アブストラクト事後公開 — 2018年度年会(於:東京大学)
統計数学分科会
2017年度(第16回)日本数学会解析学賞受賞特別講演 緊密性をもつ対称マルコフ過程の性質 竹田雅好 (東北大理) We consider irreducible, strong Feller, symmetric Markov processes with tightness property, and call the class of symmetric Markov processes having such properties Class (T). If a symmetric Markov process in Class (T) is conservative, then it has a very strong recurrence property, and if not, then it explodes very fast. Using this fact, we can derive some spectral properties, for example, $p$independence of the growth bound of its semigroup, compactness of semigroup, bounded continuity of eigenfunctions. As an application of these properties, we can prove the existence and uniqueness of quasistationary distribution. By checking timechanged processes to be in Class (T), we give an analytic characterization of the criticality (or subcriticality) for Schroedinger forms. Moreover, we show that Green function for Schroedingertype operator satisfies some principles in potential theory (eg. Ugaheri’s maximum principle, the continuity principle) if the principal eigenvalue of the timechanged process is greater than one. 

特別講演 数理ファイナンスの第1基本定理 ―確率積分とマルチンゲール測度― 高岡浩一郎 (一橋大商) The first fundamental theorem of asset pricing roughly states that a stochastic process satisfies a property concerning the Itô integrals with respect to it, called the noarbitrage property, if and only if the process has an equivalent martingale measure. The theorem for discretetime finitedimensional processes on finite probability spaces, which goes back to Harrison and Kreps (1979), is a restatement of Stiemke’s lemma of finitedimensional linear algebra. The theorem in the general setting can thus be viewed as an infinitedimensional extension of Stiemke’s lemma. In the continuoustime setting, there is more than one way to formulate the “noarbitrage property.” In this presentation, an emphasis will be put on the $L^0$ space of random variables and the technique of numeraire change. 

特別講演 BIBデザインの組加法性と関連する組合せ構造 松原和樹 (中央学院大商) A set of $\ell$ balanced incomplete block (BIB) designs with common parameters having pairwise additivity is called an $\ell$pairwise additive BIB design. The $\ell$pairwise additivity of BIB designs can be regarded as a decomposition of a BIB design and/or a composition of several BIB designs, and further yields BIB designs with $\ell$ distinct block sizes. In this talk, we discuss comprehensively the existence of $\ell$pairwise additive BIB designs through the relationship with other combinatorial structures. Especially, as related combinatorial structures, we focus on nested BIB designs, orthogonal arrays (mutually orthogonal latin squares), perpendicular arrays, difference matrices and finite geometries. Furthermore, we present some results on splittingbalanced block designs named newly. The pairwise additivity also relates to the splittingbalanced property. The splittingbalanced block design (also called a splitting BIB design in literature) was introduced for applications to authentication codes by Ogata et al. in 2004. Finally, the bound of the number of blocks and some existence of splittingbalanced block designs are provided. 

特別講演 ヒルベルト空間における弱収束理論とその応用 佃 康司 (東大総合文化) In this presentation, weak convergences of random processes taking values in a separable Hilbert space are discussed. Especially, by using a common approach based on the limit theory in $L^2$ spaces, we study partial sum processes of dependent random variables which appear in the following two topics: (i) statistical change point testing; (ii) functional central limit theorem for logarithmic combinatorial assemblies. (i) Statistical change point testing. When there exist chronologically obtained data, it is in interest to determine whether there are structural changes or not. In the domain of statistics, tests for such hypothesis is considered in the socalled change point testing. For parametric change point problems, several works have proposed test procedures based on score functions. Following these works, we propose a procedure based on the functional of a weighted random process whose weak convergence is discussed in $L^2(0,1)$, which is a modification of test statistics in previous works. (ii) Functional central limit theorem for logarithmic combinatorial assemblies. Assemblies are a class of random combinatorial structures which includes random permutations, random mappings, random forests of labeled trees, and so on. The law of component counts of assemblies is provided from independent Poisson variables combined with the conditioning relation. In previous works, the weak convergence of the partial sum process of component counts of logarithmic assemblies, which are assemblies satisfying the logarithmic condition, has been considered in the Skorokhod space. On the other hand, we consider the partial sum process involving a weight function, which makes the limit different, and derive its weak convergence in $L^2(0,1)$. 

