MATSUI Muneya 松井宗也

Researcher Number	70449031
Other IDs
Affiliation (Current)	2026: 大阪大学, 大学院経済学研究科, 教授
Affiliation (based on the past Project Information) *help	2026: 南山大学, 経営学部, 准教授 2011 – 2024: 南山大学, 経営学部, 准教授
Review Section/Research Field	Principal Investigator Basic Section 60030:Statistical science-related / Statistical science / Economic statistics / Statistical science
Keywords	Principal Investigator 裾の厚い分布 / ポアソンクラスターモデル / レヴィ過程 / 劣指数的 / γ劣指数性 / レヴィ測度 / 統計的推測 / 無限分解可能分布 / 連続時間確率過程 / 独立性検定 … More / ランダム・フィールド / 距離の相関係数 / 金融リスク管理 / Extremogram / 正則変動関数 / 裾確率 / 正則変動 / 定常過程 / 多次元GARCHモデル / 確率的漸化式 / フラクショナルモーメント / フラクショナル微分 / 加法過程 / 損害保険モデル / 確率過程の予測 / ポアソン・クラスターモデル / 点過程 / クレーム予測 / 損害保険数理 / 予測と誤差 / ポアソン・クラスター・モデル / 予測 / 損害保険 / ポアソン過程 / モデル / クラスター / ポアソン Less

Research Projects
(6 results)
Research Products
(80 results)

裾の厚い定常時系列から作られる複数の統計量の同時極限と極限分布の性質Principal Investigator
- Principal Investigator
  
  松井宗也
- Project Period (FY)
  2026 – 2028
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 60030:Statistical science-related
- Research Institution
  Nanzan University
無限分解可能分布の裾確率の理論研究とその統計的推測ー複雑データへの応用に向けてーPrincipal Investigator
- Principal Investigator
  
  松井宗也
- Project Period (FY)
  2023 – 2025
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 60030:Statistical science-related
- Research Institution
  Nanzan University
Testing independence by distance correlationPrincipal Investigator
- Principal Investigator
  
  Matsui Muneya
- Project Period (FY)
  2019 – 2023
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 60030:Statistical science-related
- Research Institution
  Nanzan University
Statistical and probabilistic approach to large-scale monetary risk - tackring novel problem in multivariate GARCH modelsPrincipal Investigator
- Principal Investigator
  
  Matsui Muneya
- Project Period (FY)
  2016 – 2018
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Statistical science
- Research Institution
  Nanzan University
Construction of suitable models for large-scale risks with application to non-life inssurancePrincipal Investigator
- Principal Investigator
  
  MATSUI Muneya
- Project Period (FY)
  2013 – 2015
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Economic statistics
- Research Institution
  Nanzan University
Statistical and stochastic methods toward the risk management of catastrophic disasters -- application of heavy tailed distributions to the insurance --Principal Investigator
- Principal Investigator
  
  MATSUI Muneya
- Project Period (FY)
  2011 – 2012
- Research Category
  
  Grant-in-Aid for Research Activity Start-up
- Research Field
  
  Statistical science
- Research Institution
  Nanzan University

[Journal Article] Convolution closure properties of subexponential densities2025
- Author(s)
  Muneya Matsui and Toshiro Watanabe
- Journal Title
  
  Journal of Mathematical Analysis and Applications
  
  Volume: 545 Issue: 1 Pages: 129158-129158
- DOI
  10.1016/j.jmaa.2024.129158
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23K11019
[Journal Article] On limit theorems for the first passage time of the spectrally negative Levy process over a level2024
- Author(s)
  Shunsuke Kaji and Muneya Matsui
- Journal Title
  
  Infinitely divisible processes and related topics
  
  Volume: 472 Pages: 26-32
- Open Access
- Data Source
  KAKENHI-PROJECT-23K11019
[Journal Article] Asymptotics of densities of first passage times for spectrally negative Levy processes2023
- Author(s)
  Shunsuke Kaji and Muneya Matsui
- Journal Title
  
