Japanese
OMORI, Yasuhiro
Publications
Publications 2010-
<Articles>
Jouchi Nakajima, Tsuyoshi Kunihama, Yasuhiro Omori and Sylvia Fruhwirth-Schnatter (2012), "Generalized extreme value distribution with time-dependence using the AR and MA models in state space form," Computational Statistics and Data Analysis, 56-11, 3241-3259, November 2012.
Tsunehiro Ishihara and Yasuhiro Omori (2012), "Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors," Computational Statistics and Data Analysis, 56-11, 3674-3689, November 2012.
Jouchi Nakajima and Yasuhiro Omori (2012), "Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution," Computational Statistics and Data Analysis, 56-11, 3690-3704, November 2012.
Shinya Sugawara and Yasuhiro Omori (2012), "Duopoly in the Japanese airline market: Bayesian estimation for the entry game," Japanese Economic Review, 63-3, 310-332, September 2012.
Yuta Kurose and Yasuhiro Omori (2012), "Bayesian analysis of time-varying quantiles using a smoothing spline," Journal of the Japan Statistical Society, 42-1, 23-46, June 2012.
Yasuhiro Omori and Tsunehiro Ishihara (2012), "Multivariate Stochastic Volatility Model," in Handbook of Volatility Models and Their Applications (eds L. Bauwens, C. Hafner and S. Laurent), Wiley, 175-195, May 2012.
Tsuyoshi Kunihama, Yasuhiro Omori and Zhengjun Zhang (2012), "Efficient estimation and particle filter for max-stable processes," Journal of Time Series Analysis, 33-1, 61-80, January 2012.
Koji Miyawaki, Yasuhiro Omori and Akira Hibiki (2011), "Panel data analysis of Japanese residential water demand using a discrete/continuous choice approach," Japanese Economic Review, 62, 365-386, September 2011.
Yasuhiro Omori and Koji Miyawaki (2010), "Tobit model with covariate dependent thresholds," Computational Statistics and Data Analysis, 54-11, 2736-2752, November 2010.
Tsunehiro Ishihara and Yasuhiro Omori (2010), "Multivariate stochastic volatility model with cross leverage," Proceedings in Computational Statistics 2010 (COMPSTAT' 2010), 315-323, August 2010.
Yasuhiro Omori and Koji Miyawaki (2010), "Tobit model with covariate dependent thresholds," Computational Statistics and Data Analysis, 54-11, 2736-2752, November 2010.

