The best linear unbiased predictor (BLUP) is called a kriging predictor and has been widely used to interpolate a spatially correlated random process in scientic areas such as geostatistics. The BLUP is identical with the conditional expectation if an underlying random eld is Gaussian and...

We formulate nonparametric and semiparametric hypothesis testing of multivariate stationary time series in a unified fashion and propose new test statistics based on estimators of the spectral density matrix. The limiting distributions of these test statistics under null hypotheses are always...

We consider asymptotic properties of the least squares estimator(LSE) in spatial regression with correlated errors. Firstly we derive sufficient conditions for the LSE to be strongly consistent and next necessary and/or sufficient conditions tor the LSE to be asymptotically efficient relative to...

We consider three estimators of the autocorrelation function for a stationary process with missing observations. The first estimator is linked with the Yule-Walker estimator, the second one the least squares estimator, and the third one the sample correlation coefficient. We clarify their...

In the paper, we propose a new calculation scheme for American options in the framework of a forward backward stochastic dierential equation (FBSDE). The well-known decomposition of an American option price with that of a European option of the same maturity and the remaining early exercise...

This paper develops a new scheme for improving an approximation method of a probability density function, which is inspired by the idea in <I>best approximation in an inner product space</I>. Moreover, we applies "Dykstra's cyclic projections algorithm" for its implementation. Numerical examples for...</i>

This paper develops a general pricing method for multi-asset cross currency options, whose underlying asset consists of multiple different assets, and the evaluation currency is different from the ones used in the most liquid market of each asset; the examples include cross currency options,...

In this paper, we have studied the pricing of a continuously collateralized CDS. We have made use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we have found that there exists irremovable trace of the counter party as well as the investor in the...

　　 This paper develops a new scheme for improving an approximation method of a probability density function, which is inspired by the idea in<em> the Hilbert space projection theorem</em>. Moreover, we apply “Dykstra's cyclic projections algorithm†for its implementation....

　　 This paper develops a new efficient scheme for approximations of expectations of the solutions to stochastic differential equations (SDEs). In particular, we present a method for connecting approximate operators based on an asymptotic expansion to compute a target expectation...