  無限分解可能過程に関連する諸問題
  
  Volume: 27 Pages: 1-13
- Open Access
- Data Source
  KAKENHI-PROJECT-19K11868
[Journal Article] Subexponentialiy of densities of infinitely divisible distributions2023
- Author(s)
  Muneya Matsui
- Journal Title
  
  Electronic Journal of Probability
  
  Volume: 28 Issue: none Pages: 1-29
- DOI
  10.1214/23-ejp928
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K11868, KAKENHI-PROJECT-23K11019
[Journal Article] Recent developments in subexponentialiy of infinitely divisible distributions2023
- Author(s)
  Muneya Matsui
- Journal Title
  
  無限分解可能過程に関連する諸問題
  
  Volume: 27 Pages: 14-20
- Open Access
- Data Source
  KAKENHI-PROJECT-19K11868
[Journal Article] Subexponentiality of densities of infinitely divisible distributions on the whole real line2022
- Author(s)
  Muneya Matsui
- Journal Title
  
  ISM Cooperative Research Report "Infinitely divisible processes and related toics (26)"
  
  Volume: 455 Pages: 1-4
- Data Source
  KAKENHI-PROJECT-19K11868
[Journal Article] Tails of bivariate stochastic recurrence equation with triangular matrices2022
- Author(s)
  Ewa Damek and Muneya Matsui
- Journal Title
  
  Stochastic Processes and their Applications
  
  Volume: online Pages: 1-45
- DOI
  10.1016/j.spa.2022.04.008
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K11868
[Journal Article] Distance covariance for random fields2022
- Author(s)
  Muneya Matsui, Thomas Mikosch, Rasool Roozegar and Laleh Tafakori
- Journal Title
  
  Stochastic Processes and their Applications
  
  Volume: 150 Pages: 280-322
- DOI
  10.1016/j.spa.2022.04.009
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K11868
[Journal Article] Approximated likelihood estimation of stable laws/OU processes2021
- Author(s)
  Muneya Matsui
- Journal Title
  
  Infinitely divisible processes and related toics
  
  Volume: 25 Pages: 1-4
- Data Source
  KAKENHI-PROJECT-19K11868
[Journal Article] Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach2021
- Author(s)
  Muneya Matsui, Rasmus Sondergaard Pedersen
- Journal Title
  
  Econometric Theory
  
  Volume: - Issue: 1 Pages: 1-34
- DOI
  10.1017/s0266466620000584
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K11868
[Journal Article] Tail indices for AX+B Recursion with Triangular Matrices2020
- Author(s)
  Muneya Matsui, Witold Swiatkowski
- Journal Title
  
  Journal of Theoretical Probability
  
  Volume: - Issue: 4 Pages: 1831-1869
- DOI
  10.1007/s10959-020-01019-8
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K11868
[Journal Article] Distance covariance for discretized stochastic processes2020
- Author(s)
  Herold Dehling, Muneya Matsui, Thomas Mikosch, Gennady Samorodnitsky, Laleh Tafakori
- Journal Title
  
  Bernoulli
  
  Volume: -
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K11868
[Journal Article] Asymptotics of maximum likelihood estimation for stable law with continuous parameterization2020
- Author(s)
  Muneya Matsui
- Journal Title
  
  Communications in Statistics - Theory and Methods
  
  Volume: - Issue: 15 Pages: 3695-3712
- DOI
  10.1080/03610926.2019.1710199
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K11868
[Journal Article] Componentwise different tail solutions for bivariate stochastic recurrence equations with application to GARCH (1,1) processes2019
- Author(s)
  Damek Ewa、Matsui Muneya、Swiatkowski Witold
- Journal Title
  
  Colloquium Mathematicum
  
  Volume: 155 Issue: 2 Pages: 227-254
- DOI
  10.4064/cm7313a-5-2018
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K16023
[Journal Article] If and only if condition that time-changed subordinaors have independent (stationary) increments2018
- Author(s)
  松井宗也
- Journal Title
  
  統計数理研究所共同研究リポート「無限分解可能過程に関連する諸問題（２２）」
  
  Volume: 402 Pages: 125-128
- Data Source
  KAKENHI-PROJECT-16K16023
[Journal Article] Applications of distance correlation to time series2018
- Author(s)
  Richard A. Davis, Muneya Matsui, Thomas Mikosch and Phyllis Wan
- Journal Title
  
