• Journal of the Korean Data and Information Science Society
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• 제27권6호
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• pp.1661-1671
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• 2016

Risk analysis is a systematic study of uncertainties and risks we encounter in business, engineering, public policy, and many other areas. Value at Risk (VaR) is one of the most widely used risk measurements in risk management. In this paper, the Korean Composite Stock Price Index data has been utilized to model the VaR employing the classical ARMA (1,1)-GARCH (1,1) models with normal, t, generalized hyperbolic, and generalized pareto distributed errors. The aim of this paper is to compare the performance of each model in estimating the VaR. The performance of models were compared in terms of the number of VaR violations and Kupiec exceedance test. The GARCH-GPD likelihood ratio unconditional test statistic has been found to have the smallest value among the models.

• 응용통계연구
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• 제16권2호
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• pp.455-467
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• 2003

소표본 분할표 자료에서 적합도 검정통계량들의 카이제곱 근사 적용 가능에 대하여 많은 연구가 진행되었다. 소표본에서 세 가지 검정 통계량(피어슨 카이제곱 Χ$^2$, 일반화 가능도비 G$^2$, 그리고 역발산 Ι(2/3) 검정통계량)에 관하여 비교한 Rudas(1986)의 연구를 확장하여, 최근에 제안된 차이측도(BWHD(1/9), BWCS(1/3), NED(4/3) 검정통계량)를 포함시켜 비교 분석하였다. 독립모형의 이차원 분할표, 조건부 독립모형과 한 변수 독립 모형을 따르는 삼차원 분할표에 대한 모의실험을 통하여 생성된 90과 95 백분위수와 이에 대응하는 95% 신뢰구간을 살펴보고 실제 백분위수와 비교하였다. 그 결과 Χ$^2$, Ι(2/3), 그리고 BWHD(1/9) 검정통계량이 유사한 결과를 나타내었고 이 통계량들이 기존에 제안된 검정통계량들보다 적은 표본크기에서도 카이제곱 근사방법에 적용 가능함을 발견하였다.

• 한국항공우주학회지
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• 제50권8호
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• pp.541-550
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• 2022

IMM 필터 및 GLRT 기법을 이용하여 무인기용 엔진의 효과적인 실시간 결함 진단 방안을 도출하였다. 이를 위해서 엔진 동적 사이클해석으로부터 선형 진단 모델을 유도하고 잔차 추정을 위한 칼만필터를 도입한 후 각 기법의 특성을 고찰하여 엔진 제어 구동기 및 센서의 결함 진단에 적용하였다. 이 과정에서 IMM 필터로부터 효과적인 FDI 방안을 도출하였고 구동기 결함으로 인한 상태변수의 반응값을 추정하였으며, GLRT로부터는 구동기 및 센서의 결함값 추정과 FDI 기능을 확인하였다. 수치 모의시험 결과를 통해서 FDI를 위한 IMM 필터의 효용성과 각 결함 모드의 결함값 추정을 위한 GLRT 기법의 효용성을 확인하였다.

• 한국통신학회논문지
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• 제37A권11호
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• pp.943-951
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• 2012

본 논문에서는 비정규 충격성 잡음 환경에서 협력 무선인지 네트워크를 위한 순서 기반 스펙트럼 센싱 기법을 제안한다. 구체적으로는 잡음을 이변수 등방형 대칭 알파 안정 (bivariate isotropic symmetric ${\alpha}$-stable) 분포를 따르는 것으로 모형화하고, 그에 알맞은 관측 샘플의 순서와 일반화된 우도비 검정 기반 협력 스펙트럼 센싱 기법을 제안한다. 모의실험을 통해 비정규 잡음 환경에서 제안한 기법이 기존의 기법에 비해 더 좋은 스펙트럼 센싱성능을 가짐을 보인다.

• 한국통신학회논문지
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• 제31권8C호
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• pp.771-776
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• 2006

공간-시간 트렐리스 부호에서 기존에 제안된 ML(maximum likelihood) 복호법과 PRC(principal ratio combianing) 복호법을 아우르는 준최적 복호법인 GPRC(generalized PRC) 기법을 제안한다. GPRC는 수신안테나들을 K개의 그룹으로 나누어 각 그룹에 PRC 기법을 적용하는 것이다. GPRC에서는 수신안테나 그룹핑 방법이 여러 가지이므로 K가 정해졌을 때 최적의 그룹핑 규칙을 제안한다. 이때 최종 성능 차이를 간단하게 예측할 수 있는 성능지표(PI, performance index)를 이용할 수 있다. 특히 수신안테나 간 상관(correlation)이 있을 때 무선 채널 계수를 구하고, 성능 지표를 평가한다. 마지막으로 컴퓨터 시뮬레이션으로 이론적 성능을 검증한다.

