• The Korean Journal of Applied Statistics
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• v.17 no.3
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• pp.519-533
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• 2004

In this paper, we suggest quasi-likelihood estimation (QLE) method and its robust version in estimating spatial dependence modelled through variogram used for spatial data modelling. We compare the statistical characteristics of the estimators with other popular least squares estimators of parameters for variogram model by simulation study. The QLE method for estimating spatial dependence has the advantages that it does not need the concept of lags commonly required for least squares estimation methods as well as its statistical superiority. The QLE method also shows the statistical superiority to the other methods for the tested Gaussian and non-Gaussian spatial processes.

• The Korean Journal of Applied Statistics
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• v.24 no.5
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• pp.931-939
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• 2011

In practice, thresholds are determined by the two subjective assessment methods in a generalized pareto distribution of mean extreme function(MEF-graph) or Hill-graph. To remedy the problem of subjectiveness of these methods, we propose an alternative method to determine the threshold based on the robust statistics. We compared the MEF-graph, Hill-graph and our method through VaRs on the Korean stock market data from January 5, 1987 to August 3, 2009. As a result, the VaR based on the proposed method is not much different from the existing methods, and the standard deviation of VaR for our method was the smallest. The results show that our method can be a promising alternative to determine thresholds of the generalized pareto distributions.

• The Korean Journal of Applied Statistics
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• v.27 no.3
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• pp.397-406
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• 2014

The minimum density power divergence estimation has been a popular topic in the field of robust estimation for since Basu et al. (1988). The minimum density power divergence estimator has strong robustness properties with the little loss in asymptotic efficiency relative to the maximum likelihood estimator under model conditions. However, a limitation in applying this estimation method is the algebraic difficulty on an integral involved in an estimation function. This paper considers a minimum density power divergence estimation method with approximated divergence avoiding such difficulty. As an example, we consider the normal-exponential convolution model introduced by Bolstad (2004). The estimated divergence in this case is too complicated; consequently, a Laplace approximation is employed to obtain a manageable form. Simulations and an empirical study show that the minimum density power divergence estimators based on an approximated estimated divergence for the normal-exponential model perform adequately in terms of bias and efficiency.

• The Korean Journal of Applied Statistics
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• v.22 no.6
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• pp.1355-1364
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• 2009

This work propose a robust test for location parameters in multivariate data based on MVE and MCD with the affine equivariance and the high-breakdown properties. We consider the hypothesis testing satisfying high efficiency and high test power simultaneously to bring in the one-step reweighting procedure upon high-breakdown estimators, which generally suffer from the low efficiency and, as a result, usually used only in the exploratory analysis. Monte Carlo study shows that the suggested method retains nominal significance levels and higher testing power without regard to various population distributions than a Hotelling's $T^2$ test. In an example, a data set containing known outliers does not make an influence toward our proposal, while it renders a Hotelling's $T^2$ useless.

• The Korean Journal of Applied Statistics
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• v.27 no.6
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• pp.1039-1047
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• 2014

An autoregressive model with normal errors is a natural model that attempts to fit time series data. More flexible models that include normal distribution as a special case are necessary because they can cover normality to non-normality models. The skewed exponential power distribution is a possible candidate for autoregressive models errors that may have tails lighter(platykurtic) or heavier(leptokurtic) than normal and skewness; in addition, the use of skewed exponential power distribution can reduce the influence of outliers and consequently increases the robustness of the analysis. We use SIR algorithm and grid method for an efficient Bayesian estimation.

• The Korean Journal of Applied Statistics
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• v.32 no.6
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• pp.889-898
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• 2019

The problem of missing value imputation for variables in surveys that include item missing becomes complicated if outliers and logical boundary conditions between other survey items cannot be ignored. If there are outliers and boundaries in a variable including missing values, imputed values based on previous regression-based imputation methods are likely to be biased and not meet boundary conditions. In this paper, we approach these difficulties in imputation by combining various robust regression models and multiple imputation methods. Through a simulation study on various scenarios of outliers and boundaries, we find and discuss the optimal combination of robust regression and multiple imputation method.

