• Proceedings of the Korean Statistical Society Conference
• /
• 2005.11a
• /
• pp.43-48
• /
• 2005

We consider the problem of testing for parameter changes in time series models based on a cusum test. Although the test procedure is well-established for the mean and variance in time series models, a general parameter case has not been discussed in the literature. Therefore, here we develop a cusum test for parameter change in a more general framework. As an example, we consider the change of the parameters in an RCA(1) model and that of the autocovariances of a linear process. We also consider the variance change test for unstable models with unit roots and GARCH models.

• The Korean Journal of Financial Management
• /
• v.24 no.3
• /
• pp.133-152
• /
• 2007

In this paper, we examine a portfolio selection model in which a safety-first investor maximizes expected return subject to a downside risk constraint. We use the Value-at-Risk as the downside risk measure. We exploit the fact that returns are fat-tailed, and use a semi-parametric method suggested by Jansen, Koedijk and de Vries(2000). We find a more realistic asset allocation than the one suggested by the literature based on the traditional mean-variance framework. For the robustness check, we provide empirical analyses using empirical quantiles. The results highlight that for optimal portfolio selection involving downside risks that are far in the tails of the distribution, our mean-VaR model with a fat-tailed distribution is superior.

• Korean Journal of Cognitive Science
• /
• v.10 no.3
• /
• pp.39-49
• /
• 1999

The space of IID([ndependently, Identically Distributed) textures was built with axes of mean luminance and contrast, and studied on what kind of mechanisms were required to mediate texture segregation in this space. The conjecture was tested that one of these mechanisms is sensitive to the differences between the means of textures to be discriminated, whereas the other is sensitive to the differences between variances. The probability of discrimination was measured for various pairs of textures in the lID space The data were well fit by a model in which discrimination depends on two mechanisms whose responses are combined by probability summation. The conjecture was rejected that two mechanisms respectively tuned to mean and variance of texture function in segregation. Discrimination within space is mediated by 2 independent channels however: the 2 independent channels are not exactly tuned to texture mean and variance. One m mechanism was primarily sensitive to texture mean, whereas the other was sensitive to b both texture mean and variance.

• Journal of Intelligence and Information Systems
• /
• v.25 no.2
• /
• pp.39-55
• /
• 2019

Recently banks and large financial institutions have introduced lots of Robo-Advisor products. Robo-Advisor is a Robot to produce the optimal asset allocation portfolio for investors by using the financial engineering algorithms without any human intervention. Since the first introduction in Wall Street in 2008, the market size has grown to 60 billion dollars and is expected to expand to 2,000 billion dollars by 2020. Since Robo-Advisor algorithms suggest asset allocation output to investors, mathematical or statistical asset allocation strategies are applied. Mean variance optimization model developed by Markowitz is the typical asset allocation model. The model is a simple but quite intuitive portfolio strategy. For example, assets are allocated in order to minimize the risk on the portfolio while maximizing the expected return on the portfolio using optimization techniques. Despite its theoretical background, both academics and practitioners find that the standard mean variance optimization portfolio is very sensitive to the expected returns calculated by past price data. Corner solutions are often found to be allocated only to a few assets. The Black-Litterman Optimization model overcomes these problems by choosing a neutral Capital Asset Pricing Model equilibrium point. Implied equilibrium returns of each asset are derived from equilibrium market portfolio through reverse optimization. The Black-Litterman model uses a Bayesian approach to combine the subjective views on the price forecast of one or more assets with implied equilibrium returns, resulting a new estimates of risk and expected returns. These new estimates can produce optimal portfolio by the well-known Markowitz mean-variance optimization algorithm. If the investor does not have any views on his asset classes, the Black-Litterman optimization model produce the same portfolio as the market portfolio. What if the subjective views are incorrect? A survey on reports of stocks performance recommended by securities analysts show very poor results. Therefore the incorrect views combined with implied equilibrium returns may produce very poor portfolio output to the Black-Litterman model users. This paper suggests an objective investor views model based on Support Vector Machines(SVM), which have showed good performance results in stock price forecasting. SVM is a discriminative classifier defined by a separating hyper plane. The linear, radial basis and polynomial kernel functions are used to learn the hyper planes. Input variables for the SVM are returns, standard deviations, Stochastics %K and price parity degree for each asset class. SVM output returns expected stock price movements and their probabilities, which are used as input variables in the intelligent views model. The stock price movements are categorized by three phases; down, neutral and up. The expected stock returns make P matrix and their probability results are used in Q matrix. Implied equilibrium returns vector is combined with the intelligent views matrix, resulting the Black-Litterman optimal portfolio. For comparisons, Markowitz mean-variance optimization model and risk parity model are used. The value weighted market portfolio and equal weighted market portfolio are used as benchmark indexes. We collect the 8 KOSPI 200 sector indexes from January 2008 to December 2018 including 132 monthly index values. Training period is from 2008 to 2015 and testing period is from 2016 to 2018. Our suggested intelligent view model combined with implied equilibrium returns produced the optimal Black-Litterman portfolio. The out of sample period portfolio showed better performance compared with the well-known Markowitz mean-variance optimization portfolio, risk parity portfolio and market portfolio. The total return from 3 year-period Black-Litterman portfolio records 6.4%, which is the highest value. The maximum draw down is -20.8%, which is also the lowest value. Sharpe Ratio shows the highest value, 0.17. It measures the return to risk ratio. Overall, our suggested view model shows the possibility of replacing subjective analysts's views with objective view model for practitioners to apply the Robo-Advisor asset allocation algorithms in the real trading fields.

