• The Korean Journal of Financial Management
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• v.20 no.2
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• pp.73-94
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• 2003

In general, the interest rate is forecasted by the parametric method which assumes the interest rate follows a certain distribution. However the method has a shortcoming that forecasting ability would decline when the interest rate does not follow the assumed distribution for the stochastic behavior of interest rate. Therefore, the nonparametric method which assumes no particular distribution is regarded as a superior one. This paper compares the interest rate forecasting ability between the two method for the Monetary Stabilization Bond (MSB) market in Korea. The daily and weekly data of the MSB are used during the period of August 9th 1999 to February 7th 2003. In the parametric method, the drift term of the interest rate process shows the linearity while the diffusion term presents non-linear decline. Meanwhile in the nonparametric method, both drift and diffusion terms show the radical change with nonlinearity. The parametric and nonparametric methods present a significant difference in the market price of interest rate risk. This means in forecasting the interest rate and the market price of interest rate risk, the nonparametric method is more appropriate than the parametric method.

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

• Journal of the Korean Data and Information Science Society
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• v.24 no.2
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• pp.333-339
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• 2013

This paper discusses a method for getting a basis set of estimable functions of less than full rank linear model. Since model parameters are not estimable estimable functions should be identified for making inferences proper about them. So, it suggests a method of using full rank factorization of model matrix to find estimable functions in easy way. Although they might be obtained in many different ways of using model matrix, the suggested full rank factorization technique could be one of much easier methods. It also discusses how to use projection matrix to identify estimable functions.

• Korean Journal of Agricultural and Forest Meteorology
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• v.23 no.2
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• pp.122-133
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• 2021

Cultivar parameter calibration can be affected by the reliability of the input data to a crop growth model. In South Korea, two sets of weather stations, which are included in the automated synoptic observing system (ASOS) or the automatic weather system (AWS), are available for preparation of the weather input data. The objectives of this study were to estimate the cultivar parameter using those sets of weather data and to compare the uncertainty of these parameters. The cultivar parameters of CERES-Rice model for Shindongjin cultivar was calibrated using the weather data measured at the weather stations included in either ASO S or AWS. The observation data of crop growth and management at the experiment farms were retrieved from the report of new cultivar development and research published by Rural Development Administration. The weather stations were chosen to be the nearest neighbor to the experiment farms where crop data were collected. The Generalized Likelihood Uncertainty Estimation (GLUE) method was used to calibrate the cultivar parameters for 100 times, which resulted in the distribution of parameter values. O n average, the errors of the heading date decreased by one day when the weather input data were obtained from the weather stations included in AWS compared with ASO S. In particular, reduction of the estimation error was observed even when the distance between the experiment farm and the ASOS stations was about 15 km. These results suggest that the use of the AWS stations would improve the reliability and applicability of the crop growth models for decision support as well as parameter calibration.

• Journal of the Korean Data and Information Science Society
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• v.28 no.6
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• pp.1447-1456
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• 2017

Accurate inference of parameters of a stochastic rainfall generation model is essential to improve the applicability of the rainfall generation model which modeled the rainfall process and the structure of rainfall events. In this study, the model parameters of a stochastic rainfall generation model, NSRPM (Neyman-Scott rectangular pulse model), were estimated using DFP (Davidon-Fletcher-Powell), GA (genetic algorithm), Nelder-Mead, and DE (differential evolution) methods. Summer season hourly rainfall data of 20 rainfall observation sites within the Nakdong river basin from 1973 to 2017 were used to estimate parameters and the regional applicability of inference methods were analyzed. Overall results demonstrated that DE and Nelder-Mead methods generate better results than that of DFP and GA methods.

• Journal of the Korean Data and Information Science Society
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• v.11 no.1
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• pp.1-18
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• 2000

In this paper, we study several parameter estimation methods used for autoregressive processes and compare them in view of forecasting. The least square estimation, least absolute deviation estimation, robust estimation are compared through Monte Carlo simulations.

• Journal of the Korean Data and Information Science Society
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• v.23 no.3
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• pp.487-494
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• 2012

This paper discusses a method for getting a basis set of estimable functions of model parameters in a two-way fixed effects model. Since the fixed effects model has more parameters than those that can be estimated, model parameters are not estimable. So it is not possible to make inferences for nonestimable functions of parameters. When the assumed model of matrix notation is reparameterized by the estimable functions in a basis set, it also discusses how to use projections for the estimation of estimable functions.

• Proceedings of the Safety Management and Science Conference
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• 2013.04a
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• pp.517-531
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• 2013

보증 데이터를 통해 제품의 수명 및 형상모수를 추정할 때 최우추정법과 같은 전통적인 통계 분석방법(Classical Statistical Method)을 많이 사용하였다. 그러나 전통적인 통계 분석방법을 통해 수명과 형상모수의 추정 시 표본의 크기가 작거나 불완전한 경우 추정량의 신뢰성이 떨어진다는 단점이 있고 또 누적된 경험과 과거자료를 충분히 이용하지 못하는 단점도 있다. 이러한 문제점을 해결하기 위해 모수의 사전분포를 가정하는 베이지안(Bayesian) 기법의 적용이 필요하다. 하지만 보증 데이터분석에 있어서 베이지안 기법을 이용한 연구는 아직 미흡한 실정이다. 본 연구에서는 수명분포가 와이블 분포를 갖는 보증데이터를 활용하여 모수 추정의 효율성을 비교 분석하고자 한다. 이를 위해 와이블 분포의 모수가 대수정규분포를 따르는 사전분포를 갖는 베이지안 기법과 전통적 통계기법인 생명표법(Actuarial method)을 활용하여 추정량을 도출하고 비교 분석하였다. 이를 통해 충분한 관측 데이터를 확보할 수 없는 경우에 베이지안 기법을 이용한 보증 데이터 분석방법의 성능을 확인하고자 한다.

• Environmental and Resource Economics Review
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• v.6 no.2
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• pp.233-258
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• 1997

본 논문은 가상가치기법(CVM)을 이용하여 대구시 수도물 수질개선의 경제적 편익에 대한 결정요인을 분석하고자 한다. 자료는 양분선택형 설문조사자료이며, 추정기법으로서 단일지수모형구조(single-index model)를 가정하는 두개의 준모수 추정법이 원용되었다. 비교목적으로 양분선택형 가상가치기법 문헌에서 전통적으로 사용되어 온 probit모형에 의한 추정결과도 아울러 제시된다.

• Proceedings of the Korean Statistical Society Conference
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• 2003.05a
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• pp.7-12
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• 2003

문항반응이론(IRT)에서 문항특성곡선(ICC)의 모수를 추정하는 경우에 발생되는 초기값(initial value) 문제를 비선형 로지스틱모형을 선형 회귀모형으로 근사화하여 해결하고자 하였다. 특히, 신규 또는 잡음이 섞인(local fluctuation) 문항의 직접적인 평가와 소규모집단별 검사가 이루어질 수 있는 현실적 문제에서 모수추정의 대안으로서 그 의의가 있을 수 있다.