  Bernoulli
  
  Volume: 24 Issue: 4A Pages: 3087-3116
- DOI
  10.3150/17-bej955
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K16023
[Journal Article] Distance ｃovariance ｆor ｓtochastic ｐrocesses2017
- Author(s)
  Muneya Matsui, Thomas Mikosch and Gennady Samorodnitsky
- Journal Title
  
  Probability and Mathematical Statistics
  
  Volume: 37 Issue: 2 Pages: 355-372
- DOI
  10.19195/0208-4147.37.2.9
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K16023
[Journal Article] Log-convexity and the cycle index polynomials with relation to compound Poisson distributions2017
- Author(s)
  松井宗也
- Journal Title
  
  統計数理研究所共同研究リポート「無限分解可能過程に関連する諸問題（２１）」
  
  Volume: 385 Pages: 88-93
- Data Source
  KAKENHI-PROJECT-16K16023
[Journal Article] The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process2016
- Author(s)
  Muneya Matsui and Thomas Mikosch
- Journal Title
  
  Advances in Applied Probability
  
  Volume: 48A Issue: A Pages: 217-233
- DOI
  10.1017/apr.2016.51
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K16023
[Journal Article] The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process2016
- Author(s)
  Matsui, M., Mikosch, T.
- Journal Title
  
  Advances in Applied Probability
  
  Volume: 48A Pages: 1-27
- Peer Reviewed / Acknowledgement Compliant / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25870879
[Journal Article] Generalized fractional Levy processes with fractional Brownian motion limit and applications to stochastic volatility models2015
- Author(s)
  Claudia Kluppelberg, Muneya Matsui
- Journal Title
  
  Advances in Applied Probability
  
  Volume: 未定
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25870879
[Journal Article] Fractional absolute moments of heavy tailed distributions2015
- Author(s)
  Muneya Matsui, Zbynek Pawlaz
- Journal Title
  
  Brazilian journal of probability and statistics
  
  Volume: 未定
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25870879
[Journal Article] Generalized fractional Levy processes with fractional Brownian motion limit and applications to stochastic volatility models2015
- Author(s)
  Kluppelberg, C. and Matsui, M.
- Journal Title
  
  Advances in Applied Probability
  
  Volume: 47 Issue: 4 Pages: 1108-1131
- DOI
  10.1239/aap/1449859802
- Peer Reviewed / Acknowledgement Compliant / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25870879
[Journal Article] Representations of fractional moments and their truncations2014
- Author(s)
  Matsui, M. and Pinelis, I.
- Journal Title
  
  Infinitely divisible processes and related topics (18), in The Institute of Statistical Mathematics Cooperative Research Report
  
  Volume: 328 Pages: 19-23
- Data Source
  KAKENHI-PROJECT-25870879
[Journal Article] Prediction in a non-homogeneous Poisson cluster model Insurance2014
- Author(s)
  Muneya Matsui
- Journal Title
  
  Insurance: Mathematics and Economics
  
  Volume: 55 Pages: 10-17
- DOI
  10.1016/j.insmatheco.2013.12.001
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25870879
[Journal Article] The Lamperti Transform of fractional Brownian motion and related self-similar Gaussian processes.2014
- Author(s)
  Matsui, M. and Shieh, N.-R.
- Journal Title
  
  Stochastic models
  
  Volume: 30 Issue: 1 Pages: 68-98
- DOI
  10.1080/15326349.2014.868735
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25870879
[Journal Article] Estimation of the tail index for integer-valued sequences2013
- Author(s)
  Matsui, M., Mikosch, T. and Tafakori, L.
- Journal Title
  
  Extremes
  
  Volume: 16 Issue: 4 Pages: 429-455
- DOI
  10.1007/s10687-012-0167-9
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25870879
[Journal Article] On the exponential process associated with a CARMA-type process2013
- Author(s)
  Matsui, M. and Shieh, N.-R
- Journal Title
  
  Stochastics An International Journal of Probability and Stochastic Processes
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23800065
[Journal Article] Prediction in a Poisson cluster model with multiple clusterprocesses2013
- Author(s)
  Matsui, M
- Journal Title
  
