Dr. Kohei Marumo is an Associate Professor at the Faculty of Economics, Saitama University Japan, and Adjunct Associate Professor at WH Bryan Mining and Geology Research Centre, University of Queensland, Australia. He is also a member of the Diffusion Index Committee for the Saitama Prefecture Government. His research interests include non-parametric statistical methods applied to financial risk management. He was awarded a PhD in Mathematical Sciences from Queensland University of Technology Australia, an MSc in Applied Statistics from the University of Oxford United Kingdom, and Masters and Bachelors of Engineering from University of Tokyo Japan. He has worked as a Researcher in Financial Engineering, Financial Markets Analyst, and Bank Examiner at the Bank of Japan, before taking his current position. Recent publications include Density Approximation with Orthogonal Expansions under Constraints, (with R C Wolff) Saitama University Faculty of Economics Working Paper No. 8, 2015.
This paper discusses the application of orthogonal polynomials to the estimation of probability density functions.