← All authors Muneya Matsui Nanzan University (per OpenAlex) · ORCID · OpenAlex
28 papers in scope · 27 published · 1 on the econ.EM arXiv · 351 citations · h-index 9 (over the papers listed here)
Papers (1 of 28)
working paper 2026 · arXiv
Moments for self-normalized partial sums
published 2025 · Stochastic Processes and their Applications
The Gaussian Central Limit Theorem for a Stationary Time Series With Infinite Variance
published 2025 · Journal of Time Series Analysis · 1 citations
Self-normalized partial sums of heavy-tailed time series
published 2025 · Stochastic Processes and their Applications · 2 citations · first circulated 2023
Distance covariance for random fields
published 2022 · Stochastic Processes and their Applications · first circulated 2021
CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH
published 2021 · Econometric Theory · 3 citations · first circulated 2019
with Rasmus Søndergaard Pedersen
Distance covariance for discretized stochastic processes
published 2020 · Bernoulli · 3 citations
Tail indices for $$\mathbf{A}\mathbf{X}+\mathbf{B}$$ Recursion with Triangular Matrices
published 2020 · Journal of Theoretical Probability · 4 citations · first circulated 2018
with W. Świątkowski
Asymptotics of maximum likelihood estimation for stable law with continuous parameterization
published 2020 · Communication in Statistics-Theory and Methods · 3 citations · first circulated 2019
Componentwise different tail solutions for bivariate stochastic recurrence equations with application to ${\rm GARCH}(1,1)$ processes
published 2019 · Colloquium Mathematicum · 8 citations · first circulated 2017
with Ewa Damek, W. Świątkowski
Distance covariance for stochastic processes
published 2018 · Probability and Mathematical Statistics · 8 citations · first circulated 2017
Applications of distance correlation to time series
published 2018 · Bernoulli · 61 citations · first circulated 2016
The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process
published 2016 · Advances in Applied Probability · 17 citations · first circulated 2015
Prediction in a mixed Poisson cluster model
published 2016 · Stochastic Models · 5 citations
with Tomasz Rolski
Generalized fractional Lévy processes with fractional Brownian motion limit
published 2015 · Advances in Applied Probability · 15 citations
with Claudia Klüppelberg
Macroeconomic dynamics in a model with heterogeneous wage contracts
published 2015 · Economic Modelling · 7 citations
with Taiyo Yoshimi
The Lamperti Transforms of Self-Similar Gaussian Processes and Their Exponentials
published 2014 · Stochastic Models · 1 citations
with Narn-Rueih Shieh
Prediction in a non-homogeneous Poisson cluster model
published 2013 · Insurance Mathematics and Economics · 8 citations
Prediction in a Poisson cluster model with multiple cluster processes
published 2013 · Scandinavian Actuarial Journal · 11 citations
Estimation of the tail index for lattice-valued sequences
published 2013 · Extremes · 9 citations
On the exponential process associated with a CARMA-type process
published 2012 · Stochastics · 2 citations
with Narn-Rueih Shieh
Prediction in a Poisson cluster model
published 2010 · Journal of Applied Probability · 17 citations
On the Exponentials of Fractional Ornstein-Uhlenbeck Processes
published 2009 · Electronic Journal of Probability · 18 citations
with Narn-Rueih Shieh
Integral representations of one-dimensional projections for multivariate stable densities
published 2008 · Journal of Multivariate Analysis · 7 citations
with Akimichi Takemura
The stationarity of multidimensional generalized Ornstein–Uhlenbeck processes
published 2008 · Statistics & Probability Letters · 1 citations
with Kotaro Endo
Goodness-of-Fit Tests for Symmetric Stable Distributions -- Empirical Characteristic Function Approach
published 2007 · Test · 44 citations · first circulated 2006
with Akimichi Takemura
Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives
published 2006 · Communication in Statistics-Theory and Methods · 45 citations · first circulated 2004
with Akimichi Takemura
Empirical characteristic function approach to goodness-of-fit tests for the Cauchy distribution with parameters estimated by MLE or EISE
published 2005 · Annals of the Institute of Statistical Mathematics · 51 citations · first circulated 2003
with Akimichi Takemura
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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