  SACT: Scandinavian Actuarial Journal
  
  Volume: online Issue: 1 Pages: 1-31
- DOI
  10.1080/03461238.2013.773938
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23800065, KAKENHI-PROJECT-25870879
[Journal Article] The Lamperti Transform of fractional Brownian motion and relatedself-similar Gaussian processes2012
- Author(s)
  Matsui, M. and Shieh, N.-R
- Journal Title
  
  Nanzan University Center forManagement Studies, Working Paper
  
  Volume: 1201 Pages: 1-18
- URL
  http://www.ic.nanzan-u.ac.jp/MCENTER/pdf/wp1201.pdf
- Data Source
  KAKENHI-PROJECT-23800065
[Journal Article] The Lamperti Transform of fractional Brownian motion and related self-similar Gaussian processes2012
- Author(s)
  Matsui, M. and Shieh, N.-R.
- Journal Title
  
  Nanzan University Center for Management Ｓtudies, Working Paper
  
  Volume: 1201 Pages: 1-18
- Data Source
  KAKENHI-PROJECT-23800065
[Journal Article] On the exponential process associated with a CARMA-type process2012
- Author(s)
  Matsui, M., Shieh, N.-R.
- Journal Title
  
  Stochastics An International Journal of Probability and Stochastic Processes
  
  Volume: (掲載確定) Issue: 5 Pages: 743-762
- DOI
  10.1080/17442508.2012.654791
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23800065
[Journal Article] Distributions of exponential integrals of independent increment processes related to generalized gamma convolutions2012
- Author(s)
  Anita Behme
- Journal Title
  
  Bernoulli
  
  Volume: 18 Issue: 4 Pages: 1172-1187
- DOI
  10.3150/11-bej382
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22340021, KAKENHI-PROJECT-23800065
[Journal Article] Prediction in a Poisson cluster model with multiple cluster processes2011
- Author(s)
  Matsui, M.
- Journal Title
  
  南山大学経営研究センター、ワーキングペーパーシリーズ
  
  Pages: 1-25
- Data Source
  KAKENHI-PROJECT-23800065
[Journal Article] Distributions of exponential integrals of independent increment processes related to generalized gamma convolutions
- Author(s)
  Behme, A., Maejima, M., Matsui, M., Sakuma, N.
- Journal Title
  
  Bernoulli
  
  Volume: (掲載確定)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23800065
[Journal Article] Fractional absolute moments of heavy tailed distributions
- Author(s)
  Matsui, M. and Pawlaz, Z.
- Journal Title
  
