at Aarhus, August 2018
Kohei Chiba resigned Osaka University at the end of March 31, 2023 to pursue another career. He also leaved Mathematics / Statistics, and no more "pretend" a professional.
If you still want to contact me, please E-mail to chiba.sigmath@gmail.com. (But I will rarely check this mailbox so I am sorry for delayed responses in advance.)
Assistant Professor at Graduate School of Engineering Science, Osaka University
E-mail address: kchiba.es [at] osaka-u.ac.jp / chiba [at] sigmath.es.osaka-u.ac.jp (The first one is preferable.)
Postal address: 3 Machikaneyama-cho 1-Chome, Toyonaka, Osaka, Japan
Room number: I404, Toyonaka campus
I am interested in statistical inference for stochastic processes (especially involving fractional Brownian motion).
8th April 2022: Joint work with Tetsuya Takabatake is posted on arXiv. [Link]
Chiba, Kohei. "An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter." Statistical Inference for Stochastic Processes 23(2) (2020): 319-353. [Link]
Chiba, Kohei. "Estimation of the lead–lag parameter between two stochastic processes driven by fractional Brownian motions." Statistical Inference for Stochastic Processes 22(3) (2019): 323-357. [Link]
Chiba, Kohei and Takabatake, Tetsuya. "Asymptotically Efficient Estimation of Ergodic Rough Fractional Ornstein-Uhlenbeck Process under Continuous Observations." arXiv preprint arXiv:2204.03271 (2022).[Link]
Chiba, Kohei. "LAN property for stochastic differential equations driven by fractional Brownian motion of Hurst parameter 1/4 < H < 1/2." arXiv preprint arXiv:1804.04108 (2018). [Link]
An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter, CMStatistics 2021, Hybrid conference (Online + King's College London), December 2021. [Link]
非整数ブラウン運動で駆動される確率微分方程式のドリフトパラメータ推定, 2021年度統計関連学会連合大会, Online, September 2021. [Link]
An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter, Modern Stochastics: Theory and applications V, Online, June 2021. [Link]
非整数ブラウン運動で駆動される確率微分方程式のドリフトパラメータ推定, 確率過程の統計推測の最近の展開 2021, Online, March 2021. [Link]
Consistency of the MLE for the drift parameter of an SDE driven by fBM with Hurst parameter 1/4 < H < 1/2, ASC2019: Asymptotic Statistics and Computations, Graduate School of Mathematical Sciences, The University of Tokyo, January 2019.
LAN property for stochastic differential equations driven by fractional Brownian motion of Hurst parameter 1/4 < H < 1/2 (poster), Third Conference on Ambit Fields and Related Topics, Department of Mathematics, Aarhus University, August 2018.
LAN property for stochastic differential equations driven by fractional Brownian motion of Hurst parameter 1/4 < H < 1/2, 統計数学セミナー, Graduate School of Mathematical Sciences, The University of Tokyo, May 2018.
非整数ブラウン運動で駆動される確率過程間のリード・ラグ推定, 確率過程の統計推測の最近の展開, Graduate School of Mathematical Sciences, The University of Tokyo, January 2018.
ハースト指数が1/2より大きい非整数ブラウン運動で駆動される確率過程間のリード・ラグ推定（ポスター）, CREST・さきがけ数学関連領域合同シンポジウム数学パワーが世界を変える2018, 富士ソフト秋葉原ビル5階アキバホール, January 2018.
Estimation of the lead-lag parameter between two stochastic processes driven by a fractional Brownian motion, 統計サマーセミナー2017, 鬼怒川パークホテルズ（木楽館）, August 2017.
Apr. 2018 -- Jan. 2020: JSPS Research Fellowship DC1, 確率過程の統計学に関する研究
Nov. 2016 -- Jan. 2020: FMSP course student
Mar.2018: Dean's Award (Master course), Graduate School of Mathematical Science, The University of Tokyo
Mar. 2018 : Master of Mathematical Sciences, Graduate School of Mathematical Sciences, The University of Tokyo
-Advisor: Professor Nakahiro Yoshida
-Thesis: Estimation of the lead–lag parameter between two stochastic processes driven by fractional Brownian motions