• Communications for Statistical Applications and Methods
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• 제24권5호
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• pp.421-441
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• 2017

In this survey, estimation methods for structural vector autoregressive models are presented in a systematic way. Both frequentist and Bayesian methods are considered. Depending on the model setup and type of restrictions, least squares estimation, instrumental variables estimation, method-of-moments estimation and generalized method-of-moments are considered. The methods are presented in a unified framework that enables a practitioner to find the most suitable estimation method for a given model setup and set of restrictions. It is emphasized that specifying the identifying restrictions such that they are linear restrictions on the structural parameters is helpful. Examples are provided to illustrate alternative model setups, types of restrictions and the most suitable corresponding estimation methods.

• ETRI Journal
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• 제42권6호
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• pp.922-931
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• 2020

A hierarchical iterative algorithm for the canonical polyadic decomposition (CPD) of tensors is proposed by improving the traditional conjugate gradient least squares (CGLS) method. Methods based on algebraic operations are investigated with the objective of estimating the direction of arrival (DoA) and polarization parameters of signals impinging on an array with electromagnetic (EM) vector-sensors. The proposed algorithm adopts a hierarchical iterative strategy, which enables the algorithm to obtain a fast recovery for the highly collinear factor matrix. Moreover, considering the same accuracy threshold, the proposed algorithm can achieve faster convergence compared with the alternating least squares (ALS) algorithm wherein the highly collinear factor matrix is absent. The results reveal that the proposed algorithm can achieve better performance under the condition of fewer snapshots, compared with the ALS-based algorithm and the algorithm based on generalized eigenvalue decomposition (GEVD). Furthermore, with regard to an array with a small number of sensors, the observed advantage in estimating the DoA and polarization parameters of the signal is notable.

• Communications for Statistical Applications and Methods
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• 제28권6호
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• pp.627-641
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• 2021

An asymmetric least squares estimation method has been employed to estimate linear models for percentile regression. An asymmetric maximum likelihood estimation (AMLE) has been developed for the estimation of Poisson percentile linear models. In this study, we propose generalized nonlinear percentile regression using the AMLE, and the use of the parametric bootstrap method to obtain confidence intervals for the estimates of parameters of interest and smoothing functions of estimates. We consider three conditional distributions of response variables given covariates such as normal, exponential, and Poisson for three mean functions with one linear and two nonlinear models in the simulation studies. The proposed method provides reasonable estimates and confidence interval estimates of parameters, and comparable Monte Carlo asymptotic performance along with the sample size and quantiles. We illustrate applications of the proposed method using real-life data from chemical and radiation epidemiological studies.

• ETRI Journal
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• 제46권3호
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• pp.392-403
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• 2024

Even though generalized frequency division multiplexing is an alternative waveform method expected to replace the orthogonal frequency division multiplexing in the future, its implementation must alleviate channel effects. Least-squares (LS), a low-complexity channel estimation technique, could be improved by using the discrete Fourier transform (DFT) without increasing complexity. Unlike the usage of the LS method, the DFT-based method requires the receiver to know the channel impulse response (CIR) length, which is unknown. This study introduces a simple, yet effective, CIR length estimator by utilizing LS estimation. As the cyclic prefix (CP) length is commonly set to be longer than the CIR length, it is possible to search through the first samples if CP is larger than a threshold set using the remaining samples. An adaptive scale is also designed to lower the error probability of the estimation, and a simple signal-to-interference-noise ratio estimation is also proposed by utilizing a sparse preamble to support the use of the scale. A software simulation is used to show the ability of the proposed system to estimate the CIR length. Due to shorter CIR length of rural area, the performance is slightly poorer compared to urban environment. Nevertheless, satisfactory performance is shown for both environments.

• 대한수학회논문집
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• 제11권4호
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• pp.1147-1157
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• 1996

Nonlinear ill-posed problems arise in many application including parameter estimation and inverse scattering. We introduce a least squares regularization method to solve nonlinear ill-posed problems with constraints robustly and efficiently. The regularization method uses Trust-Region approach to handle the constraints on variables. The Generalized Cross Validation is used to choose the regularization parameter in computational tests. Numerical results are given to exhibit faster convergence of the method over other methods.