1. 
Fluctuation theory for leveldependent Lévy processes 山崎和俊 (関西大システム理工)・I. Czarna (Univ. of Wroc{\l}aw)・J.L. Perez (Centro de Investigaci\'on en Matem\'aticas)・T. Rolski (Univ. of Wroc{\l}aw) We consider a leveldependent Lévy process that changes its drift depending on the position of the process. We first generalize the refracted Lévy process of Kyprianou and Loeffen (2010), which changes its drift above a given threshold, to the multirefracted case. We then extend the results for more general leveldependent Lévy processes. We show how fluctuation identities of these processes can be expressed via scale functions. 

2. 
負スペクトルLévy過程における Poisson的配当の最適化問題 野場 啓 (京大理)・J.L. Pérez (CIMAT)・山崎和俊 (関西大システム理工)・矢野孝次 (京大理) We study the optimal periodic dividend problem where dividend payments can only be made at the jump times of an independent Poisson process. 

3. 
Upper rate functions of Brownian motion type for symmetric jump processes 塩沢裕一 (阪大理)・Jian Wang (Fujian Normal Univ.) We are concerned with upper rate functions for a symmetric jump process on the Euclidean space generated by a regular Dirichlet form. We give a condition on the jumping function for the process to enjoy upper rate functions of Brownian motion type. Our condition implies that the second moment of the jumping function is finite. 

4. 
正規分布の自由自己分解可能性 長谷部高広 (北大理)・佐久間紀佳 (愛知教育大教育)・S. Thorbjørnsen (Aarhus Univ.) We prove that the (classical) normal distributions are freely selfdecomposable. More generally it is established that the Askey–Wimp–Kerov distributions are freely selfdecomposable. The main ingredient in the proof is a general characterization of the freely selfdecomposable distributions in terms of the derivative of their free cumulant transform. 

5. 
The maxima for the generalized St. Petersburg game 中田寿夫 (福岡教育大) In this talk, we consider the maxima of payoffs for the generalized St. Petersburg game. The maxima for the original St. Petersburg game cannot be normalized to converge to a nondegenerate limit distribution. However, tuning the parameters appearing in the generalization, we show the normalized maxima converge to the Fréchet distribution. 

6. 
平坦な臨界点を持つ単峰写像力学系の大偏差原理について 鄭 容武 (広島大工)・高橋博樹 (慶大理工) We study a smooth unimodal map whose critical point is nonrecurrent and flat. Assuming the critical order is either polynomial or logarithmic, we establish the large deviation principle and give a partial description of the zeroes of the corresponding rate function. 

7. 
Relation between mixing properties and chaos in the sense of Devaney 波止元仁 (東京工高専) In this talk, we consider continuous maps of a metric space and introduce relations between mixing properties such as decay of correlations and topologically mixing and Devaney’s chaos. 

8. 
無限保測変換に対する厳格エルゴード的相対モデル定理 湯浅久利 (大阪教育大教育) Every factor map between given ergodic, measurepreserving transformations on infinite Lebesgue spaces can be realized as a proper, factor map between strictly ergodic, locally compact Cantor systems. A locally compact Cantor system is a topological dynamical system of a homeomorphism on a locally compact (noncompact) metric space, whose onepoint compactification is a Cantor set. Such a system, or a homeomorphism, is said to be strictly ergodic if the homeomorphism has a unique, up to scaling, invariant Radon measure and every orbit of it is dense in the metric space. 

9. 
On convergence of the Gibbs measures of perturbed graph iterated function systems with degeneration 田中晴喜 (和歌山県立医大) We study a perturbation of graph iterated function systems (graph IFS). In this study, we consider a family of graph IFSs with small parameter $\epsilon>0$ such that some functions which compose this IFS converge to constant values as $\epsilon\to 0$. Therefore, the limit graph IFS (unperturbed system) may have several Gibbs measures associated with the dimension of the limit set even if the parametrized graph IFS (perturbed system) possess a unique Gibbs measure $\mu(\epsilon,\cdot)$ for each $\epsilon>0$. In this situation, we give a necessary and sufficient condition for convergence of $\mu(\epsilon,\cdot)$ in the case when the limit graph IFS has $2$ or $3$ Gibbs measures. In particular, this condition is composed of Perron eigenvalues of Ruelle operators. 

