480 citations · 730 across the 9 of their papers we have counts for
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Testing the Order of Multivariate Normal Mixture Models
Hiroyuki Kasahara, Katsumi Shimotsu
Finite mixtures of multivariate normal distributions have been widely used in empirical applications in diverse fields such as statistical genetics and statistical finance. Testing…
Asymptotic Properties of the Maximum Likelihood Estimator in Regime Switching Econometric Models
Hiroyuki Kasahara, Katsumi Shimotsu
Markov regime switching models have been widely used in numerous empirical applications in economics and finance. However, the asymptotic distribution of the maximum likelihood est…
Exact local Whittle estimation of fractional integration
Katsumi Shimotsu, Peter C. B. Phillips
An exact form of the local Whittle likelihood is studied with the intent of developing a general-purpose estimation procedure for the memory parameter (d) that does not rely on tap…
Local Whittle estimation in nonstationary and unit root cases
Peter C. B. Phillips, Katsumi Shimotsu
Asymptotic properties of the local Whittle estimator in the nonstationary case (d>{1/2}) are explored. For {1/2}<d\leq 1, the estimator is shown to be consistent, and its limit dis…