Professor Katsuto TANAKA
Professor Katsuto TANAKA
Ph.D. in Statistics, Australian National University (1979).
M.A. in Economics, Hitotsubashi University (1976).
B.A. in Economics, Hitotsubashi University (1973).
Professor, Faculty of Economics, Gakushuin University (2013-Present).
Professor, Faculty of Economics, Hitotsubashi University (1990-2013).
Associate Professor, Faculty of Economics, Hitotsubashi University (1984-190).
Associate Professor, Faculty of Economics, Kanazawa University (1981-1984).
Assistant Professor, Faculty of Economics, Kanazawa University (1979-1981)
- Time Series Analysis: Nonstationary and Noninvertible Distribution Theory, Wiley, New York （1996）（awarded the Japan Statistical Society Prize）
- Economic Statistics (in Japanese) Iwanami, Tokyo （1996）
- Econometrics (in Japanese) Iwanami, Tokyo （1998）
- Statistics (in Japanese) Shinseisha, Tokyo （1998）
- Statistics of Economic Time Series - Its Mathematical Foundation (in Japanese, co-authored) Iwanami, Tokyo (2003）
- Modern Time Series Analysis (in Japanese) Iwanami, Tokyo （2006）
- “The one-sided Lagrange multiplier test of the AR（p） model vs the AR（p） model with measurement error,” Journal of the Royal Statistical Society （B）, Vol. 45 （1983）
- “Asymptotic expansions associated with the AR（1） model with unknown mean,” Econometrica, Vol.51 （1983）
- “Non-normality of the Lagrange multiplier statistic for testing the constancy of regression coefficients,” Econometrica, Vol.51 （1983）
- “Estimation for transients in the frequency domain,” Journal of the American Statistical Association, Vol. 78 （1983）
- “An asymptotic expansion associated with the maximum likelihood estimators in ARMA models,” Journal of the Royal Statistical Society （B）, Vol. 46 （1984）
- “A general approach to the limiting distribution for estimators in time series regression with nonstable autoregressive errors,” （with S. Nabeya） Econometrica, Vol. 58 （1990）
- “Limiting power of unit-root tests in time series regression,” （with S. Nabeya） Journal of Econometrics, Vol. 46 （1990）
- “The Fredholm approach to asymptotic inference on nonstationary and noninvertible time series models,” Econometric Theory, Vol. 6 （1990）
- “Testing for a moving average unit root,” Econometric Theory, Vol. 6 （1990）
- “On the distribution of quadratic functional of the ordinary and fractional Brownian motions,” Journal of Statistical Planning and Inference, Vol. 138
- “On various applications of the wavelet analysis to statistics,” American Mathematical Society Translations, Vol. 223 (2008)
- “On the distribution of quadratic functional of the ordinary and fractional Brownian motions,” Journal of Statistical Planning and Inference, Vol. 138 （2008）
- “Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process,” Statistical Inference for Stochastic Processes, Vol. 16 (2013)
Academic society： Japan Statistical Society, Japan Mathematical Society, Econometric Society
Others： Council Member of the Research Organization of Information and Systems
Even at my age, I derive joy in life from the same thing as when I was young: "Play well and learn well.” Compared to your life up to high school, the degree of freedom you enjoy will significantly increase during your college life. I wish you good luck that your college life will not end up only in the former, but that it will also become something meaningful.
My research field
My main research area is time series analysis. More specifically, I am concerned with the following research topics:
- Statistical theory associated with nonstationary and noninvertible time series models
- Analysis of fractionally integrated and cointegrated processes
- Time series analysis based on the wavelet method
- Statistical inference for long memory time series
- Inference problems associated with continuous-time stochastic processes