44 citations · 85 across the 32 of their papers we have counts for
16 papers · 1 filter
Mle-equivariance, data transformations and invariant tests of fit
Muneya Matsui, Simos Meintanis
We define data transformations that leave certain classes of distributions invariant, while acting in a specific manner upon the parameters of the said distributions. It is shown t…
Trigonometrically approximated maximum likelihood estimation for stable law
Muneya Matsui, Naoya Sueishi
A trigonometrically approximated maximum likelihood estimation for -stable laws is proposed. The estimator solves the approximated likelihood equation, which is obtained by proj…
Distance covariance for random fields
Muneya Matsui, Thomas Mikosch, Rasool Roozegar +1
We study an independence test based on distance correlation for random fields . We consider the situations when is observed on a lattice with equidistant grid sizes…
Asymptotics of maximum likelihood estimation for stable law with continuous parameterization
Muneya Matsui
Asymptotics of maximum likelihood estimation for -stable law are analytically investigated with a continuous parameterization. The consistency and asymptotic normality are shown…
Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach
Muneya Matsui, Rasmus Søndergaard Pedersen
We provide new, mild conditions for strict stationarity and ergodicity of a class of BEKK processes. By exploiting that the processes can be represented as multivariate stochastic…
Distance covariance for discretized stochastic processes
Herold Dehling, Muneya Matsui, Thomas Mikosch +2
Given an iid sequence of pairs of stochastic processes on the unit interval we construct a measure of independence for the components of the pairs. We define distance covariance an…