• The Journal of Asian Finance, Economics and Business
• /
• 제9권7호
• /
• pp.1-15
• /
• 2022

Combining the strength of both Mixed Data Sampling (MIDAS) Regression and realized variance measures, this paper seeks to investigate two objectives: (1) evaluate the post-sample performance of the proposed weekly Realized Variance-MIDAS (RVar-MIDAS) in one-week ahead volatility forecasting against the established Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model and the less explored but robust STES (Smooth Transition Exponential Smoothing) methods. (2) comparing forecast error performance between realized variance and squared residuals measures as a proxy for actual volatility. Data of seven private equity mutual fund indices (generated from 57 individual funds) from two different time periods (with and without financial crisis) are applied to 21 models. Robustness of the post-sample volatility forecasting of all models is validated by the Model Confidence Set (MCS) Procedures and revealed: (1) The weekly RVar-MIDAS model emerged as the best model, outperformed the robust DAILY-STES methods, and the weekly DAILY-GARCH models, particularly during a volatile period. (2) models with realized variance measured in estimation and as a proxy for actual volatility outperformed those using squared residual. This study contributes an empirical approach to one-week ahead volatility forecasting of mutual funds return, which is less explored in past literature on financial volatility forecasting compared to stocks volatility.

• 한국시스템다이내믹스연구
• /
• 제8권2호
• /
• pp.25-49
• /
• 2007

An important assumption of the classical linear regression model is that the disturbances appearing in the population regression function are homoskedastic; that is, they all have the same variance. If we persist in using the usual testing procedures despite heteroskedasticity, what ever conclusions we draw or inferences we make be very misleading. The contribution of this paper will be to the concrete procedure of the proper estimation when the heteroskedasticity does exist in the data, because the quality of dependent variable predictions, i.e., the estimated variance of the dependent variable, can be improved by giving consideration to the issues of regional homogeneity and/or heteroskedasticity across the research area. With respect to estimation, specific attention should be paid to the selection of the appropriate strategy in terms of the auxiliary regression model. The paper shows that by testing for heteroskedasticity, and by using robust methods in the presence of with and without heteroskedasticity, more efficient statistical inferences are provided.

• 한국수학교육학회지시리즈B:순수및응용수학
• /
• 제9권1호
• /
• pp.81-90
• /
• 2002

The least informative (favorable) distributions, minimizing Fisher information for a multivariate location parameter, are derived in the parametric class of the exponential-power spherically symmetric distributions under the following characterizing restrictions; (i) a bounded variance, (ii) a bounded value of a density at the center of symmetry, and (iii) the intersection of these restrictions. In the first two cases, (i) and (ii) respectively, the least informative distributions are the Gaussian and Laplace, respectively. In the latter case (iii) the optimal solution has three branches, with relatively small variances it is the Gaussian, them with intermediate variances. The corresponding robust minimax M-estimators of location are given by the $L_2$-norm, the $L_1$-norm and the $L_{p}$ -norm methods. The properties of the proposed estimators and their adaptive versions ar studied in asymptotics and on finite samples by Monte Carlo.

• 대한전자공학회:학술대회논문집
• /
• 대한전자공학회 2008년도 하계종합학술대회
• /
• pp.1041-1042
• /
• 2008

The wavelet transform has an advantage over the Fourier transform for representing in homogeneous functions that have discontinuities, sharp peaks, ike images. This paper proposes a noise variance estimation method by utilizing the wavelet transform.

• 대한기계학회논문집A
• /
• 제33권12호
• /
• pp.1449-1454
• /
• 2009

The performance variation of a multibody system is affected by a variation of various design variables of the system. And the effects of design variable variations on the performance variation must be considered in design of a multibody system. Accordingly, a variation analysis of a multibody system needs to be conducted in design of a multibody system. For a variation analysis of a performance, population mean and variance which are called statistical parameters of design variables are needed. However, an evaluation of statistical parameters of design variables is impossible in many practical cases. Therefore, an estimation of statistical parameters of the performance based on sample mean and variance which are called statistic of design variables is needed. In this paper, the variation analysis method for a multibody system based on design variable samples was proposed. And, using the proposed method, a variation analysis of the vehicle ride comfort based on sample statistic of design variables was conducted.

