• Genomics & Informatics
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• 제20권1호
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• pp.9.1-9.6
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• 2022

Mendelian randomization (MR) uses genetic variation as a natural experiment to investigate the causal effects of modifiable risk factors (exposures) on outcomes. Two-sample Mendelian randomization (2SMR) is widely used to measure causal effects between exposures and outcomes via genome-wide association studies. 2SMR can increase statistical power by utilizing summary statistics from large consortia such as the UK Biobank. However, the first-order term approximation of standard error is commonly used when applying 2SMR. This approximation can underestimate the variance of causal effects in MR, which can lead to an increased false-positive rate. An alternative is to use the second-order approximation of the standard error, which can considerably correct for the deviation of the first-order approximation. In this study, we simulated MR to show the degree to which the first-order approximation underestimates the variance. We show that depending on the specific situation, the first-order approximation can underestimate the variance almost by half when compared to the true variance, whereas the second-order approximation is robust and accurate.

• Management Science and Financial Engineering
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• 제19권2호
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• pp.37-42
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• 2013

This paper suggests a numerical method for valuation of European and American options under the two L$\acute{e}$vy Processes, Normal Inverse Gaussian Model and the Variance Gamma model. The method is based on approximation of underlying asset price using a finite-state, time-homogeneous Markov chain. We examine the effectiveness of the proposed method with simulation results, which are compared with those from the existing numerical method, the lattice-based method.

• 전자공학회논문지A
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• 제32A권4호
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• pp.15-23
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• 1995

In this paper, we evaluate the performance of a transient queueing approximation when it is applied to modeling computer communication networks. An operational computer network that uses the ISO IS-IS(Intermediate System-Intermediate System) routing protocol is modeled as a Jackson network. The primary goal of the approximation pursued in the study was to provide transient queue statistics comparable in accuracy to the results from conventional Monte Carlo simulations. A closure approximation of the M/M/1 queueing system was extended to the general Jackson network in order to obtain transient queue statistics. The performance of the approximation was compared to a discrete event simulation under nonstationary conditions. The transient results from the two simulations are compared on the basis of queue size and computer execution time. Under nonstationary conditions, the approximations for the mean and variance of the number of packets in the queue erer fairly close to the simulation values. The approximation offered substantial speed improvements over the discrete event simulation. The closure approximation provided a good alternative Monte Carlo simulation of the computer networks.

• Journal of the Korean Statistical Society
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• 제26권3호
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• pp.383-395
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• 1997

This paper proves that the standard bootstrap approximation for the least absolute deviation (LAD) estimate of .beta. in AR(1) processes with infinite variance error terms is asymptotically valid in probability when the bootstrap resample size is much smaller than the original sample size. The theoretical validity results are supported by simulation studies.

• Communications for Statistical Applications and Methods
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• 제18권5호
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• pp.625-636
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• 2011

본 논문에서는 로그정규분포의 엔트로피에 대한 모수적 추정량으로 최소분산비편향추정량과 최대가능도추정량을 제시하고 성질을 비교한다. 각 추정량의 분산을 유도해서 일치성을 밝히고 최대가능도 추정량의 편향이 추정에 미치는 영향을 분석한다. 델타근사방법을 이용해서 얻은 추정량의 분포를 제시하고 적합도 평가를 통한 유도한 분포의 확증을 위해서 모의실험을 수행한다. 평균제곱오차에 의한 상대적 효율성에 대한 조사를 통해 두 추정량의 성능을 비교한다. 모의실험의 결과에서 최소분산비편향추정량은 최대가능도 추정량보다 더 좋은 효율을 보이는 것으로 나타나며, 특히 표본크기와 분산이 동시에 작아짐에 따라 효율이 점점 높아지게 되어 월등히 나은 성능을 발휘함을 볼 수 있다.

