• Journal of the Korean Data and Information Science Society
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• 제27권2호
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• pp.381-394
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• 2016

그래피컬 모형은 변수들 사이의 조건부 종속성을 노드와 연결선을 통하여 그래프로 나타낸다. 변수들 사이의 복잡한 연관성을 표현하기 위하여 그래피컬 모형은 물리학, 경제학, 생물학을 포함하여 다양한 분야에 적용되고 있다. 조건부 종속성은 공분산 행렬의 역행렬의 비대각 성분이 0인 것과 대응하는 두 변수의 조건부 독립이 동치임에 기반하여 공분산 행렬의 역행렬로부터 추정될 수 있다. 본 논문은 공분산 행렬의 역행렬을 희박하게 추정하는 유사가능도 기반의 CONCORD (convex correlation selection method) 방법에 대하여 기존의 BCD (block coordinate descent) 알고리즘을 랜덤 치환을 활용한 갱신 규칙과 그래픽 처리 장치 (graphics processing unit)의 병렬 연산을 활용하여 고차원 자료에 대하여 보다 효율적인 BCDR (block coordinate descent with random permutation) 알고리즘을 제안하였다. 두 종류의 네트워크 구조를 고려한 모의실험에서 제안하는 알고리즘의 효율성을 수렴까지의 계산 시간을 비교하여 확인하였다.

• Journal of applied mathematics & informatics
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• 제30권3_4호
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• pp.623-633
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• 2012

Let {${\Omega}$, $\mathcal{F}$, P} be a probability space and {$X_n|n{\geq}1$} be a sequence of random variables defined on it. A finite sequence of random variables {$X_n|n{\geq}1$} is said to be conditionally negatively associated given $\mathcal{F}$ if for every pair of disjoint subsets A and B of {1, 2, ${\cdots}$, n}, $Cov^{\mathcal{F}}(f_1(X_i,i{\in}A),\;f_2(X_j,j{\in}B)){\leq}0$ a.s. whenever $f_1$ and $f_2$ are coordinatewise nondecreasing functions. We extend the H$\grave{a}$jek-R$\grave{e}$nyi-type inequality from negative association to conditional negative association of random variables. In addition, some corollaries are given.

• Communications for Statistical Applications and Methods
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• 제30권4호
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• pp.389-402
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• 2023

Multivariate or clustered failure time data often occur in many medical, epidemiological, and socio-economic studies when survival data are collected from several research centers. If the data are periodically observed as in a longitudinal study, survival times are often subject to various types of interval-censoring, creating multivariate interval-censored data. Then, the event times of interest may be correlated among individuals who come from the same cluster. In this article, we propose a unified linear regression method for analyzing multivariate interval-censored data. We consider a semiparametric multivariate accelerated failure time model as a statistical analysis tool and develop a generalized Buckley-James method to make inferences by imputing interval-censored observations with their conditional mean values. Since the study population consists of several heterogeneous clusters, where the subjects in the same cluster may be related, we propose a generalized estimating equations approach to accommodate potential dependence in clusters. Our simulation results confirm that the proposed estimator is robust to misspecification of working covariance matrix and statistical efficiency can increase when the working covariance structure is close to the truth. The proposed method is applied to the dataset from a diabetic retinopathy study.

• Smart Structures and Systems
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• 제11권1호
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• pp.103-122
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• 2013

It is essential to update the model with reflecting observation or inspection data for reliability estimation of existing structures. Authors proposed updated reliability analysis by using Particle Filter. We discuss how to apply the proposed method through numerical examples on reinforced concrete structures after verification of the method with hypothetical linear Gaussian problem. Reinforced concrete structures in a marine environment deteriorate with time due to chloride-induced corrosion of reinforcing bars. In the case of existing structures, it is essential to monitor the current condition such as chloride-induced corrosion and to reflect it to rational maintenance with consideration of the uncertainty. In this context, updated reliability estimation of a structure provides useful information for the rational decision. Accuracy estimation is also one of the important issues when Monte Carlo approach such as Particle Filter is adopted. Especially Particle Filter approach has a problem known as degeneracy. Effective sample size is introduced to predict the covariance of variance of limit state exceeding probabilities calculated by Particle Filter. Its validity is shown by the numerical experiments.