  Brazilian Journal of Probability and Statistics
  
  Volume: 30 Issue: 2 Pages: 272-298
- DOI
  10.1214/15-bjps280
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25870879, KAKENHI-PROJECT-16K16023
[Presentation] Self-normalized partial sums of heavy-tailed time series2025
- Author(s)
  Muneya Matsui
- Organizer
  Seminar, Mathematical statistics (Stockholm university)
- Data Source
  KAKENHI-PROJECT-23K11019
[Presentation] Regular variation of multivariate GARCH models and tail dependence measure, extremogram and cross-extremogram2025
- Author(s)
  Muneya Matsui
- Organizer
  Graduate Seminar Financial and Actuarial Mathematics LMU and TUM Organizers
- Data Source
  KAKENHI-PROJECT-23K11019
[Presentation] Distance covariance for random fields2024
- Author(s)
  Muneya Matsui
- Organizer
  Bernoulli-IMS 11th World Congress in Probability and Statistics 2024
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K11868
[Presentation] Distance covariance for random fields2024
- Author(s)
  Muneya Matsui
- Organizer
  CFE-CMStatistics 2024
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K11019
[Presentation] Distance covariance for random fields2024
- Author(s)
  Muneya Matsui
- Organizer
  Bernoulli-IMS 11th World Congress in Probability and Statistics 2024
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K11019
[Presentation] Recent developments in subexponentialiy of infinitely divisible distributions2022
- Author(s)
  松井宗也
- Organizer
  無限分解可能過程に関連する諸問題
- Data Source
  KAKENHI-PROJECT-19K11868
[Presentation] Subexponentaliy of densities of infinitely divisible distributions on the whole real line2022
- Author(s)
  松井宗也
- Organizer
  学術シンポジウム「統計科学の開拓」
- Data Source
  KAKENHI-PROJECT-19K11868
[Presentation] Asymptotics of densities of first passage times for spectrally negative Levy processes2022
- Author(s)
  鍛治俊輔・松井宗也
- Organizer
  無限分解可能過程に関連する諸問題
- Data Source
  KAKENHI-PROJECT-19K11868
[Presentation] Subexponentialiy of Densities of Infinitely Divisible Distributions2022
- Author(s)
  Muneya Matsui
- Organizer
  3rd Tohoku ISM UUlm workshop
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K11868
[Presentation] Approximated likelihood estimation of stable laws/OU processes2021
- Author(s)
  松井　宗也
- Organizer
  科研費シンポジウム「統計科学の革新にむけて」（金沢大学）
- Data Source
  KAKENHI-PROJECT-19K11868
[Presentation] Approximated likelihood estimation of stable laws/OU processes2021
- Author(s)
  松井　宗也
- Organizer
  関西計量経済学研究会（福岡大学）
- Data Source
  KAKENHI-PROJECT-19K11868
[Presentation] Distance covariance for random fields2021
- Author(s)
  Muneya Matsui
- Organizer
  JSPS Kakenhi symposium "Innovative development of theory and methodology on statistical science in various fields" at Niigata
- Data Source
  KAKENHI-PROJECT-19K11868
[Presentation] Subexponentiality of densities of infinitely divisible distributions on the whole real line2021
- Author(s)
  Muneya Matsui
- Organizer
  Cooperative research meeting "Infinitely divisible processes and related topics"
- Data Source
  KAKENHI-PROJECT-19K11868
[Presentation] Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach2020
- Author(s)
  Muneya Matsui
- Organizer
  関西計量経済学研究会
- Data Source
  KAKENHI-PROJECT-19K11868
[Presentation] Approximated likelihood estimation of stable laws/OU processes2020
- Author(s)
  松井　宗也
- Organizer
  統計数理研究所・共同研究集会　「無限分解可能過程に関連する諸問題」
- Data Source
  KAKENHI-PROJECT-19K11868
[Presentation] Testing independence of continuous time stochastic processes -- toward independence test for random fields --2020
- Author(s)
  Muneya Matsui
- Organizer
  科研費シンポジウム "Recent Progress in Spatial and/or Spatio-temporal Data Analysis" （東北大学）
- Data Source
  KAKENHI-PROJECT-19K11868
[Presentation] Asymptotics of maximum likelihood estimation forstable law with continuous parameterization2019
- Author(s)
  Muneya Matsui
- Organizer
  無限分解可能過程に関連する諸問題
- Data Source
  KAKENHI-PROJECT-19K11868
[Presentation] Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach2019
- Author(s)
  Muneya Matsui
- Organizer
  International Symposium on Econometric Theory and Applications
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K16023
[Presentation] Asymptotics of maximum likelihood estimation forstable law with continuous parameterization2019
- Author(s)
  Muneya Matsui
- Organizer
  Japanese Joint Statistical Meeting 2019
- Data Source
  KAKENHI-PROJECT-19K11868
[Presentation] Applications of Distance Correlation to Time Series2019
- Author(s)
  Muneya Matsui
- Organizer
  Workshopon Recent Progressin Time Series
- Data Source
  KAKENHI-PROJECT-19K11868
[Presentation] Applications of Distance Correlation to Time Series2019
- Author(s)
  Muneya Matsui
- Organizer
  15th International Symposium on Econometric Theory and Applications
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K11868
[Presentation] Asymptotics of maximum likelihood estimation forstable law with continuous parameterization2019
- Author(s)
  Muneya Matsui
- Organizer
  科研費シンポジウム
- Data Source
  KAKENHI-PROJECT-19K11868
[Presentation] Applications of Distance Correlation to Time Series: 距離の相関係数の時系列解析への応用2018
- Author(s)
  松井　宗也
- Organizer
  科研費シンポジウム「融合する統計科学」