• Communications for Statistical Applications and Methods
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• 제2권1호
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• pp.112-121
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• 1995

Let $p_1$ and $p_2$ be the proportions of two populations. To test the hypothesis $H_0 : p_1 = p_2$, we usually use the $x^2$ statistic, the large sample binomial statistic Z, and the Generalized Likelihood Ratio statistic-2log $\lambda$developed based on different mathematical rationale, respectively. Since testing the above hypothesis is equivalent to testing whether two populations follow the common Bernoulli distribution, one may also test the hypothesis by comparing 1 with the ratio of each density estimate and the hypothesized common density estimate, called comparison density, which was devised by Parzen(1988). We show that the above traditional test statistics ate actually estimating the measure of distance between the true densities and the common density under $H_0$ by representing them with the comparison density.

• Journal of Preventive Medicine and Public Health
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• 제56권5호
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• pp.397-406
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• 2023

Objectives: The purpose of this study was to determine factors associated with non-vaccination against coronavirus disease 2019 (COVID-19) among the Venezuelan immigrant population residing in Peru. Methods: A cross-sectional study was conducted using data obtained from the Second Survey of the Venezuelan Population Residing in Peru in 2022. The dependent variable was vaccination status against COVID-19. The independent variables included socio-demographic, economic, and migratory characteristics of the included population. Crude and adjusted generalized linear Poisson-family models were used to calculate prevalence ratios with 95% confidence intervals (CIs). Results: A total of 7739 Venezuelan migrants aged 18 years or older were included. The proportion of non-vaccination against COVID-19 was 5.7%. Regarding associated factors, unemployment (adjusted prevalence ratio [aPR], 1.31; 95% CI, 1.04 to 1.65) was linked to an increased likelihood of not being vaccinated against COVID-19. In contrast, women (aPR, 0.76; 95% CI, 0.61 to 0.95), possessing a migration permit (aPR, 0.41; 95% CI, 0.31 to 0.54), and having health insurance (aPR, 0.47; 95% CI, 0.27 to 0.81) were associated with a decreased likelihood of being unvaccinated. Conclusions: The primary governmental and non-governmental institutions responsible for supporting and protecting the Venezuelan migrant and refugee population should improve vaccination access by issuing migration permits and providing health insurance.

• Communications for Statistical Applications and Methods
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• 제25권1호
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• pp.15-27
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• 2018

Parametric method of flood frequency analysis involves fitting of a probability distribution to observed flood data. When record length at a given site is relatively shorter and hard to apply the asymptotic theory, an alternative distribution to the generalized extreme value (GEV) distribution is often used. In this study, we consider the beta-P distribution (BPD) as an alternative to the GEV and other well-known distributions for modeling extreme events of small or moderate samples as well as highly skewed or heavy tailed data. The L-moments ratio diagram shows that special cases of the BPD include the generalized logistic, three-parameter log-normal, and GEV distributions. To estimate the parameters in the distribution, the method of moments, L-moments, and maximum likelihood estimation methods are considered. A Monte-Carlo study is then conducted to compare these three estimation methods. Our result suggests that the L-moments estimator works better than the other estimators for this model of small or moderate samples. Two applications to the annual maximum stream flow of Colorado and the rainfall data from cloud seeding experiments in Southern Florida are reported to show the usefulness of the BPD for modeling hydrologic events. In these examples, BPD turns out to work better than $beta-{\kappa}$, Gumbel, and GEV distributions.

• ETRI Journal
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• 제25권3호
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• pp.171-178
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• 2003

To improve the detection performance of surveillance radars with polarization diversity, we developed an adaptive polarimetric processor and compared it with other polarimetric processors. We derived our adaptive polarimetric processor, called the polarization discontinuity detector (PDD), from the generalized likelihood ratio (GLR) test principle for the unspecified target component. We derived closed-form expressions of its probabilities of detection and false alarm, and compared its performance to that of the adaptive polarization canceller (APC) and Kelly's GLR processor. The PDD had a performance similar to Kelly's GLR in Gaussian clutter, and both the PDD and Kelly's GLR, which have embedded constant false alarm rates (CFARs), outperformed the APC, especially when the target polarization state was close to the clutter's polarization state. The important difference is that the PDD is much simpler than Kelly's GLR for hardware/software implementation, because the PDD does not require a costly two-parameter filter bank to cover the unknown target polarization state as Kelly's GLR does.

• Journal of the Korean Data and Information Science Society
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• 제17권2호
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• pp.543-557
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• 2006

This paper is concerned with the applicability of the chi-square approximation to the six disparity statistics: the Pearson chi-square, the generalized likelihood ratio, the power divergence, the blended weight chi-square, the blended weight Hellinger distance, and the negative exponential disparity statistic. Three dimensional contingency tables of small and moderate sample sizes are generated to be fitted to all possible hierarchical log-linear models: the completely independent model, the conditionally independent model, the partial association models, and the model with one variable independent of the other two. For models with direct solutions of expected cell counts, point estimates and confidence intervals of the 90 and 95 percentage points of six statistics are explored. For model without direct solutions, the empirical significant levels and the empirical powers of six statistics to test the significance of the three factor interaction are computed and compared.