• 한국통신학회논문지
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• 제25권10A호
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• pp.1566-1575
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• 2000

이 논문은 일반화된 감마 신호원에 최소 평균제곱오차 왜곡을 갖도록 설계된 양자기가 다른 신호원에 사용될때 발생하는 양자기 불일치에 대한 연구로서, 양자기의 여러 불일치 가운데, 설계 신호원과 사용 신호원의 분산이 불일치된, 분산 불일치 문제를 다루었다. 주 내용은 베넷 적분식을 기반으로 하여 유도한 양자기 왜곡의 두 근사수식으로, 첫째 근사식은 양자기의 맨 바깥 경계값의 함수로 표시된 제1차 왜곡 근사식이며, 둘째 근사식은 이 맨바깥 경계값의 근사식을 사용한 제2차 왜곡 근사식이다. 일반화된 감마 신호원의 일종인 라플라스 신호원의 경우에 다양한 분산 불일치에 대해, 양자기의 실제 왜곡을 수치로 구하였으며, 이 실제 왜곡과 두 근사식을 비교하였다. 제1차 및 2차 근사식은 모두, 설계 신호원의 분산에 대한 사용 신호원의 분산 비율이 클수록, 더 작은 양자점수에서도 실제 왜곡에 근접하였으며, 또 양자점의 개수가 64 이상일 때 실제 왜곡의 2~4% 이내의 오차를 보여, 높은 정확도를 갖는 것이 관찰되었다. 이를 종합할 때, 이 논문에서 제시하는 근사식들은, 수식이라는 측면과 정확도라는 측면에서, 가치있는 것으로 평가된다.

• East Asian mathematical journal
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• 제34권3호
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• pp.239-248
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• 2018

In this paper, we derive a closed-form formula of a second-order approximation for a European corrected option price under stochastic elasticity of variance model mentioned in Kim et al. (2014) [1] [J.-H. Kim, J Lee, S.-P. Zhu, S.-H. Yu, A multiscale correction to the Black-Scholes formula, Appl. Stoch. Model. Bus. 30 (2014)]. To find the explicit-form correction to the option price, we use Mellin transform approaches.

• 제어로봇시스템학회논문지
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• 제4권2호
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• pp.170-177
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• 1998

In this paper, a unified solution of Hankel norm approximation problem is proposed by $\delta$-operator. To derive the main result, all-pass property is derived from the inner and co-inner property in the $\delta$-domain. The solution of all-pass becomes an optimal Hankel norm approximation problem in .delta.-domain through LLFT(Low Linear Fractional Transformation) inserting feedback term $\phi(\gamma)$, which is a free design parameter, to hold the error bound desired against the variance between the original model and the solution of Hankel norm approximation problem. The proposed solution does not only cover continuous and discrete ones depending on sampling interval but also plays a key role in robust control and model reduction problem. The verification of the proposed solution is exemplified via simulation for the zero-order Hankel norm approximation problem and the model reduction problem applied to a 16th order MIMO system.

• 품질경영학회지
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• 제33권3호
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• pp.149-155
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• 2005

Cusum control chart is used for the purpose of controling the process mean. We consider the problem related to cusum chart for controling process variance. Previous researches have considered the same problem. The main difficulty shown in the related researches was to derive the ARL function which characterizes the properties of the chart. Sample variance, differently with sample mean, follows chi-squared type distribution, even when the quality characteristics are assumed to be normally distributed. The ARL function of cusum is described by a type of integral equation. Since the solution of the integral equation for non-normal distribution is not known well, people used simulation method instead of solving the integral equation directly, or approximation method by taking logarithm of the sample variance. Recently a new method to solve the integral equation for Erlang distribution was published. Here we consider the steps to apply the solution to the problem of controling process variance.

• 한국품질경영학회:학술대회논문집
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• 한국품질경영학회 2006년도 춘계학술대회
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• pp.135-141
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• 2006

Cusum control chart is used for the purpose of controling the process mean. We consider the problem related to cusum chart for controling process variance. Previous researches have considered the same problem. The main difficulty shown in the related researches was to derive the ARL function which characterizes the properties of the chart. Sample variance, differently with sample mean, follows chi-squared type distribution, even when the quality characteristics are assumed to be normally distributed. The ARL function of cusum is described by a type of integral equation. Since the solution of the integral equation for non-normal distribution is not known well, people used simulation method instead of solving the integral equation directly, or approximation method by taking logarithm of the sample variance. Recently a new method to solve the integral equation for Erlang distribution was published. Here we consider the steps to apply the solution to the problem of controling process variance.