Publications
2000-2009
<Articles>
"Multivariate Stochastic Volatility," Handbook of Financial Time Series (eds. T. G. Andersen, R. A. Davis, Jens-Peter Kreiss and T. Mikosch), 365-400 (with Siddhartha Chib and Manabu Asai), Springer-Verlag: New York, April 2009.
"Estimating stochastic volatility models using daily returns and realized volatility simultaneously," Computational Statistics and Data Analysis, 53-6, 2404-2426 (with Makoto Takahashi and Toshiaki Watanabe), April 2009.
"Leverage, heavy-tails and correlated jumps in stochastic volatility models," Computational Statistics and Data Analysis, 53-6, 2335-2353 (with Jouchi Nakajima), April 2009.
"Efficient semiparametric Bayesian estimation of multivariate discrete proportional hazards model with random effects," Communications in Statistics-Theory and Methods, 38-1, 29-41 (with Richard A. Johnson), January 2009.
"Block sampler and posterior mode estimation for asymmetric stochastic volatility models," Computational Statistics and Data Analysis, 52-6, 2892-2910 (with Toshiaki Watanabe), February 2008.
"Stochastic volatility with leverage: fast and efficient likelihood inference,"Journal of Econometrics, 140-2, 425-449 (with Siddhartha Chib, Neil Shephard and Jouchi Nakajima), October 2007.
"Efficient Gibbs sampler for Bayesian analysis of a sample selection model," Statistics and Probability Letters, 77-12, 1300-1311, July 2007.
"Bayesian estimation of demand functions under block rate pricing," Discussion paper series, CIRJE-F-424, Faculty of Economics, The University of Tokyo. 2006. (with Miyawaki, K. and Hibiki, A.)
"The influences of random effects on univariate and bivariate discrete proportional hazards models," Communications in Statistics-Theory and Methods. 35, 1757 - 1764. 2006. (Johnson, R. A.)
"A multi-move sampler for estimating non-Gaussian times series models: comments on Shephard and Pitt (1997)," Biometrika. 91, 246-248, 2004. (with Watanabe, T.)
"Block sampler and posterior mode estimation for a nonlinear and non-Gaussian state-space model with correlated errors," Discussion Paper Series, CIRJE-F-221, Faculty of Economics, The Universty of Tokyo. 2003. (with Watanabe, T.)
"Posterior probability of poulation uniqueness in microdata," (in Japanese), Proceedings of the Institute of Statistical Mathematics. 51-2, 223-239, 2003.
"Discrete duration model having autoregressive random effects with application to Japanese diffusion index,"Journal of the Japan Statistical Society. 33, 1-22, 2003.
"Estimation for unequally spaced time series of counts with serially correlated random effects," Statistics and Probability Letters. 63, 1-12, 2003.
"Recent developments in Markov chain Monte Carlo method," (in Japanese), Journal of the Japan Statistical Society. 31, 305-344, 2001.
<Book Review and etc.>
Review of "Miller & Freund's probability and statistics for engineers," Johnson, Richard A., IIE Transactions. 33, 823-824, 2001.
"Bayesians in Japan," The ISBA Bulletin. 8(3), 16-18, 2001.(with Wago, H.)

Publications
1995-March, 2000
<Articles>
"Posterior probability ofpPopulation uniqueness using spatial Gaussian prior," (in Japanese) Journal of the Faculty of Economics. Tokyo Metropolitan University, 88(1), 57-66, 1999.
"Some consequences of random effects in multivariate survival models," Multivariate Analysis, Design of Experiments and Survey Sampling. edited by S. Ghosh, New York: Marcel Dekker, 301-347, 1999. (with Johnson, R. A.)
"The influences of random effects on bivariate and trivariate survival models," Journal of Nonparametric Statistics. 11, 137-159, 1999. (with Johnson, R. A.)
"Measuring identification disclosure risk for categorical microdata by posterior population uniqueness," in Statistical data protection - Proceedings of the conference, Lisbon, 25 to 27 March 1998 - 1999 edition. Office for Official Publications of the European Communities, Luxembourg, 59-76, 1999.
"Multivariate discrete proportional hazards models with random effects," Research Paper Series, Vol. 8, Tokyo Metropolitan University. 1998. (with Johnson, R. A.)
"Disclosure control of microdata based on multivariate two sample test," (in Japanese) Journal of the Faculty of Economics. Tokyo Metropolitan University, 87(3), 91-103, 1998.
"Comparing two means in count models having random effects -A UMPU test," Statistics and Probability Letters. 34, 225-235, 1997.
"Markov chain Monte Carlo method," (in Japanese) , Economics Journal of Chiba University. 10(4), 237-287, 1996.
<Book Review and etc.>
Review of "Continuous univariate distributions, Vol. 1 (2nd ed.)," Johnson, Kotz and Balakrishnan, Journal of the American Statistical Association. 90, 1490-1491, 1995.

Selected Publications prior to 1995
<Articles>
"Uniformly most powerful test for conditionally exponential family and its applications," (in Japanese), Economics Journal of Chiba University. 8 (4), 169-183, 1994.
"The influence of random effects on the unconditional hazard rate and survival functions," Biometrika. 80, 910-914, 1993. (with Johnson, R. A.)
"Asymptotic normality of estimators for multiple time series count data with an application to nonhomogeneous poisson process," Economics Journal of Chiba University. 8 (2-3), 101-134, 1993.
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