• Journal of Convergence for Information Technology
• /
• v.11 no.3
• /
• pp.125-131
• /
• 2021

The problem of determining the maintenance point which minimizes the process-related total cost is called the 'process mean shift problem'. By expanding and integrating the existing maintenance models that have been partially progressed, we present a expanded and integrated maintenance model which reflects the production site where various situations occur. To implement this, we set both the upper and lower limits of the product specification, and adopted the quality loss function for conforming items. Also, we set the process variance of the wear level as a function rather than a constant. In this study, we developed two general functions to the wear level. One is about the production volume and the other is maintenance cost. As a result, this study is expected to be a maintenance model that can be applied to various processes. In the future, this study can be developed as a profit maximization model by adding profit items from product sales, and expansion to a maintenance model that introduces failure to the model of this study can be considered.

• Journal of the Korean Statistical Society
• /
• v.28 no.3
• /
• pp.311-324
• /
• 1999

The problem of 'outliers', observations which look suspicious in some way, has long been one of the most concern in the statistical structure to experimenters and data analysts. We propose a model for an outlier problem and also analyze it in linear regression model using a Bayesian approach. Then we use the mean-shift model and SSVS(George and McCulloch, 1993)'s idea which is based on the data augmentation method. The advantage of proposed method is to find a subset of data which is most suspicious in the given model by the posterior probability. The MCMC method(Gibbs sampler) can be used to overcome the complicated Bayesian computation. Finally, a proposed method is applied to a simulated data and a real data.

• Communications for Statistical Applications and Methods
• /
• v.17 no.4
• /
• pp.575-589
• /
• 2010

Exponential L$\acute{e}$evy models have become popular in modeling price processes recently in mathematical finance. Although it is a relatively simple extension of the geometric Brownian motion, it makes the market incomplete so that the option price is not uniquely determined. As a trial to find an appropriate price for an option, we suppose a situation where a hedger wants to initially invest as little as possible, but wants to have the expected squared loss at the end not exceeding a certain constant. For this, we assume that the underlying price process follows a variance-gamma model and it converges to a geometric Brownian motion as its quadratic variation converges to a constant. In the limit, we use the mean-variance approach to find the asymptotic minimum investment with the expected squared loss bounded. Some numerical results are also provided.

• The Korean Journal of Applied Statistics
• /
• v.17 no.2
• /
• pp.281-301
• /
• 2004

In this paper we consider the change point problem in a sequence of univariate normal observations. We want to know whether there is any change point or not. In case a change point exists, we will identify its change type. Namely, it can be a mean change, a variance change, or both the mean and variance change. The intrinsic Bayes factors of Berger and Pericchi (1996, 1998) are used to find the type of optimal change model. The Gibbs sampling including the Metropolis-Hastings algorithm is used to estimate all the parameters in the change model. These methods are checked via simulation and applied to the winter average temperature data in Seoul.

• 한국연소학회:학술대회논문집
• /
• 2007.05a
• /
• pp.118-125
• /
• 2007

The firtst-order conditional moment closure (CMC) model is applied to CH4/air swirl diffusion flame in a gas turbine model combustor. The flow and mixing fields are calculated by fast chemistry assumption with SLFM library and a beta function pdf for mixture fraction. RNG k-e model is used to consider the swirl flame in a confined wall. Reacting scalar fields are calculated by elliptic CMC formulation with chemical kinetic mechanism, GRI Mech 3.0. Validation is done against measurement data for mean flow and scalar fields in the model combustor [1]. Results show reasonable agreement with the mean mixture fraction and its variance, while temperature is overpredicted as the level of local extinction increases. The second-order CMC model is needed to consider local extinction with considerable conditional fluctuations near the nozzle.

• Journal of Korea Water Resources Association
• /
• v.42 no.11
• /
• pp.897-909
• /
• 2009

The relative contribution of between hillslope-flow and stream-flow by heterogeneity of drainage path are quantitatively assessed in the present study with GIUH model based on grid of GIS. Application watersheds are selected Pyeongchang, Bocheong and Wi river basin of IHP in Korea. The mean and variance of hillslope and stream length are estimated and analyzed in each watershed. And coupling with observation storm events, estimate hillslope and stream characteristic velocity which dynamic parameters of GIUH model. The mean and variance of distribution of travel time (i.e. IUH) calculate using estimated pass lengths and characteristic velocities. And the relative contributions are assessed by heterogeneity of drainage path. As a result, the effect of the variance that determine shape of IUH dominate with hillslope's effect in the small watershed area (within 500 $km^2$). Thus, GIUH in the small watershed area must consider hillslope-flow.