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Semiparametric regression models are very useful for time series analysis. They facilitate the detection of features resulting from external interventions. The complexity of semiparametric models poses new challenges for issues of nonparametric and parametric inference and model selection that frequently arise from time series data analysis. In this paper,(More)
We propose a semiparametrically efficient estimator for α-risk-minimizing portfolio weights. Based on the work of Bassett et al. 2004 , an α-risk-minimizing portfolio optimization is formulated as a linear quantile regression problem. The quantile regression method uses a pseudolikelihood based on an asymmetric Laplace reference density, and asymptotic(More)
Integrating wind power generation into small islands has been one of the demonstration projects in Okinawa Prefecture, Japan. Since such integration could deteriorate power quality, including frequency, in an island grid, a frequency-stabilizing system using flywheels has been integrated into a small island. In order to establish a proper(More)
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