• Journal of Korea Society of Digital Industry and Information Management
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• v.10 no.4
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• pp.53-61
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• 2014

In this paper, we proposed covariance weight matrix using SPT matrix in order to accurate target estimation. We have estimated a target using modified covariance matrix and beam steering error method. We have minimized beam steering error in order to estimation desired a target. This method obtain optimum covariance weight using modified SPT matrix. This paper of proposal method is showed good performance than general method. We updated a weight of covariance matrix using modified SPT matrix. We obtain optimum covariance matrix weight to application beam steering error method in order to beam steering toward desired target. Through simulation, we showed that compare proposal method with general method. It have improved resolution of estimation target to good performance more proposed method than general method.

• 제어로봇시스템학회:학술대회논문집
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• 2003.10a
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• pp.1933-1938
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• 2003

A covariance matrix is a tool that expresses odometry uncertainty of the wheeled mobile robot. The covariance matrix is a key factor in various localization algorithms such as Kalman filter, topological matching and so on. However it is not easy to acquire an accurate covariance matrix because we do not know the real states of the robot. Up to the authors knowledge, there seems to be no established result on the covariance matrix estimation for the odometry. In this paper, we propose a new method which can estimate the covariance matrix from empirical data. It is based on the PC-method and shows a good estimation ability. The experimental results validate the performance of the proposed method.

• Communications for Statistical Applications and Methods
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• v.20 no.3
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• pp.235-240
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• 2013

Generalized linear mixed models(GLMMs) are frequently used for the analysis of longitudinal categorical data when the subject-specific effects is of interest. In GLMMs, the structure of the random effects covariance matrix is important for the estimation of fixed effects and to explain subject and time variations. The estimation of the matrix is not simple because of the high dimension and the positive definiteness; subsequently, we practically use the simple structure of the covariance matrix such as AR(1). However, this strong assumption can result in biased estimates of the fixed effects. In this paper, we introduce Bayesian modeling approaches for the random effects covariance matrix using a modified Cholesky decomposition. The modified Cholesky decomposition approach has been used to explain a heterogenous random effects covariance matrix and the subsequent estimated covariance matrix will be positive definite. We analyze metabolic syndrome data from a Korean Genomic Epidemiology Study using these methods.

• Journal of Electrical Engineering and Technology
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• v.13 no.1
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• pp.445-450
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• 2018

Reliable detection and parameter estimation of a radar cross section(RCS) fluctuating target have been known as a difficult task. To reduce the effect of RCS fluctuation, various diversity techniques have been considered. This paper presents a new method for synthesizing a covariance matrix applicable to a coherent multi-input multi-output(MIMO) radar with frequency diversity. It is achieved by efficiently combining covariance matrices corresponding to different carrier frequencies such that the signal-to-noise ratio(SNR) in the combined covariance matrix is maximized. The value of a synthesized covariance matrix is assessed by examining the phase curves of its entries and the improvement on direction of arrival(DOA) estimation.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.22 no.7
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• pp.1534-1542
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• 1997

In this paper, we present a performance improvement method for the direction-of-arrival (DOA) estimation algorithm of the narrowband signals incident on a uniform circular array. It is very important to estimate the covariance matrix effectively because the performance of DOA algorithm mainly depends on the exactness of the sampel coveriance matrix which is computed from the received samples of signals. In case of uniform circular array with the even number sensors, the structure of the arrray has a useful geometrical property. Therefore we present the method which can estimate covariance matrix more effectively using this property. The simulation results are shown to demonstrate the superior perfodrmance obtained by the proposed covariance matrix estimation method relative to that of the conventional estimation method.

• Journal of the Institute of Electronics Engineers of Korea TC
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• v.40 no.1
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• pp.15-23
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• 2003

This paper proposes a fast direction of arrival (DOA) estimation algorithm that can rapidly estimate incidence angles of incoming signals using a pseudo covariance matrix. The conventional subspace DOA estimation methods such as MUSIC (multiple signal classification) algorithms need many sample signals to acquire covariance matrix of input signals. Thus, it is difficult to estimate the DOAs of signals because they cannot perform DOA estimation during receiving sample signals. Also if the D0As of signals are changing rapidly, conventional algorithms cannot estimate incidence angles of signals exactly. The proposed algorithm obtains bearing response and directional spectrum after acquiring pseudo covariance matrix of each snapshot. The incidence angles can be exactly estimated by using the bearing response and directional spectrum. The proposed DOA estimation algorithm uses only concurrent snapshot so as to obtain covariance matrix. Compared to conventional DOA estimation methods. The proposed algorithm has an advantage that can estimate DOA of signal rapidly.

• Journal of the Korean Data and Information Science Society
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• v.14 no.4
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• pp.1007-1012
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• 2003

A recursive procedure for finding the Cholesky root of the inverse of sample covariance matrix, leading to a direct solution for the inverse of a positive definite matrix, is developed using the likelihood equation for the maximum likelihood estimation of the Cholesky root under normality assumptions. An example of the Hilbert matrix is considered for an illustration of the procedure.

• 제어로봇시스템학회:학술대회논문집
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• 1993.10a
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• pp.70-75
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• 1993

The performance of the BEWE(Bearing Estimation Without Eigendecomposition) algorithm depends on the sensor outputs which are selected to construct the projection matrix. In this paper, we construct the covariance matrix of the bearing estimates for two targets and propose the criterion to select the sensor outputs which minimize the covariance matrix. The computer simulation conforms that the estimation error is smallest when the sensor outputs are selected based on the proposed criterion.

• The Journal of Korea Institute of Information, Electronics, and Communication Technology
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• v.11 no.6
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• pp.691-696
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• 2018

We propose an algorithm to update weight to use the mean square error method and mutual coupling matrix in a coherent channel. The algorithm proposed in this paper estimates the desired signal by using the updated weight. The updated weight is obtained by covariance matrix using mean square error and mutual coupling matrix. The MUSIC algorithm, which is direction of arrival estimation method, is mostly used in the desired signal estimation. The MUSIC algorithm has a good resolution because it uses subspace techniques. The proposed method estimates the desired signal by updating the weights using the mutual coupling matrix and mean square error method. Through simulation, we analyze the performance by comparing the classical MUSIC and the proposed algorithm in a coherent channel. In this case of the coherent channel for estimating at the three targets (-10o, 0o, 10o), the proposed algorithm estimates all the three targets (-10o, 0o, 10o). But the classical MUSIC algorithm estimates only one target (x, x, 10o). The simulation results indicate that the proposed method is superior to the classical MUSIC algorithm for desired signal estimation.

• Journal of the Korean Operations Research and Management Science Society
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• v.39 no.4
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• pp.137-152
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• 2014

In this paper, I suggest several techniques to estimate covariance matrix and compare the performance of the global minimum variance portfolio (GMVP) in terms of out of sample mean standard deviation and return. As a result, the return differences among the GMVPs are insignificant. The mean standard deviation of the GMVP using historical covariance is sensitive to the estimation window and the number of assets in the portfolio. Among the model covariance, the GMVP using constant systematic risk ratio model or using short sale restriction shows the best performance. The performance difference between the GMVPs using historical covariance and model covariance becomes insignificant as the historical covariance is estimated with longer estimation window. Lastly, the implied volatilities from ELW prices do not lead to superior performance to the historical variance.