10. 
On $p$frame potential of random point configurations on the sphere 平尾将剛 (愛知県立大情報) In this talk we deal with two types of random point configurations, spherical ensemble and the jittered sampling on the sphere. The former is a wellstudied determinantal point process on the sphere, and the latter is one of the famous random sampling method. We compare these random point configurations with spherical designs, which are one of the nonrandom ^^ ^^ good” point configurations on the sphere in the viewpoint of $p$frame potential. We also discuss other random point configurations on the sphere if possible. 

11. 
減衰因子のあるホワイトノイズをポテンシャルとする1次元シュレーディンガー作用素について 南 就将 (慶大医) We consider the Schrödinger operator whose potential consists of the white noise multiplied by a decaying factor. This model can be defined as a symmetric operator for any realization of white noise, and it is almost surely selfadjoint under some mild conditions. The nature of the positive part of this operator is similar to the model considered by Kotani and Ushiroya (CMP vol. 115 (1988)). 

12. 
Diffusion processes with random potentials consisting of specially contracted selfsimilar processes 鈴木由紀 (慶大医) Limiting behaviors of onedimensional diffusion processes with random potentials are studied. The potentials consist of specially contracted selfsimilar processes. The minimum processes and the maximum processes of the processes are also investigated. 

13. 
Wiener汎関数のSFCからの広義の再構成式について 星野浄生 (阪府大理) We discuss whether a random function (or a stochastic differential as an extension) is identified and how it is reconstructed from the stochastic Fourier coefficients (SFCs). In this talk, we focus on Skorokhod type SFC and give simple reconstruction formulas using Wiener chaos decomposition from SFCs of Wiener functionals on a space with Haar measure. 

14. 
逆準凸制約を持つ準凸計画問題について 鈴木 聡 (島根大総合理工) In this talk, we study quasiconvex programming with a reverse quasiconvex constraint. We introduce affine and quasiaffine characterizations of a reverse quasiconvex constraint. By using these characterizations, we show necessary optimality conditions for the problem in terms of Greenberg–Pierskalla subdifferential. Additionally, we investigate surrogate duality for quasiconvex programming with a reverse quasiconvex constraint. 

15. 
Adaptive approach in a multivariate Bayesian control chart 堀口正之 (神奈川大理) In this talk, we consider an adaptive control approach in Markov decision process in order to solve a problem of multivariate Bayesian control chart. We show that there exist an average optimal adaptive and asymptotically discounted optimal policies. 

16. 
合流型推移をもつ決定過程について —3つの再帰的アプローチ— 藤田敏治 (九工大工) In this study, we consider a decision process model with a converging branch system which is one of the nonserial transition systems. The model is treated by three approaches. Thus we introduce three types of recursive equations by using dynamic programming technique. 

17. 
A超幾何分布からの直接抽出とランダムYoung図形への応用 間野修平 (統計数理研) A distribution whose normalization constant is an Ahypergeometric polynomial is called an Ahypergeometric distribution. Such a distribution is in turn a generalization of the generalized hypergeometric distribution on the contingency tables with fixed marginal sums. For sampling from an Ahypergeometric distribution, the first choice may be use of Markov chain Monte Carlo (MCMC) with moves generated by a Markov basis. In this talk, as an alternative to MCMC methods, a direct sampling algorithm for general Ahypergeometric distribution will be presented. As an application of the exact sampler, sampling from random Young tableaux will be discussed. The Ferguson’s Dirichlet process is an example of such random Young tableaux. A popular direct sampler, such as the Blackwell–MacQueen’s urn scheme, does not work for random Young tableaux without infinite exchangeability. In contrast to the urn schemes, our direct sampler still works without exchangeability. 

18. 
Probabilistic loop path integral for spins 山下秀康 (愛知学院大教養) Let ${\rm Spin}(2\ell+1)$ denote the spin group, represented as a subgroup of ${\rm SU}(2^{\ell})$ (spin representation). Let $G$ be ${\rm SU}(\ell)$ or ${\rm Spin}(2\ell+1)$, and $V$ be $\mathbb{C}^{\ell}$ or $\mathbb{C}^{2^{\ell}}$, respectively. Fix $T>0$ and% $S^{1}$ denote the loop, viewed as the interval $[0,2T]\subset\mathbb{R}$ where the endpoints identified. Let $H$ be a selfadjoint operator on $V$. For any operator $A$ on $V$, let $A(t):=e^{itH}Ae^{itH},\ t\in\mathbb{R}.$ We show some formulas which give the value of \[ {\rm Tr} A_{n}(t_{n})\cdots A_{0}(t_{0})B_{1}(t_{1}')\cdots B_{m}(t_{m}'),\ 0=t_{0}<\cdots<t_{n}=T,\ 0<t_{1}'<\cdots<t_{m}'<T, \] which can be interpreted as a quantum expectation value, by a limit of probability measures on $C^{\infty}\left(S^{1},G\right)$. 

