• Journal of the Korean Data and Information Science Society
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• v.22 no.4
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• pp.727-733
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• 2011

To understand the stock market structure it is very important to extract meaningful information by analyzing the correlation matrix between stock returns. Recently there has been many studies on the correlation matrix using the Random Matrix Theory. In this paper we adopt this random matrix methodology to a single-factor model and we obtain meaningful information on the correlation matrix. In particular we observe the analysis of the correlation matrix using the single-factor model explains the real market data and as a result we confirm the usefulness of the single-factor model.

• The Korean Journal of Applied Statistics
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• v.24 no.3
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• pp.559-566
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• 2011

Biplot is a useful graphical method to explore simultaneously rows and columns of two-way data matrix. In particular, canonical correlation biplot is a method for investigating two sets of variables and observations in canonical correlation analysis graphically. For more than three sets of variables, we can apply the generalized canonical correlation biplot in generalized canonical correlation analysis which is an expansion of the canonical correlation analysis. On the other hand, we consider the set of covariate variables which is affecting the linearly two sets of variables. In this case, if we apply the generalized canonical correlation biplot, we cannot clearly interpret the other two sets of variables due to the effect of the set of covariate variables. Therefor, in this paper, we will apply the partial canonical correlation analysis of Rao (1969) removing the linear effect of the set of covariate variables on two sets of variables. We will suggest the partial canonical correlation biplot for inpreting the partial canonical correlation analysis graphically.

• The Korean Journal of Financial Studies
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• v.14 no.1
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• pp.83-96
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• 2008

본 연구는 Random Matrix Theory(RMT)방법에 의하여 분해된 상관행렬이 원래 주식간 상호작용을 충분히 반영하고 있는지 여부를 Mantegna(1999)에 의하여 제안된 주식 네트워크와 실증적으로 결합 검증하였다. 분석결과에 의하면, RMT 방법으로 분해된 상관행렬을 주식 네트워크와 결합하였을 때, 분해된 상관행렬은 주식간 상호작용에서 의미 있는 요인들의 속성을 적절히 반영하고 있다는 것을 실증적으로 확인할 수 있었다. 이러한 결과를 통하여, 주식간 상호작용을 계량화한 상관행렬을 RMT방법에 의하여 특정 속성을 갖는 상관행렬로 분해하여 재무이론과 결합 검증한다면, 주식간 상호작용을 보다 잘 이해하는데 유용한 방법이 될 수 있음을 확인하였다.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.23 no.7
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• pp.1689-1698
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• 1998

In this paper, we present a new method for estimating the parameters of transient-type signal in additive white Gaussian noise. This method makes use of the truncated singular value decomposition of an extended-order auto-correlation-like matrix based on the linear-prediction model. The method is tested on data consisting of two exponentially dampled sinusoidal signals with the same damping factor and different damping factor. Simulation results are illustrated to demonstrate the better performance of the method applied to the auto-correlation-like matrix than that applied to the data matrix.

• The Korean Journal of Applied Statistics
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• v.21 no.3
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• pp.429-439
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• 2008

Canonical correlation biplot is 2-dimensional plot for investigating the relationship between two sets of variables and the relationship between observations and variables in canonical correlation analysis graphically. In general, biplot is useful for giving a graphical description of the data. However, this general biplot and also canonical correlation biplot do not give some concise interpretations between variables and observations when the number of observations are large. Recently, for overcoming this problem, Choi and Kim (2008) suggested a method to interpret the biplot analysis by applying the K-means clustering analysis. Therefore, in this study, we will apply their method for investigating the relationship between skill and competition score factors of KLPGA players using canonical correlation biplot and cluster analysis.

