• Communications for Statistical Applications and Methods
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• v.18 no.3
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• pp.377-389
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• 2011

A higher quality level is generally perceived by customers as improved performance by assigning a correspondingly higher satisfaction score. The third generation index $C_{pmk}$ is more powerful than two useful indices $C_p$ and $C_{pk}$ that have been widely used in six sigma industries to assess process performance. In actual manufacturing industries, process capability analysis often entails characterizing or assessing processes or products based on more than one engineering specification or quality characteristic. Since these characteristics are related, it is a risky undertaking to represent the variation of even a univariate characteristic by a single index. Therefore, the desirability of using vector-valued process capability index(PCI) arises quite naturally. In this paper, we consider more powerful vector-valued process capability index $C_{pmk}$ = ($C_{pmkx}$, $C_{pmky}$)$^t$ that consider the univariate process capability index $C_{pmk}$. First, we examine the process capability index $C_{pmk}$ and plug-in estimator $\hat{C}_{pmk}$. In addition, we derive its asymptotic distribution and variance-covariance matrix $V_{pmk}$ for the vector valued process capability index $C_{pmk}$. Under the assumption of bivariate normal distribution, we study asymptotic confidence regions of our vector-valued process capability index $C_{pmk}$ = ($C_{pmkx}$, $C_{pmky}$)$^t$.

• The Journal of the Acoustical Society of Korea
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• v.41 no.3
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• pp.326-334
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• 2022

In this paper, we propose speech enhancement algorithm as a pre-processing for robust speech recognition in noisy environments. Auxiliary-function-based Independent Vector Analysis (AuxIVA) is performed with weighted covariance matrix using time-varying variances with scaling factor from target masks representing time-frequency contributions of target speech. The mask estimates can be obtained using Neural Network (NN) pre-trained for speech extraction or diffuseness using Coherence-to-Diffuse power Ratio (CDR) to find the direct sounds component of a target speech. In addition, outputs for omni-directional noise are closely chained by sharing the time-varying variances similarly to independent subspace analysis or IVA. The speech extraction method based on AuxIVA is also performed in Independent Low-Rank Matrix Analysis (ILRMA) framework by extending the Non-negative Matrix Factorization (NMF) for noise outputs to Non-negative Tensor Factorization (NTF) to maintain the inter-channel dependency in noise output channels. Experimental results on the CHiME-4 datasets demonstrate the effectiveness of the presented algorithms.

• The Journal of the Institute of Internet, Broadcasting and Communication
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• v.13 no.1
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• pp.89-93
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• 2013

This paper is estimating a target direction of arrival with incident to receiver in spatial. This paper presented covariance using constraint matrix to correlation interference signal cancellation in multi input multi output array antennas system. we proposed a target direction of arrival estimation algorithm using cost function and minimum variance method. Through simulation, we were analysis a performance to compare general SPT-LCMV algorithm and proposal algorithm. We showed that proposal algorithm improve more target estimation than general SPT-LCMV algorithm in direction of arrival.

• The Journal of the Acoustical Society of Korea
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• v.36 no.2
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• pp.100-107
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• 2017

The focused MVDR (Minimum Variance Distortionless Response) can be applied for source localization in near field. However, if the number of sensors are increased, it requires a large amount of calculation to obtain the inverse of the covariance matrix. In this paper we propose a focused MVDR method using that beam space is formed from output of far field beamformer at the subarray. The performances of the proposed method was evaluated by simulation. As a result of simulation, the proposed method has the higher spatial resolution performance then the conventional delay-and-sum beamformer.

• The Journal of the Institute of Internet, Broadcasting and Communication
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• v.10 no.5
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• pp.133-138
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• 2010

In this paper, we make up a feature image including spatial properties and statistical properties on image, and format covariance matrices using region variance magnitudes. By using it to texture classification, this paper puts a proposal for tough texture classification way to illumination, noise and rotation. Also we offer a way to minimalize performance time of texture classification using integral image expressing middle image for fast calculation of region sum. To estimate performance evaluation of proposed way, this paper use a Brodatz texture image, and so conduct a noise addition and histogram specification and create rotation image. And then we conduct an experiment and get better performance over 96%.