19. 
On the regularity of Gaussian processes indexed by Dirichlet spaces 小川重義 (立命館大理工)・G. Kerkyacharian (LPMA, Univ. ParisDiderot)・P. Petrushev (Univ. South Carolina)・D. Picard (Univ. ParisDiderot) We are concerned with the regularity of centered Gaussian processes $(Z_x( \omega ))_{x \in M}$ indexed by compact metric spaces $(M, \rho)$. We are to show as our main result that the almost everywhere Besov space regularity of such a process is (almost) equivalent to the Besov regularity of the covariance $K(x,y) = E(Z_x Z_y)$ under the assumption that (i) there is an underlying Dirichlet structure on $M$ which determines the Besov space regularity, and (ii) the operator $K$ with kernel $K(x, y)$ and the underlying operator $A$ of the Dirichlet structure commute. As an application of this result we investigate the case of compact homogeneous spaces and, in particular, the case where $M$ is the sphere. 

20. 
Convergence of diffusion processes in a tube 嶽村智子 (奈良女大理) Diffusion processes in a tube are direct product diffusion processes $\mathbb Y$ of one dimensional diffusion processes $X^{(1)}$ and skew product diffusions $\Xi,$ or the time changed process $\mathbb X$ which is based on a positive continuous additive functional $\Phi(t)$. The skew product $\Xi$ are given by one dimensional diffusion processes $\rm R$ and a spherical Brownian motion $\Theta$ by means of positive continuous additive functional ${\bf f}(t)$. We show a limit theorem for a sequence of time changed process ${\mathbb X}_n$ under some assumptions for ${\rm R}_n$, $\nu_n$ ( Revuz measure of ${\bf f}_n(t)$), and underlying measure. 

21. 
GA$^\ast$optimal balanced thirdorder designs of resolution $\mathrm{R}^{\ast}(\{10,01\})$ with $N<\nu(m)$ for $3^m$ factorials 弓場 弘 (国際自然研)・兵頭義史 (岡山理大総合情報研／国際自然研)・桒田正秀 (国際自然研) We consider the thirdorder linear model for $3^{m}$ factorials. In previous talk (MSJ Autumn Meeting 2017), we gave the A$^{\ast}$optimal $3^{m}$BTO designs of resolution $\mathrm{R}^{\ast}(\{10,01\})$ derived from SA’s with the number of assemblies ($=N$) is less than the number of nonnegligible factorial effects ($=\nu(m)$) and $m\ge6.$ Let $T$ be a $3^{m}$BTO design of resolution $\mathrm{R}^{\ast}(\{10,01\})$ derived from an SA with $N$ assemblies, and further let $\sigma^{2}S_{T}(\alpha)$ ($\alpha=0,1,2$) be the trace of the variancecovariance matrix of the estimators based on $T$. If $S_{T}(\alpha)\le S_{T^{\ast}}(\alpha)$ for any $T^{\ast},$ then $T$ is said to be $\mathrm{GA}_{\alpha}^{\ast}$optimal, where $T^{\ast}$ is a $3^{m}$BTO design of resolution $\mathrm{R}^{\ast}(\{10,01\})$ derived from an SA with $N$ assemblies. In this talk, we present $\mathrm{GA}_{\alpha}^{\ast}$optima $3^{m}$BTO designs of resolution $\mathrm{R}^{\ast}(\{10,01\})$ derived from SA’s for $m=6,7,8,$ where $N<\nu(m).$ 

22. 
正方分割表における局所対称モデルからの隔たりを測る調和平均型尺度 高見光広 (東京理大理工)・三枝祐輔 (横浜市大医)・石井 晶 (東京理大理工)・富澤貞男 (東京理大理工) In this talk, we propose a new measure for square contingency tables. We construct the measure on the basis of the weighted harmonic mean of the diversity index. We derive properties of the measure and introduce a new model, local symmetry model. 

23. 
多次元分割表における完全独立性検定統計量の改良 種市信裕 (北教大札幌)・関谷祐里 (北教大釧路)・外山 淳 (数学利用研) We consider a test of complete independence in multidimensional contingency tables. We derive an expression for approximation of the null distribution of the test statistic based on asymptotic expansion. By using the continuous term of the expansion, we consider transformed statistics that increase the speed of convergence to a chisquare limiting distribution. 

