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Yuichi Goto Last modified date：2023.12.06

Assistant Professor / Division of Analysis
Faculty of Mathematics




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Homepage
https://kyushu-u.elsevierpure.com/en/persons/yuichi-goto
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https://www2.math.kyushu-u.ac.jp/~yuichi.goto/
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Academic Degree
Doctor of Science
Country of degree conferring institution (Overseas)
No
Field of Specialization
Mathematical statistics
ORCID(Open Researcher and Contributor ID)
0000-0002-7556-2572
Outline Activities
Time series analysis in statistics involves estimations and hypothesis tests using various methods to analyze time-dependent data such as temperature and stock prices. Our objective is to propose models and methods and derive their mathematical properties. In the frequency domain approach, a concept unique to time series analysis, there is a pivotal index called spectrum. This spectrum is used to measure the strength of the connections between the past, present, and future. Various types of spectra have been proposed in recent years, and my research focuses on the analysis using this spectrum.
Research
Research Interests
  • Time series analysis in statistics involves estimations and hypothesis tests using various methods to analyze time-dependent data such as temperature and stock prices. Our objective is to propose models and methods and derive their mathematical properties. In the frequency domain approach, a concept unique to time series analysis, there is a pivotal index called spectrum. This spectrum is used to measure the strength of the connections between the past, present, and future. Various types of spectra have been proposed in recent years, and my research focuses on the analysis using this spectrum.
    keyword : mathematical statistics, time series analysis, frequency domain
    2019.04～2027.03.
Academic Activities
Books
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Papers
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1. Goto, Y., Kley, T., Hecke, R. V., Volgushev, S, Dette, H., Hallin, M., THE INTEGRATED COPULA SPECTRUM, ANNALS OF STATISTICS, 10.1214/22-AOS2240, 50, 6, 3563-3591, 2022.12, 時系列解析における周波数領域の手法は古くから研究されてきた。近年、古典的な2次モーメントベースのスペクトル手法の制約を回避し、結合分布の全体のダイナミクスを捉えることのできる新しいスペクトル手法の開発に大きな関心が寄せられている。しかし、これまでに提案されたスペクトル手法のほとんどは、推定に大きな影響を与える平滑化パラメータの選択が必要である。本論文では、コピュラスペクトルに関連した量である integrated コピュラスペクトルを導入する。この integrated コピュラスペクトルは、コピュラスペクトルの利点を保持しつつ、平滑化パラメータなしで推定することができる。この量に対する推定量の統計的な漸近的性質を導出し、これらの結果を活用して、一様信頼区間の構築を行い、古典的なスペクトル法では対処できない時間の可逆性の欠如や裾の非対称性などのさまざまな仮説検定手法を提案する。.
Presentations
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Membership in Academic Society
  • Institute of Mathematical Statistics
  • Japan Statistical Society
  • Mathematical Society of Japan
Educational
Educational Activities
2021 spring semester: Mathematics A2 Kikan(4), Fundamental Mathematics Densei(1), Fundamental Mathematics Keiei,
2021 fall semester: Mathematics A2 Kikan(4), Exercises in Modern Mathematics, C Programming Kikan(2), C Programming Kikan(9),


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