラメータ推定方法とその漸近有効性2009
- Author(s)
  本田哲弘・塩濱敬之
- Organizer
  統計関連学会連合大会
- Place of Presentation
  同志社大学
- Year and Date
  2009-09-07
- Data Source
  KAKENHI-PROJECT-19204009
[Presentation] Empirical LikelihoodRatio Test of the Change-Point Problem for Stationary Processes2009
- Author(s)
  庄司直史・小方浩明・玉置健一郎・塩濱敬之
- Organizer
  統計関連学会連合大会
- Place of Presentation
  同志社大学
- Year and Date
  2009-09-06
- Data Source
  KAKENHI-PROJECT-19204009
[Presentation] Multi-Factor Discretely Observed Vasicek Term Structure Models with non-Gaussian Innovations and Its Applications to the Japanese Government Bond Markets
- Author(s)
  Takayuki Shiohama
- Organizer
  2014 Joint Statistical Meeting
- Place of Presentation
  Boston, MA, USA
- Year and Date
  2014-08-02 – 2014-08-07
- Data Source
  KAKENHI-PROJECT-26380401
[Presentation] “Estimating Multi-Factor Discretely Observed Vasicek Term Structure Models with non-Gaussian Innovations
- Author(s)
  Takayuki Shiohama
- Organizer
  3rd Stochastic Modeling Techniques and Data Analysis
- Place of Presentation
  Lisbon, Portugal
- Year and Date
  2014-06-11 – 2014-06-14
- Data Source
  KAKENHI-PROJECT-26380401

1. AKAHIRA Masafumi (70017424)

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2. TAKEMURA Akimichi (10171670)

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3. KONISHI Sadanori (40090550)

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4. TANIGUCHI Masanobu (00116625)

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5. YOSHIDA Nakahiro (90210707)

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6. OCHI Yoshimichi (60185618)

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7. YAO Feng (90284348)

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8. WAKAKI Hirofumi (90210856)

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9. KAKIZAWA Yoshihide (30281778)

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10. JIMBO Masakazu (50103049)

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11. MAESONO Nobuhiko (30173701)

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12. ANO Yutaka (20201436)

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13. HIRUKAWA Junichi (10386617)

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14. SHIMIZU Kunio (60110946)

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15. KONDO Masao (70117505)

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16. UNO Chikara (20282155)

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17. MIYATA Yoichi (10514250)

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18. TAKADA Yoshikazu (70114098)

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19. NOMAKUCHI Kentaro (60124806)

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20. KURIKI Shinji (00167389)

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21. KATO Takeshi (40267399)

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22. TAKAHASHI Daisuke (50188025)

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23. MAEKAWA Koichi (20033748)

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24. SUZUKI Takeru (60047347)

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25. NISHII Ryuei (40127684)

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26. SASABUCHI Yoichi (20128028)

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27. AKI Shigeo (90132696)

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28. KURIKI Satoshi (90195545)

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29. AOSHIMA Makoto (90246679)

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30. TAMAKI Kenichiro (80409664)

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31. SHIRAISHI Hiroshi (90454024)

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32. SHIRAHATA Shingo (10037294)

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Shiohama Takayuki 塩濱 敬之

SHIOHAMA Takayuki 塩浜 孝之

塩浜 敬之 シオハマ タカユキ

Research Projects

Research Products

Co-Researchers

Statistical Analysis on Geometric Manifold and its Application to Data SciencePrincipal Investigator

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幾何情報を利用したネットワーク時系列モデルの統計的推測理論と金融市場分析Principal Investigator

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Asymptotic expansion for the discretely observed interest rate models and its applications to interest rate derivatives pricingPrincipal Investigator

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Theory and Applications for Mathematical Methods in Statistical Science

Principal Investigator

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時系列の構造変化点の推定とその漸近最適性Principal Investigator

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[Book] On some flexible models for circular, toroidal, and cylindrical data (Directional Statistics for Innovative Applications2022

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[Book] Credit portfolio risk evaluation with non-Gaussian one-factor Merton models and its application to CDO pricing in "Data Analysis and Applications 4"2020

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[Book] Data Analysis and Applications 4 - Financial Data Analysis and Methods (Ch.2) Credit portfolio risk evaluation with non-Gaussian one-factor Merton models and its application to CDO pricing in "Data Analysis and Applications 4"2020

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[Book] 理工系の基礎 情報工学 ６章「モンテカルロ法とデータサイエンス」2018

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[Journal Article] Topic model-based recommender systems and their applications to cold-start problems2022

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[Journal Article] Land price polarization and dispersion in Tokyo: a spatial model approach2022

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[Journal Article] 多様体上の時系列解析2021

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[Journal Article] 地理的加重回帰モデルによる東京都公示地価の分析とその推定値の経年変化について2021

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[Journal Article] Bayesian estimation for mode and anti-mode preserving circular distributions2021

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Shiohama Takayuki 塩濱敬之

SHIOHAMA Takayuki 塩浜孝之

塩浜敬之シオハマタカユキ

[Book] 理工系の基礎情報工学　６章「モンテカルロ法とデータサイエンス」2018

[Journal Article] 非対称な円周分布による有限混合分布とその推定について2018

[Journal Article] 日本株式市場におけるファクター・リスクパリティ・ポートフォリオの実践2018