| 日時 | 2025年9月26日(金) 17:10−18:40 |
|---|---|
| 場所 | 西キャンパス本館3４番教室 |
| 講演者1: | 黒住 英司(一橋大学・経済) "Confidence Sets for the Emerging, Collapsing, and Recovery Dates of a Bubble" 概要:We propose constructing confidence sets for the emerging, collapsing, and recovery dates of a bubble by inverting tests for the location of the break date. We investigate both likelihood ratio-type tests and Elliott-Muller-type (2007) tests for detecting the break location. The limiting distributions of these tests are derived under the null hypothesis, and their asymptotic consistency under the alternative hypothesis is also established. The finite-sample properties are examined through Monte Carlo simulations. The results show that combining different types of tests is effective in controlling the coverage rate while maintaining a reasonable size of the confidence sets. |
| 講演者2: | 豊田 雅樹(一橋大学・D2) "Nonparametric Inference on Regression Level Sets with FDR Control" 概要:Identifying the level set of a regression function, {x: m(x)>c}, is a fundamental problem in nonparametric statistics. We develop a methodology that estimates this set while controlling FDR asymptotically. To handle the continuous nature of X, we consider a continuous version of FDR, which evaluates the proportion of the falsely discovered region with respect to a given measure μ. We address two settings: (i) when μ is known (e.g., Lebesgue), and (ii) when μ is the unknown probability measure of X. For each case, we provide a multiple testing procedure with theoretical guarantees. The effectiveness of our approach is validated through simulations and an application to crop yield data. |
| 言語 | 日本語 |
| 幹事 | 本田敏雄 [経済学研究科] |
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