24. 
正方分割表における併合した3×3表を用いた点対称性からの隔たりを測る尺度 池澤友哉 (東京理大理工)・生亀清貴 (東京理大理工)・山本紘司 (阪市大医)・富澤貞男 (東京理大理工) For square contingency tables with ordered categories, there may be some cases that one wants to analyze them by considering collapsed tables with some adjacent categories combined in the original table. This presentation considers the pointsymmetry model for collapsed square contingency tables and proposes a measure to represent the degree of departure from pointsymmetry. Also this presentation gives approximate confidence interval for proposed measure. 

25. 
正方分割表における共分散対称モデルと対称モデルの分解 吉本拓矢 (東京理大理工／中外製薬(株))・田畑耕治 (東京理大理工)・生亀清貴 (東京理大理工)・富澤貞男 (東京理大理工) For the analysis of square contingency table, Caussinus (1965) pointed out that the symmetry model holds if and only if both the quasisymmetry model and the marginal homogeneity model hold. This presentation proposes the covariance symmetry model and the decomposition theorem of the symmetry model into the covariance symmetry model and the marginal homogeneity model, which are different from Causinnus’s. 

26. 
連続変量を含む条件付相互情報量の推定 鈴木 譲 (阪大基礎工) This paper considers to estimate conditional mutual information given three sequences each of which is either continuous of discrete. The estimation generates a sequence of quantizations, estimate conditional mutual information of quantized values, and choose the maximum estimation value. It estimates continuous and discrete variables alike in a seemless manner. In particular, we prove two important properties. First, with probability one as the sample size goes to infinity, the obtained estimation is zero if and only if they are conditionally independent. Secondly, the estimation asymptotically converges to the true value. The procedure has been implemented in the CRAN package BNSL developed by J. Suzuki and J. Kawahara. 

27. 
高次元固有値推定におけるバイアス補正について 矢田和善 (筑波大数理物質)・青嶋 誠 (筑波大数理物質) In this talk, we consider estimation of eigenvalues in highdimensional settings. First, we show that the sample eigenvalue is not a consistent estimator of the true eigenvalue for highdimensional settings. Yata and Aoshima (2012, JMVA) proposed a new PCA method called the noise reduction (NR) methodology. The estimation of the eigenvalue by the NR method has a firstorder consistency. We investigate more deeply the asymptotic behavior of the NR method. We give a new eigenvalue estimation and show that it holds the secondorder consistency. 

28. 
ノイズ掃き出し法を用いた高次元共分散行列の同等性検定 石井 晶 (東京理大理工)・矢田和善 (筑波大数理物質)・青嶋 誠 (筑波大数理物質) In this talk, we consider the equality tests of covariance matrices for highdimensional data. Aoshima and Yata (2017) proposed two eigenvalue models for highdimensional data and constructed twosample test procedures. One is called strongly spiked eigenvalue (SSE) model and the other one is called nonSSE (NSSE) model. Ishii et al. (2016) proposed an equality test of two covariance matrices under the SSE model. Li and Chen (2012) proposed a test procedure under the NSSE model. We evaluate the test statistic of Li and Chen (2012) under the SSE model and give new test procedures by using the noisereduction method given by Yata and Aoshima (2012). We also compare our new test procedures with that given by Ishii et al. (2016). 

29. 
Smoothed twosample nonparametric tests and their asymptotic properties 前園宜彦 (九大数理)・森山 卓 (九大数理) In this paper we discuss smoothed rank statistics for testing a location shift parameter of the twosample problem. They are based on the discrete test statistics —the median and Wilcoxon’s rank sum tests. For the onesample problem, Maesono et al. (2017) reported that some nonparametric discrete tests have a problem with their $p$values because of their discreteness. The $p$values of the Wilcoxon’s test are frequently smaller than those of the median test in tail area. This causes an arbitrary choice of the median and Wilcoxon’s rank sum tests. In order to conquer this problem, we propose smoothed versions of those tests. The smoothed tests inherit good properties of the original tests, and asymptotically equivalent to the original test statistics. We study significance probabilities and local asymptotic powers of the proposed tests. 