• 한국경영과학회지
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• 제20권3호
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• pp.105-122
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• 1995

Based on linear models, the inference about the true measurement x$_{f}$ and the optimal designs x (nx1) for the calibration experiments are considered via Baysian statistical decision analysis. The posterior distribution of x$_{f}$ given the observation y$_{f}$ (qxl) and the calibration experiment is obtained with normal priors for x$_{f}$ and for themodel parameters (.alpha., .betha.). This posterior distribution is not in the form of any known distributions, which leads to the use of a numerical integration or an approximation for the calculation of the overall expected loss. The general structure of the expected loss function is characterized in the form of a conjecture. A near-optimal design is obtained through the approximation nof the conditional covariance matrix of the joint distribution of (x$_{f}$ , y$_{f}$ $^{T}$ )$^{T}$ . Numerical results for the univariate case are given to demonstrate the conjecture and to evaluate the approximation.n.

• International Journal of Reliability and Applications
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• 제18권2호
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• pp.65-82
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• 2017

Abstract. Camilo Dagum proposed several variants of a new model for the size distribution of personal income in a series of papers in the 1970s. He traced the genesis of the Dagum distributions in applied economics and points out parallel developments in several branches of the applied statistics literature. The main aim of this paper is to define a bivariate Dagum distribution so that the marginals have Dagum distributions. It is observed that the joint probability density function and the joint cumulative distribution function can be expressed in closed forms. Several properties of this distribution such as marginals, conditional distributions and product moments have been discussed. The maximum likelihood estimates for the unknown parameters of this distribution and their approximate variance-covariance matrix have been obtained. Some simulations have been performed to see the performances of the MLEs. One data analysis has been performed for illustrative purpose.

• 응용통계연구
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• 제29권7호
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• pp.1201-1212
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• 2016

시장위험 관리를 위한 Value at Risk(VaR)는 금융기관들이 선호하는 기법이지만, 투자가 실패한 경우에 손실금액에 대하여는 설명할 수 없다는 문제점이 있다. VaR의 한계를 보완하는 대안적인 위험측정도구인 Conditional Tail Expectation(CTE)는 VaR를 초과하는 조건부 기대값으로 정의된다. 포트폴리오에 대한 CTE를 추정하는 실제금융시장에서는. 일반적으로는 다변량 손실률을 일변량 분포로 변환하여 VaR을 추정하고 CTE를 구하지만, 본 연구에서는 다차원 분위벡터를 이용하여 다변량 CTE들을 제안한다. 그리고 일변량 CTE들의 관계를 확장하여 다변량 CTE들의 관계식을 유도하였다. 다양한 분산-공분산행렬을 갖는 이변량과 삼변량의 정규분포로부터 다변량 CTE들을 구하고 CTE들의 관계식을 구현하면서 고차원 분포로의 확장 가능성을 설명하였다. 이변량과 삼변량의 실증 예제를 통해 제안한 이론을 탐색하고, 기존의 CTE와 비교하였다. 다변량 변수들의 분산-공분산행렬과 다변량 분위벡터를 사용한 다변량 CTE가 일변량으로 변환하여 구한 CTE보다 작은 값을 갖는 것을 발견하였다. 그러므로 본 연구에서 제안한 다변량 CTE는 보다 적은 위험성을 나타내는 추정량이며, 포트폴리오를 구성하는 여러 기업을 동시에 고려하는 분산 투자 전략을 세우는 경우에 이런 다변량 CTE를 사용하는 적극적인 투자가 가능하다는 장점이 있다.

• 한국군사과학기술학회지
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• 제26권1호
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• pp.10-21
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• 2023

For various target tracking applications, it is well known that the Kalman filter is the optimal estimator(in the minimum mean-square sense) to predict and estimate the state(position and/or velocity) of linear dynamical systems driven by Gaussian stochastic noise. In the case of nonlinear systems, Extended Kalman filter(EKF) and/or Unscented Kalman filter(UKF) are widely used, which can be viewed as approximations of the(linear) Kalman filter in the sense of the conditional expectation. However, to implement EKF and UKF, the exact dynamical model information and the statistical information of noise are still required. In this paper, we propose the recurrent neural-network based Kalman filter, where its Kalman gain is obtained via the proposed GRU-LSTM based neural-network framework that does not need the precise model information as well as the noise covariance information. By the proposed neural-network based Kalman filter, the state estimation performance is enhanced in terms of the tracking error, which is verified through various linear and nonlinear tracking problems with incomplete model and statistical covariance information.