- Data Source
  KAKENHI-PROJECT-16K16023
[Presentation] Applications of Distance Correlation to Time Series2018
- Author(s)
  松井宗也
- Organizer
  関西計量経済学研究会
- Data Source
  KAKENHI-PROJECT-16K16023
[Presentation] Necessary and sufficient condition that certain time-changed Levy processes2017
- Author(s)
  松井宗也
- Organizer
  共同研究集会「無限分解可能過程に関連する諸問題」
- Data Source
  KAKENHI-PROJECT-16K16023
[Presentation] 組み合わせ論と無限分解可能分布のひとつの接点2017
- Author(s)
  松井宗也
- Organizer
  シンポジウム「統計科学の現代的課題」
- Place of Presentation
  金沢大学サテライトプラザ
- Data Source
  KAKENHI-PROJECT-16K16023
[Presentation] The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process の続編2017
- Author(s)
  松井宗也
- Organizer
  関西計量経済学研究会
- Place of Presentation
  広島大学東千田キャンパス
- Data Source
  KAKENHI-PROJECT-16K16023
[Presentation] 組み合わせ論と無限分解可能分布のひとつの接点2016
- Author(s)
  松井宗也
- Organizer
  共同研究集会「無限分解可能過程に関連する諸問題」
- Place of Presentation
  統計数理研究所
- Data Source
  KAKENHI-PROJECT-16K16023
[Presentation] The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process2015
- Author(s)
  松井宗也
- Organizer
  日本統計学会
- Place of Presentation
  岡山大学　（岡山県）
- Year and Date
  2015-09-07
- Data Source
  KAKENHI-PROJECT-25870879
[Presentation] The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process2015
- Author(s)
  Muneya Matsui
- Organizer
  Workshop Mathematical Foundations of Heavy Tailed Analysis
- Place of Presentation
  Copenhagen　（Ｄｅｎｍａｒｋ）
- Year and Date
  2015-06-26
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25870879
[Presentation] Estimation of the tail index for lattice-valued sequences2015
- Author(s)
  Muneya Matsui
- Organizer
  RIMS共同研究による研究会　“New Advances in Statistical Inference and Its Related Topics”
- Place of Presentation
  京都大学数理解析研究所（京都府京都市）
- Year and Date
  2015-03-10
- Data Source
  KAKENHI-PROJECT-25870879
[Presentation] The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process2015
- Author(s)
  松井宗也
- Organizer
  科研費シンポジウム「多様な分野における統計科学の新展開」
- Place of Presentation
  富山県民会館　(富山県)
- Year and Date
  2015-10-25
- Data Source
  KAKENHI-PROJECT-25870879
[Presentation] Estimation of the tail index for lattice-valued sequences2014
- Author(s)
  Muneya Matsui
- Organizer
  日本統計学会
- Place of Presentation
  東京大学（東京都文京区）
- Year and Date
  2014-09-16
- Data Source
  KAKENHI-PROJECT-25870879
[Presentation] Prediction problems in Poisson cluster models2014
- Author(s)
  Muneya Matsui
- Organizer
  共同研究集会　「無限分解可能過程に関する諸問題」
- Place of Presentation
  統計数理研究所（東京都立川市）
- Year and Date
  2014-11-29
- Data Source
  KAKENHI-PROJECT-25870879
[Presentation] Prediction problems in Poisson cluster models2014
- Author(s)
  Muneya Matsui
- Organizer
  Stochastic networks and risk analysis
- Place of Presentation
  Bedlewo conference center, Poznan (Poland)
- Year and Date
  2014-05-29
- Invited
- Data Source
  KAKENHI-PROJECT-25870879
[Presentation] Estimation of the tail index for lattice-valued sequences2014
- Author(s)
  Muneya Matsui
- Organizer
  科研費シンポジウム　「統計的推測の理論的基礎とその応用」
- Place of Presentation
  筑波大学（茨城県つくば市）
- Year and Date
  2014-12-02
- Data Source
  KAKENHI-PROJECT-25870879
[Presentation] Prediction in a Poisson cluster model with multiple cluster2012
- Author(s)
  Muneya Matsui
- Organizer
  Seminari anvendt matematik og statistik
- Place of Presentation
  University of Copenhagen
- Year and Date
  2012-03-23
- Data Source
  KAKENHI-PROJECT-23800065
[Presentation] Prediction in a Poisson cluster model with multiple cluster2012
- Author(s)
  Muneya Matsui
- Organizer
  Seminar i anvendt matematik ogstatistic
- Place of Presentation
  Universityof Copenhagen. Denmark
- Year and Date
  2012-03-23
- Data Source
  KAKENHI-PROJECT-23800065
[Presentation] 自己相似ガウス過程の自己共分散関数の大小関係について,共同研究集会2011
- Author(s)
  松井宗也
- Organizer
  無限分解可能過程に関連する諸問題
- Place of Presentation
  統計数理研究所
- Year and Date
  2011-11-11
- Data Source
  KAKENHI-PROJECT-23800065
[Presentation] Prediction and extensions in the Poisson cluster model given in Matsui and Mikosch (2010)2011
- Author(s)
  Muneya Matsui
- Organizer
  NCTS/TPE Seminar in Analysis/Probability/Applications
- Place of Presentation
  National university of Taiwan
- Year and Date
  2011-08-03
- Data Source
  KAKENHI-PROJECT-23800065
[Presentation] Prediction and extensions in the Poisson cluster model given in Matsui and Mikosch2011
- Author(s)
  Muneya Matsui
- Organizer
  NCTS/TPE Seminar in Analysis/Probability/Applications
- Place of Presentation
  National university ofTaiwan. Taiwan
- Year and Date
  2011-08-03
- Data Source
  KAKENHI-PROJECT-23800065
[Presentation] 自己相似ガウス過程の自己共分散関数の大小関係について2011
- Author(s)
  松井宗也
- Organizer
  共同研究集会「無限分解可能過程に関連する諸問題」
- Place of Presentation
  統計数理研究所
- Year and Date
  2011-11-11
- Data Source
  KAKENHI-PROJECT-23800065
[Presentation] Representations of fractional moments and their truncations
- Author(s)
  松井宗也
- Organizer
  共同研究集会　「無限分解可能過程に関する諸問題」
- Place of Presentation
  統計数理研究所
- Data Source
  KAKENHI-PROJECT-25870879
[Presentation] Representations of fractional moments and their truncations
- Author(s)
  松井宗也
- Organizer
  数理解析研究所研究集会確率論シンポジウム
- Place of Presentation
  京都大学数理解析研究所
- Data Source
  KAKENHI-PROJECT-25870879