• The Korean Journal of Applied Statistics
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• v.29 no.7
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• pp.1201-1212
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• 2016

Value at Risk (VaR) for market risk management is a favorite method used by financial companies; however, there are some problems that cannot be explained for the amount of loss when a specific investment fails. Conditional Tail Expectation (CTE) is an alternative risk measure defined as the conditional expectation exceeded VaR. Multivariate loss rates are transformed into a univariate distribution in real financial markets in order to obtain CTE for some portfolio as well as to estimate CTE. We propose multivariate CTEs using multivariate quantile vectors. A relationship among multivariate CTEs is also derived by extending univariate CTEs. Multivariate CTEs are obtained from bivariate and trivariate normal distributions; in addition, relationships among multivariate CTEs are also explored. We then discuss the extensibility to high dimension as well as illustrate some examples. Multivariate CTEs (using variance-covariance matrix and multivariate quantile vector) are found to have smaller values than CTEs transformed to univariate. Therefore, it can be concluded that the proposed multivariate CTEs provides smaller estimates that represent less risk than others and that a drastic investment using this CTE is also possible when a diversified investment strategy includes many companies in a portfolio.

• Journal of the Korean Data and Information Science Society
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• v.25 no.6
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• pp.1449-1466
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• 2014

In this paper, we consider a hedge portfolio based on futures of underlying asset. A classical way to estimate a hedge ratio for a hedge portfolio of a spot and futures is a regression analysis. However, a regression analysis is not capable of reflecting long-run equilibrium between a spot and futures and volatility clustering in the conditional variance of financial time series. In order to overcome such defects, we analyzed KOSPI200 index and futures using VECM-CC-GARCH model and computed a hedge ratio from the estimated conditional covariance-variance matrix. In real data analysis, we compared a regression and VECM-CC-GARCH models in terms of hedge effectiveness based on variance, value at risk and expected shortfall of log-returns of hedge portfolio. The empirical results show that the multivariate GARCH models significantly outperform a regression analysis and improve hedging effectiveness in the period of high volatility.

• Journal of the Korean Society of Surveying, Geodesy, Photogrammetry and Cartography
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• v.19 no.3
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• pp.237-244
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• 2001

On this study, a 50-years-old earth dam was measured by the static method of GPS for deformation monitoring. The reference network was measured by the vector between points in twice times and the monitored points were observed in four times at test field, i.e. an embankment which was restored by mortar, In addition, gross errors in the measurement were estimated and eliminated by data snooping method and random errors were adjusted by least square method. Finally, the amount of displacement was estimated from variance-covariance matrix. Also, precision of points were showed by the confidence ellipse(95%), and the amount of displacement was figured.

• The Korean Journal of Applied Statistics
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• v.5 no.1
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• pp.19-28
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• 1992

In this paper, minimal balanced $2^t$ fractional factorial designs which permit the estimation of main effects and 2-factor interactions are developed by using a partially balanced array. Such designs are characterized by a minimum number of runs and some balancedness property of the variance-covariance matrix of the estimates. In addition to describing the designs, optimality criteria are discussed and the trace-optimal designs are presented. The proposed designs are especially useful in Taguchi method, where we need to investigate up to 2-factor interactions of the control factors.

• The Korean Journal of Applied Statistics
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• v.26 no.1
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• pp.141-149
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• 2013

We present methods for studying the log-density ratio that enables the selection of the predictors and the form to be included in the logistic regression model. Under bivariate normal distributional assumptions, we investigate the form of the log-density ratio as a function of two predictors. If two covariance matrices are equal, then the crossproduct and quadratic terms are not needed. If the variables are uncorrelated, we do not need the crossproduct terms, but we still need the linear and quadratic terms. We also explore other conditions in which the crossproduct and quadratic terms are not needed in the logistic regression model.