• Communications for Statistical Applications and Methods
• /
• v.26 no.6
• /
• pp.611-622
• /
• 2019

This paper considers the estimation of the long memory parameter in nonparametric regression with strongly correlated errors. The key idea is to minimize a unified mean squared error of long memory parameter to select both kernel bandwidth and the number of frequencies used in exact local Whittle estimation. A unified mean squared error framework is more natural because it provides both goodness of fit and measure of strong dependence. The block bootstrap is applied to evaluate the mean squared error. Finite sample performance using Monte Carlo simulations shows the closest performance to the oracle. The proposed method outperforms existing methods especially when dependency and sample size increase. The proposed method is also illustreated to the volatility of exchange rate between Korean Won for US dollar.

• Communications for Statistical Applications and Methods
• /
• v.10 no.3
• /
• pp.1069-1086
• /
• 2003

This article presents the asymptotic theory of triple sampling procedure as pertain to estimating the shape parameter of Pareto distribution. Both point and confidence interval estimation are considered within the same inference unified framework. We show that this group sampling technique possesses the efficiency of Anscome (1953), Chow and Robbins (1965) purely sequential procedure as well as reduce the number of sampling operations by utilizing Stein (1945) two stages procedure. The analysis reveals that the technique performs excellent as far as the accuracy is concerned. The present problem differs from those considered by many authors, in multistage sampling, in that the final stage sample size and the parameter's estimate become highly correlated and therefore we adopted different approach.

• Communications for Statistical Applications and Methods
• /
• v.27 no.1
• /
• pp.97-108
• /
• 2020

This paper compares several methods for estimating parameters of normal inverse Gaussian distribution. Ordinary maximum likelihood estimation and the method of moment estimation often do not work properly due to restrictions on parameters. We examine the performance of adjusted estimation methods along with the ordinary maximum likelihood estimation and the method of moment estimation by simulation and real data application. We also see the effect of the initial value in estimation methods. The simulation results show that the ordinary maximum likelihood estimator is significantly affected by the initial value; in addition, the adjusted estimators have smaller root mean square error than ordinary estimators as well as less impact on the initial value. With real datasets, we obtain similar results to what we see in simulation studies. Based on the results of simulation and real data application, we suggest using adjusted maximum likelihood estimates with adjusted method of moment estimates as initial values to estimate the parameters of normal inverse Gaussian distribution.

• Communications for Statistical Applications and Methods
• /
• v.14 no.2
• /
• pp.355-363
• /
• 2007

In this paper a Bayesian estimation of the two-parameter kappa distribution was discussed under the noninformative prior. The Bayesian estimators are obtained by the Gibbs sampling. The generation of the shape parameter and scale parameter in the Gibbs sampler is implemented using the adaptive rejection Metropolis sampling algorithm of Gilks et al. (1995). A Monte Carlo study showed that the Bayesian estimators proposed outperform other estimators in the sense of mean squared error.

• Journal of the Korean Institute of Telematics and Electronics B
• /
• v.32B no.1
• /
• pp.85-95
• /
• 1995

The error intensity models for the ML estimation of a signal parameter have been developed in a companion paper [1]. While the methods described in [1] are applicable to any estimation problem with continuous parameters, our main application in this paper is the time delay estimation, and comparisons among the models derived in [1] (i.e. LC, LM, and ALM models)have been made. We first consider the case where only additive Gaussian noise is involved, and then the shot noise environment where coherent impulsive noise is also involved in addition to the Gaussian noise. We compare the models in terms of the probability of error, MSE(Mean Squared Error), and the computational complexity, which are the most important performance criteria in the analysis of parameter estimation. In conclusion, the ALM model turned out to be the most adequate model of all from the viewpoints of the criteria mentioned above.

• Communications for Statistical Applications and Methods
• /
• v.1 no.1
• /
• pp.87-93
• /
• 1994

Consider the problem of estimating the parameter of the model in which an observable random variable is represented by a unknown scalar parameter plus another random variable and the parameter, sample, and decision spaces consist of all integers. We first characterize the class of all admissible estimators and then characterize the class of all finitely admissible estimators. Finally, we show that two classes are identical.

• The Journal of the Acoustical Society of Korea
• /
• v.14 no.3
• /
• pp.90-96
• /
• 1995

A new method for autoregressive parameter estimation from noisy observation sequence is presented. This method, termed the AP method, is a result of an attempt to make use of the adaptive predictor which is a simple and reliable way of parameter estimation. It is shown theoretically that, for noisy input, the parameter vector computed from the prediction sequence is closer to that of the original sequence than the noisy input sequence is, under the spectral distortion criterion. Simulation results with the Kalman filter as a noise reduction filter and real speech data supported the theory. Roughly speaking, the performance of the parameter set obtained by the AP method is better than noisy one but worse than the EM iteration results. When the simplicity is considered, it could provide a useful alternative to more complicated parameter estimation methods in some applications.

• 제어로봇시스템학회:학술대회논문집
• /
• 1997.10a
• /
• pp.1655-1658
• /
• 1997

To obtain aircraft dynamic parameters, various estimation methods such as Maximum Likelihood, Linear Regression are applied. In this paper we adopt the extended Kalman filter(EKF) to estimate the stability and control derivatives in aircraft dynamic models from flight test data. The extended Kalman filter is applied to nonlinear augmented system assuming that unknown parameters are additional states. In this work, the results of the extended Kalman filter are compared with the results of the wind tunnel test using Chang Gong-91 aircraft flight test data.

• Honam Mathematical Journal
• /
• v.32 no.2
• /
• pp.193-202
• /
• 2010

We investigate the estimation of the moisture transfer coefficients in porous media by optimization technique which minimizes the functional defined by the squares error of the numerical solution of an inverse diffusion problem from their experimental values of the moisture content at the some time-steps. In this paper, we solve a diffusion equation numerically by the control volume finite element methods.

• 제어로봇시스템학회:학술대회논문집
• /
• 2001.10a
• /
• pp.76.5-76
• /
• 2001

This paper considers the parameter estimation for the state-space model based time-delay systems in the case that the Lyapunov stability of the system is guaranteed. In order to estimate the parameters, two estimation methods can be proposed which are known as the parallel model and the series parallel model. It is shown that the parameters can be estimated using each method, and also certied that the results are correct by simulations.