• The Korean Journal of Applied Statistics
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• v.25 no.5
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• pp.757-773
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• 2012

Traditional value at risk(S-VaR) has a difficulity in predicting the future risk of financial asset prices since S-VaR is a backward looking measure based on the historical data of the underlying asset prices. In order to resolve the deficiency of S-VaR, an economic value at risk(E-VaR) using the risk neutral probability distributions is suggested since E-VaR is a forward looking measure based on the option price data. In this study E-VaR is estimated by assuming the generalized gamma distribution(GGD) as risk neutral density function which is implied in the option. The estimated E-VaR with GGD was compared with E-VaR estimates under the Black-Scholes model, two-lognormal mixture distribution, generalized extreme value distribution and S-VaR estimates under the normal distribution and GARCH(1, 1) model, respectively. The option market data of the KOSPI 200 index are used in order to compare the performances of the above VaR estimates. The results of the empirical analysis show that GGD seems to have a tendency to estimate VaR conservatively; however, GGD is superior to other models in the overall sense.

• Journal of Korea Society of Industrial Information Systems
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• v.12 no.1
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• pp.80-86
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• 2007

The concept of the coverage has been played an important role in the area of reliability evaluation of a system. The widely used measures of reliability include the m time between failures, the availability and so on. In this paper, we propose an estimator of the coverage probability in a redundant system with a control unit and investigate some moments of the proposed estimator. And assuming exponential distribution of all units, we conduct a simulation study for calculating the estimates of the coverage probability and its confidence bounds. An example of evaluating the availability of an optical transportation system is illustrated.

• Communications of the Korean Mathematical Society
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• v.20 no.2
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• pp.381-393
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• 2005

We consider a type of large deviation principle obtained by Freidlin and Wentzell for the solution of Stochastic differential equations in a conuclear space. We are using exponential tail estimates and exit probability of a Ito process. The nuclear structure of the state space is also used.

• The Korean Journal of Applied Statistics
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• v.16 no.2
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• pp.377-393
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• 2003

Several confidence interval estimates for the difference of two binomial proportions were introduced. Bootstrap confidence interval is also suggested. We examined the over estimation property of approximate intervals and under estimation trend of exact intervals for the difference of proportions. We compared these confidence intervals based on the average coverage probability, expected width and skewness measure. Particularly actual coverage probability were calculated by using the prior distribution of parameters. Monte Carlo simulation for small sample size is conducted. Some interesting contour plots of average coverage probability and marginal plots for several interval estimates are presented.

• The Transactions of the Korean Institute of Electrical Engineers
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• v.45 no.2
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• pp.325-328
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• 1996

In this paper, we proposed an estimation method of a posterior probability and PDF(Probability density function) using a feed forward neural network and code books of VQ(vector quantization). In this study, We estimates a posterior probability and probability density function, which compose a new parameter with well-known Mel cepstrum and verificate the performance for the five vowels taking from syllables by NN(neural network) and PNN(probabilistic neural network). In case of new parameter, showed the best result by probabilistic neural network and recognition rates are average 83.02%.

• Journal of the Korean Statistical Society
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• v.19 no.2
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• pp.122-127
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• 1990

Consider the following problem in the large deviation theory. For constants $a_1, \cdots, a_p$ the tail probability $P(M_1 > a_1, \cdots, M_p > a_p)$ of the sample medians $(M_1, \cdots, M_p)$ is supposed to converge to zero as sample size increases. This paper shows that this probability converges to zero exponentially fast and estimates the convergence rates of the above tail probability of the sample medians. Also compare with the rates about the sample means.

• Journal of Institute of Control, Robotics and Systems
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• v.5 no.6
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• pp.764-776
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• 1999

In this paper, a tracking algorithm for a maneuvering single target in the presence of multiple data from multiple sensors is investigated. Allowing individual sensors to function by themselves, the estimates from individual sensors on the same target are fused for the purpose of improving the state estimate. The filtering method adopted in the local sensors is the variable dimensional filter with input estimatio technique, which consists of a constant velocity model and a constant acceleration model. A posteriori probability for the maneuvering hypothesis is newly derived. It is shown that the relation function of the a posteriori probability is a function of only the covariance of the fused estimates. Simulation results are provided.

• Proceedings of the Computational Structural Engineering Institute Conference
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• 1988.10a
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• pp.7-12
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• 1988

This study presents rational methods for probability-based estimates of basic design wind speeds in Korea and develops a risk-bases nation-wide map of design wind speeds. The paper examines the fitting of the Type-I extreme model to maximum yearly non-typhoon wind data from long-term records based on the conventional method and to maximum monthly nod-typhoon wind data from short-term records following Grigorin's approach. The paper also reviews the applicability of the method using short records of about 5 years. The basic design wind speeds for typhoon and non-typhoon wind at a station are made to be obtained from a mixed model which is given as a product of typhoon and non-typhoon extreme wind distributions. A practical method which is based on the fitting of the Type I model to records or typhoon and non-typhoon mixed wind data at a station is also preposed in this study.

• Journal of the Korean Mathematical Society
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• v.60 no.3
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• pp.537-564
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• 2023

In this paper, we are mainly concerned with two-sided estimates for transition probabilities of symmetric Markov chains on ℤ^d, whose one-step transition probability is comparable to |x - y|^-dϕ_j (|x - y|)^-1 with ϕ_j being a positive regularly varying function on [1, ∞) with index α ∈ [2, ∞). For upper bounds, we directly apply the comparison idea and the Davies method, which considerably improves the existing arguments in the literature; while for lower bounds the relation with the corresponding continuous time symmetric Markov chains are fully used. In particular, our results answer one open question mentioned in the paper by Murugan and Saloff-Coste (2015).

• International Journal of Computer Science & Network Security
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• v.21 no.5
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• pp.31-34
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• 2021

The article considers the possibilities of increasing the accuracy of estimates of the parameters of the trajectory of the target with the provision of a given probability of stable support of the air object, in particular, during its maneuver. The aim of the work is to develop a filtration algorithm that provides a given probability of stable tracking of the air object by determining the regular components of filtration errors, in particular, when maneuvering the air object, and their compensation with appropriate correction of filter parameters and estimates of air object trajectory parameters.