• The Korean Journal of Applied Statistics
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• v.28 no.5
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• pp.991-1001
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• 2015

Digital images acquired by digital devices are used in many fields. Applying statistical methods to the processing of images will increase speed and efficiency. Methods to remove noise and image quality have been researched as a basic operation of image processing. This paper proposes a novel reduction method that considers the direction and magnitude of the edge to remove image noise effectively using statistical methods. The proposed method estimates the brightness of pixels relative to pixels in the same direction based on a robust regression model. An estimate of pixel brightness is obtained by weighting the magnitude of the edge that improves the performance of the average filter. As a result of the simulation study, the proposed method retains pixels that are well-characterized and confirms that noise reduction performance is improved over conventional methods.

• Proceedings of the Korea Water Resources Association Conference
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• 2012.05a
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• pp.94-94
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• 2012

기후변화 대응은 온실가스 배출의 감축 및 흡수원을 확대하는 완화(mitigation)와 기후변화로 인한 영향과 취약성을 평가하여 피해를 최소화하는 적응(adaptation)이 상호 균형을 이루어야 한다. 지금까지 우리나라를 포함한 국제사회는 대부분 완화를 위해 노력해 왔지만 최근에 들어 완화만으로는 기후변화의 영향을 회피하기 어렵다는 사실이 인식되면서 적응 연구가 다양하게 이루어지고 있다. 이러한 상황 가운데 적응 계획의 실현화를 위해서 기후변화의 불확실성을 고려한 의사 결정에 관한 연구가 반드시 뒷받침 되어야 한다. 기존의 일반적인 의사결정은 다양한 미래 시나리오들 하에 가장 높은 효용을 가져오는 최적(Optimal)의 대안을 채택하는 고전적 결정분석(Classical Decision Analysis)의 프레임을 사용하였다. 그러나 기후변화로 인해 미래 기후 예측 시나리오의 불확실성이 증대되면서 최근에는 최적의 대안을 선정하는 것에 대한 의문이 제기되며 새로운 기법에 대한 연구가 이루어지고 있다. 본 연구는 기후변화의 불확실성을 고려하기 위한 새로운 의사결정 기법인 로버스트 의사결정(Robust Decision Making, RDM)을 실제유역의 적용을 통해 제안하고자 한다. 로버스트 의사결정은 RAND에서 개발한 것으로 최적의 대안을 채택하는 것 대신 모든 가능한 시나리오 가운데 가장 안정적인 전략을 채택한다는 것에서 기존의 의사결정 체계와 차이가 있다. 연구의 적용은 안동-임하댐 유역을 대상으로 온실 가스 배출 시나리오 A1B, A2, B1시나리오에 대해 15개의 GCMs에서 산출된 기후자료를 기반으로 기후변화의 시나리오를 작성하였으며, 다양한 측면의 대안을 설정하여 용수공급량을 평가하였다. 연구의 결과로 산정될 각 대안 별 안정적인 정도와 취약한 시나리오에 대한 정보는 기후변화의 불확실성을 전제한 의사결정을 할 때 로버스트 의사결정이 갖는 장점이 될 수 있다.

• Korean Journal of Construction Engineering and Management
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• v.20 no.1
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• pp.133-140
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• 2019

The concrete mix should be designed and produced to reflect the specific site conditions during concrete placement. That is, the concrete mix design should be planned considering temperatures, work environments, pouring methods, etc. The objective of this research is to understand the external factors of curing temperature and delay time that influence concrete strengths during pouring work, and provide concrete mix design that can be most robust to the effects of external factors. The Taguchi's robust method is used in preparing the concrete mix design to achieve the research objective. In a case study, an indoor concrete test was performed to find the optimal combination of concrete mixes with external factors of curing temperature and delay time. Concrete test cylinders were made to test concrete strengths given different external factors. The study results showed that the optimal performance of concrete strength can be achieved by applying the robust method when preparing a concrete mix design.

• The Korean Journal of Applied Statistics
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• v.35 no.5
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• pp.631-644
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• 2022

This paper considers robust estimation of the sparse vector autoregressive model (sVAR) useful in high-dimensional time series analysis. First, we generalize the result of Xu et al. (2008) that the adaptive lasso indeed has robustness in sVAR as well. However, adaptive lasso method in sVAR performs poorly as the number and sizes of outliers increases. Therefore, we propose new robust estimation methods for sVAR based on least absolute deviation (LAD) and Huber estimation. Our simulation results show that our proposed methods provide more accurate estimation in turn showed better forecasting performance when outliers exist. In addition, we applied our proposed methods to power usage data and confirmed that there are unignorable outliers and robust estimation taking such outliers into account improves forecasting.