• Journal of the Korean Data and Information Science Society
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• 제25권6호
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• pp.1449-1466
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• 2014

본 논문에서는 기초자산의 선물을 이용하는 헷지 전략을 연구하였다. 최적헷지비율을 구하기 위한 전통적인 방법으로 회귀분석이 사용되고 있으나, 현물과 선물 사이에 존재하는 장기균형관계와 금융 시계열 자료의 분산에 존재하는 변동성 군집현상 등의 특징을 설명하지 못하는 한계가 있다. 이를 극복하기 위해 코스피200 지수와 선물 자료에 대해 평균모형으로 벡터오차수정모형을 적합하고, 분산모형으로 다변량 GARCH 모형을 적합하여 분산-공분산 행렬을 추정하고, 이를 통해 최적헷지비율을 구하는 방법을 연구하였다. 실증분석 결과에 의하면 시장이 안정적일 때에는 회귀분석을 사용해도 큰 차이가 없지만, 시장이 불안정해지고 변동성이 커지는 구간에서는 벡터오차수정모형과 다변량 GARCH 모형을 이용하는 경우에 헷지성과가 월등히 좋아지는 결과를 얻을 수 있었다.

• 유통과학연구
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• 제10권12호
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• pp.35-43
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• 2012

Purpose - This study analyzes the effects of types of leadership on the employees of Italian restaurants, its efficacy, and organizational citizenship behavior, utilizing a causal assessment model. In this study, independent variables such as the type of leadership perceived in the manager or chef by an Italian restaurant's employees, and its efficacy were parameters, and the organizational citizenship behavior and organizational effectiveness were the variables representing the results in the hypothesis. The study aimed to draw implications by verifying the leadership via efficacy and the impact on organizational citizenship behavior of Italian restaurants. Research design, data, methodology - For the purpose of this analysis, specific questionnaire items were configured according to the theory and efficacy of the study. From a questionnaire used in organizational citizenship behavior comprising 22 questions, six were modified to suit the research purpose of this study. The configured questionnaire comprised 5 parts and 40 items. A Likert (Likert) 5-point scale was utilized to measure responses to the questionnaire items from the employees of an Italian restaurant in Seoul who participated in the survey. For data collection, 400 questionnaires were distributed, and 344 collected. Factor analysis and reliability verification were conducted using SPSS18.0 and AMOS18.0. A covariance structure analysis was conducted to test the research hypotheses. Results - Based on the results of the analyses, the summary and suggested implications of the research are as follows: The covariance structure analysis used to analyze the kind of effect transformational and transactional leadership styles in Italian restaurant employees had on self-efficacy, group-efficacy, and organizational citizenship behavior, indicated that among the characteristics of transformational leadership (such as, idealized influence, inspirational motivation, individual consideration, and intellectual stimulation), idealized influence and individual consideration had a positive influence on self-efficacy. Idealized influence, individual consideration, conditional reward, and management by exception also positively influenced self-efficacy and altruistic and conscientious behavior (organizational citizenship behavior). Conclusions - Results suggest that with regard to self-efficacy and group efficacy, managers in different departments and chefs should provide team members with a vision for the future, increase their confidence in their abilities, and build their trust in the organization. By evaluating employee performance and experiences, management can demonstrate leadership and encourage organizational citizenship behavior through enjoyable, voluntary participation. Transformational and transactional leadership is effective in group processes that include social-exchange relationships, self-efficacy and group efficacy, and organizational citizenship behavior. However, as this research study utilizes only self-reported data, it has several limitations, such as a vulnerability of errors caused by the various experiment types. A significant limitation of this study is the lack of potential for the duplication of results. The covariance structure analysis, however, provides complementation to limit the impact of errors from self-reporting studies. A future study can extend this research by utilizing different data collection methods.