• Journal of Advanced Navigation Technology
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• v.26 no.3
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• pp.166-171
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• 2022

In this paper, we propose an algorithm to improve DoA(direction of arrival) estimation performance of the subspace-based method by generating high robustness correlation matrix of the signals incident on the uniformly linear array antenna. The existing subspace-based DoA estimation method estimates the DoA by obtaining a correlation matrix and dividing it into a signal subspace and a noise subspace. However, the component of the correlation matrix obtained from the low SNR and small number of snapshots inaccurately estimates the signal subspace due to the noise component of the antenna, thereby degrading the DoA estimation performance. Therefore a robust correlation matrix is generated by arranging virtual signal vectors obtained from the existing correlation matrix in a sliding manner. As a result of simulation using MUSIC and ESPRIT, which are representative subspace-based methods,, the computational complexity increased by less than 2.5% compared to the existing correlation matrix, but both MUSIC and ESPRIT based on RMSE 1° showed superior DoA estimation performance with an SNR of 3dB or more.

• Communications for Statistical Applications and Methods
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• v.17 no.6
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• pp.917-925
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• 2010

The canonical correlation biplot is a 2-dimensional plot for graphically investigating the relationship between two sets of variables and the relationship between observations and variables in the canonical correlation analysis. Recently, Choi and Choi (2008) suggested a method for investigating the relationship between skill and competition score factors of KLPGA players using this biplot. Choi et al. (2010) used this biplot to analyze the player characteristic factors and competitive factors of tennis Grand Slam competition. Moreover, Huh (1999) provided a generalized canonical correlation analysis and biplot for more than three sets of variables. A Procrustes analysis is a useful tool for comparing shapes between configurations. This study will provide a method to investigate the relationship between physique, physical fitness and basic skill factors of tennis players in the Korea Tennis Association using a generalized canonical correlation biplot and Procrustes analysis.

• Communications for Statistical Applications and Methods
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• v.19 no.1
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• pp.97-105
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• 2012

The generalized canonical correlation biplot is a 2-dimensional plot to graphically investigate the relationship between more than three sets of variables and the relationship between observations and variables. Recently, Choi and Choi (2010) investigated the relationship physique, physical fitness and basic skill factors of Korea Tennis Association(KTA) players of using this biplot; however we consider the set of covariate variables affecting the linearly on two sets of variables. In this case, if we apply the generalized canonical correlation biplot, we cannot clearly interpret the other two sets of variables due to the effect of the set of covariate variables. Moreover, Yeom and Choi (2011) provided partial canonical correlation analysis that removed the linear effect of the set of covariate variables on two sets of variables. In addition, Procrustes analysis is a useful tool for comparing shape between configurations. In this study, we will investigate the relationship between physical fitness and basic skill factors of KTA players of using a partial canonical correlation biplot and Procrustes analysis. We compare shapes and shape variabilities for the generalized, partial and simple canonical correlation biplots.

• The Korean Journal of Applied Statistics
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• v.22 no.4
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• pp.855-864
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• 2009

Canonical correlation biplot is 2-dimensional plot for investigating the relationship between two sets of variables and the relationship between observations and variables in canonical correlation analysis graphically. Recently, Choi and Choi (2008) suggested a method for investigating the relationship between skill and competition score factors of KLPGA players using canonical correlation biplot and cluster analysis. analysis. Procrustes analysis is very useful tool for comparing shape between configurations. Therefore, in this study, we will provide a method for investigating the relationship between player characteristic factors and competitive factors of tennis grand slams competition using Canonical correlation biplot and Procrustes analysis.

• Journal of the Korean Society for Aeronautical & Space Sciences
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• v.30 no.8
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• pp.78-86
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• 2002

The GPS carrier phase measurements include integer ambiguities and the decorrelation process on the variance-covariance matrix is necessary to resolve these ambiguities efficiently. In this paper, we introduce a new method for the ambiguity de-correlation. This method divides the variance-covariance matrix into 4 smaller blocks and decorrelates them separately. The decorrelation of each block is processed recursively so that the result of the previous step is not affected by the next step. A couple of numerical examples chosen in random show that this method is better than or comparable to other decorrelation methods, however, the speed of this is relatively faster because the computations are performed on small blocks of the variance-covariance matrix.