• Communications for Statistical Applications and Methods
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• 제21권5호
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• pp.395-409
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• 2014

Data limited, partial, or incomplete are known as an ill-posed problem. If the data with ill-posed problems are analyzed by traditional statistical methods, the results obviously are not reliable and lead to erroneous interpretations. To overcome these problems, we propose a dual generalized maximum entropy (dual GME) estimator for panel data regression models based on an unconstrained dual Lagrange multiplier method. Monte Carlo simulations for panel data regression models with exogeneity, endogeneity, or/and collinearity show that the dual GME estimator outperforms several other estimators such as using least squares and instruments even in small samples. We believe that our dual GME procedure developed for the panel data regression framework will be useful to analyze ill-posed and endogenous data sets.

• 물과 미래
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• 제27권1호
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• pp.89-99
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• 1994

현재까지 국내의 홍수예측업무는 과거에 수집된 자료집단을 이용한 변수추정에 의하여 시행되고 있으나, 최근 여러 가지 순환추정 알고리즘을 적용한 홍수예측 또는 변수추정에 관한 많은 연구가 이루어지고 있다. 본 논문은 실시간 홍수예측 및 변수추정에 관한 연구로서, 특히 강우-유출모형의 상태 및 매개변수의 동시추정에 관한 추계학적 현상을 고려하였다. 홍수예측에 관한 시스템은 $\phi$ 지수에 의한 유효강우의 산정과 지체효과를 고려한 n개의 비선형 저수지모형에 의한 홍수축적으로 구성하였다. 그리고 변수추정모형과 홍수추적 모형을 상호연계하여 변수를 포함하는 확대 상태-공간모형으로 상태 및 매개변수의 동시추정에 관한 시스템을 구성하였다. 상태-공간모형에 대한 상태 및 변수추정기법으로 GLS 추정과 MAP 추정에 대하여 비교 검토하였다. 모형의 식별을 위한 민감도 분석은 추정변수의 공분산 행렬을 사용하였다.

• 한국통계학회:학술대회논문집
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• 한국통계학회 2002년도 추계 학술발표회 논문집
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• pp.265-272
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• 2002

An Integer-valued autoregressive integrated (INARI) model is introduced to eliminate stochastic trend and seasonality from time series of count data. This INARI extends the previous integer-valued ARMA model. We show that it is stationary and ergodic to establish asymptotic normality for conditional least squares estimator. Optimal estimating equations are used to reflect categorical and serial correlations arising from panel count data and variations arising from three random processes for obtaining observation into estimation. Under regularity conditions for martingale sequence, we show asymptotic normality for estimators from the estimating equations. Using cancer mortality data provided by the U.S. National Center for Health Statistics (NCHS), we apply our results to estimate the probability of cells classified by 4 causes of death and 6 age groups and to forecast death count of each cell. We also investigate impact of three random processes on estimation.

• Journal of the Korean Statistical Society
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• 제27권3호
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• pp.319-329
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• 1998

In the linear regression model with an autocorrelated disturbances, the Cochrane-Orcutt estimator (COE) is a well known alternative to the Generalized Least Squares estimator (GLSE). The efficiency of COE has been studied empirically in a Monte Carlo study when the unknown parameters are estimated by maximum likelihood method. In this paper, it is theoretically proved that the COE is shown to be inferior to the GLSE. The comparisons are based on the difference of corresponding information matrices or the ratio of their determinants.

• 품질경영학회지
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• 제46권1호
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• pp.39-74
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• 2018

Purpose: For more than 30 years, robust parameter design (RPD), which attempts to minimize the process bias (i.e., deviation between the mean and the target) and its variability simultaneously, has received consistent attention from researchers in academia and industry. Based on Taguchi's philosophy, a number of RPD methodologies have been developed to improve the quality of products and processes. The primary purpose of this paper is to review and discuss existing RPD methodologies in terms of the three sequential RPD procedures of experimental design, parameter estimation, and optimization. Methods: This literature study composes three review aspects including experimental design, estimation modeling, and optimization methods. Results: To analyze the benefits and weaknesses of conventional RPD methods and investigate the requirements of future research, we first analyze a variety of experimental formats associated with input control and noise factors, output responses and replication, and estimation approaches. Secondly, existing estimation methods are categorized according to their implementation of least-squares, maximum likelihood estimation, generalized linear models, Bayesian techniques, or the response surface methodology. Thirdly, optimization models for single and multiple responses problems are analyzed within their historical and functional framework. Conclusion: This study identifies the current RPD foundations and unresolved problems, including ample discussion of further directions of study.