30. 
Martingale expansion and power variation 吉田朋広 (東大数理) Inference for volatility under finite time horizon becomes nonergodic statistics. The quasimaximum likelihood estimator and the Bayesian type estimator of the volatility parameter are asymptotically mixed normal in general. Asymptotic expansion in nonergodic systems is then indispensable to develop the higherorder inferential theory for volatility. We present asymptotic expansion of a martingale having a mixed normal limit. The expansion formula is expressed by the adjoint of a random symbol with coefficients described by the Malliavin calculus, differently from the standard invariance principle. We discuss its application to the power variation of a diffusion process. Identification of the random symbols is an issue. 

31. 
Asymptotic expansion of Skorohod integrals 吉田朋広 (東大数理) Asymptotic expansion of the distribution of the Skorohod integral jointly with a reference variable is derived. We introduce a secondorder interpolation formula in frequency domain to expand a characteristic functional and combine it with the scheme developed in the martingale expansion. Random symbols are used for expressing the asymptotic expansion formula. Quasi tangent, quasi torsion and modified quasi torsion are introduced in this paper. This is a joint work with D. Nualart. 

32. 
高次元時系列におけるWhittle推定量の漸近理論とその数値例 谷田義行 (早大理工)・明石郁哉 (早大理工)・谷口正信 (早大理工) In this presentation, we develop the estimation theory for Whittle functional of highdimensional nonGaussian dependent processes. Using a sample version based on a thresholded periodogram matrix, we introduce a thresholded Whittle estimator of unknown parameter, and elucidate its asymptotics. It is shown that the thresholded Whittle estimator is a $\sqrt{n}$consistent estimator of the unknown parameter, and that the standardized version has the asymptotic normality. Some numerical studies illuminate an interesting feature of the results. Concretely, for highdimensional AR(2), we compared the difference of RMSE between the usual Whittle estimator $\hat{\theta}_{w}$ and the thresholded estimator $\hat{\theta}_{w,th}$, leading to a conclusion that $\hat{\theta}_{w,th}$ is better than $\hat{\theta}_{w}$. 

33. 
LASSO estimators for highdimensional time series with longmemory disturbances Yujie Xue (早大理工)・谷口正信 (早大理工) Consider a linear regression model: $Y_t=z'_t\beta+\varepsilon_t$ where $\{\varepsilon_t\}$ is a stationary process with mean zero and spectral density $f(\lambda)$, and $z_t$ is a known nonrandom function vector of $t$. In this talk, it is desired to discuss the LASSO estimator of $\beta$ when $\{\varepsilon_t\}$ is a longmemory strictly stationary process (i.e. $f(\lambda)$ is unbounded at the origin) all of whose moments exist and has the infinite moving average representation, and when the dimension of $\beta$ defined as $p$ increases with sample size $n$. An interesting property of the LASSO estimators is shown. 

34. 
Cox’s proportional hazards model with a highdimensional and sparse regression parameter 藤森 洸 (早大理工) This talk deals with the proportional hazards model proposed by D. R. Cox in a highdimensional and sparse setting for a regression parameter. To estimate the regression parameter, the Dantzig selector is applied. The variable selection consistency of the Dantzig selector for the model will be proved. This property enables us to reduce the dimension of the parameter and to construct asymptotically normal estimators for the regression parameter and the cumulative baseline hazard function. 

35. 
自己加重型GEL統計量の局所検出力及び加重関数選択手法 明石郁哉 (早大理工) Recently, we often observe the heavytailed time series data in variety of fields, and it is unfeasible to apply the classical likelihood ratiobased method to such data directly. To overcome the difficulty, this talk constructs the selfweighted generalized empirical likelihood (SWGEL) statistic for possibly infinite variance processes, and elucidates the local asymptotic power of the SWGEL statistic. The selfweighting method proposed by Ling (2005, JRSS) enables us to control effects brought by the infinite variance of underlying time series models. By the selfweighting method, the proposed statistic converges to the noncentral chisquare distribution under the local alternatives. This talk also introduces the selection procedure of tuning parameters in selfweights based on the local asymptotic power. 

36. 
高頻度観測の下での安定過程の局所漸近正規性 福田 光 (阪大基礎工)・深澤正彰 (阪大基礎工) It is well known that the property of local asymptotic normality (LAN) allows us to discuss the asymptotic efficiency of estimation via minimax theorems. We proved LAN property for symmetric stable processes and onesided stable processes under highfrequency observations using nondiagonal rate matrices depending on the parameter to be estimated. In contrast to the classical LAN families in the literature, nondiagonal rate matrices are inevitable. 