• Journal of Communications and Networks
• /
• 제16권6호
• /
• pp.583-591
• /
• 2014

In wireless communications, knowledge of the signal-to-noise ratio is required in diverse communication applications. In this paper, we derive the variance of the maximum likelihood estimator in the data-aided and non-data-aided schemes for determining the optimal shrinkage factor. The shrinkage factor is usually the constant that is multiplied by the unbiased estimate and it increases the bias slightly while considerably decreasing the variance so that the overall mean squared error decreases. The closed-form biased estimators for binary-phase-shift-keying and quadrature phase-shift-keying systems are then obtained. Simulation results show that the mean squared error of the proposed method is lower than that of the maximum likelihood method for low and moderate signal-to-noise ratio conditions.

• 응용통계연구
• /
• 제16권1호
• /
• pp.117-128
• /
• 2003

새로운 약의 치료 효과가 기존의 약의 치료 효과보다 못하지 않음을 보이는 것이 목적인 실험을 noninferiority 실험이라고 한다. 본 논문에서는 이표본에서 모비율의 noninferiority 실험에서 무조건부 정확검정에 사용되는 세 가지 분산 추정방법을 비교하였다. 가능한 모든 경우를 조사하는 방법을 이용하여 세 가지 분산 추정방법에 따라 소표본에서 크기와 검정력을 비교하였다

• Communications for Statistical Applications and Methods
• /
• 제21권2호
• /
• pp.193-200
• /
• 2014

It was recognized by some researchers that the disturbance variance in a censored regression model is frequently underestimated by the maximum likelihood method. This underestimation has implications for the estimation of marginal effects and asymptotic standard errors. For instance, the actual coverage probability of the confidence interval based on a maximum likelihood estimate can be significantly smaller than the nominal confidence level; consequently, a Bayesian estimation is considered to overcome this difficulty. The behaviors of the maximum likelihood and Bayesian estimators of disturbance variance are examined in a fixed effects panel regression model with a limited dependent variable, which is known to have the incidental parameter problem. Behavior under random effect assumption is also investigated.

• 품질경영학회지
• /
• 제10권1호
• /
• pp.2-6
• /
• 1982

m개의 부품으로 이루어진 씨스템이 스트레스를 받고 있다고 가정하자. 본 논문에서는 스트레스 분포와 스트렝스 분포로 부터의 확률표본으로 자료가 구성되어 있을때, 이 씨스템의 신뢰도에 대하여 고찰하였다. 모든 분포는 미지의 모수를 가진 독립적인 지수 분포인 것으로 가정하였다. 씨스템 신뢰도의 형태와 최소분산 불편추정량을 구하였다. 또한, 최소분산 불편추정량을 최우추정량에 대하여 전개하고 두 추정량의 등가성을 보임으로서 근사분포를 구하였다. 몬테카를로 씨뮤레이션으로 두 추정량의 효율을 비교하였다.

• 전력전자학회논문지
• /
• 제20권6호
• /
• pp.534-539
• /
• 2015

The DC overhead line voltage of an electric railway substation swings depending on the accelerating and regenerative-braking energy of trains, and it deteriorates the energy quality of the electric facility in the DC railway substation and restricts the powering and braking performance of subway trains. Recently, an energy storage system or a regenerative inverter has been introduced into railway traction substations to diminish both the variance of the overhead line voltage and the peak power consumption. In this study, the variance of the overhead line voltage in a DC railway substation is modelled by RC parallel circuits in each feeder, and the RC parameters are estimated using the recursive least mean square (RLMS) scheme. The forgetting factor values for the RLMS are selected using simulated annealing optimization, and the modelling scheme of the overhead line voltage variation is evaluated through raw data measured in a downtown railway substation.