MATSUI Muneya 松井 宗也

Research Projects

Research Products

裾の厚い定常時系列から作られる複数の統計量の同時極限と極限分布の性質Principal Investigator

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無限分解可能分布の裾確率の理論研究とその統計的推測ー複雑データへの応用に向けてーPrincipal Investigator

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Testing independence by distance correlationPrincipal Investigator

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Statistical and probabilistic approach to large-scale monetary risk - tackring novel problem in multivariate GARCH modelsPrincipal Investigator

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Construction of suitable models for large-scale risks with application to non-life inssurancePrincipal Investigator

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Statistical and stochastic methods toward the risk management of catastrophic disasters -- application of heavy tailed distributions to the insurance --Principal Investigator

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[Journal Article] Convolution closure properties of subexponential densities2025

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[Journal Article] On limit theorems for the first passage time of the spectrally negative Levy process over a level2024

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[Journal Article] Asymptotics of densities of first passage times for spectrally negative Levy processes2023

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[Journal Article] Subexponentialiy of densities of infinitely divisible distributions2023

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[Journal Article] Recent developments in subexponentialiy of infinitely divisible distributions2023

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[Journal Article] Subexponentiality of densities of infinitely divisible distributions on the whole real line2022

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[Journal Article] Tails of bivariate stochastic recurrence equation with triangular matrices2022

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[Journal Article] Distance covariance for random fields2022

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[Journal Article] Approximated likelihood estimation of stable laws/OU processes2021

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[Journal Article] Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach2021

MATSUI Muneya 松井宗也