R
Reiichiro Kawai
Researcher at University of Sydney
Publications - 80
Citations - 1076
Reiichiro Kawai is an academic researcher from University of Sydney. The author has contributed to research in topics: Monte Carlo method & Fisher information. The author has an hindex of 19, co-authored 69 publications receiving 935 citations. Previous affiliations of Reiichiro Kawai include University of Leicester & University of Tokyo.
Papers
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Journal ArticleDOI
On simulation of tempered stable random variates
Reiichiro Kawai,Hiroki Masuda +1 more
TL;DR: In this article, acceptance-rejection sampling, a Gaussian approximation of a small jump component, and infinite shot noise series representations are investigated with a view towards practical implementation, in particular cases of very small scale parameter, which correspond to increments of a tempered stable Levy process with a very short stepsize.
Journal Article
Infinite variation tempered stable Ornstein-Uhlenbeck processes with discrete observations
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Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling∗
Reiichiro Kawai,Hiroki Masuda +1 more
TL;DR: In this paper, the authors prove the local asymptotic normality for the full parameters of the normal inverse Gaussian Levy process X, when they observe high-frequency data XΔn,X2 Δn,...,XnΔ n with sampling mesh Δn−→−0 and the terminal sampling time n−∞.
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Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations
Reiichiro Kawai,Hiroki Masuda +1 more
TL;DR: With the exact transition law and proposed simulation techniques, sample paths simulation proves significantly more efficient, relative to the known approximative technique based on infinite shot noise series representation of tempered stable Lévy processes.
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On layered stable processes
Christian Houdré,Reiichiro Kawai +1 more
TL;DR: In this article, a series representation of layered stable processes is derived, giving insights into the structure both of the sample paths and of the short and long-range behaviours of the process.