• Journal of the Korean Data and Information Science Society
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• v.10 no.1
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• pp.29-36
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• 1999

We propose a new method of asymptotic inference on the odds ratio (or cross-product ratio) in $2{\times}2$ contingency table. Saddlepoint approximations to the conditional tail probability we used in this procedure. We assess the accuracy of the suggested method by comparing with the exact one. To obtain the exact values, we need very complicated calculations containing the cumulative probabilities of non-central hypergeometric distribution. The suggested method in this paper is very accurate even for small or moderate sample sizes as well as simple and easy to use. Example with a real data is also considered.

• Communications for Statistical Applications and Methods
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• v.5 no.1
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• pp.121-131
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• 1998

이 논문의 목적은 비모수 회귀모형에 있어서의 오차의 분산을 추정하는 방법들 중 차분에 기저한 방법 (difference-based methods)을 이용한 기존의 추정량들을 비교 분석하는데 있다. 특히 점근적인 최적 이차 차분에 기저한 Hall과 Kay, Titterington(1990)의 HKT 추정량에 대한 그들의 추정량에 대한 문제점들을 제시하고, HKT추정량과, GSJS추정량, Rice추정량에 대하여 모의 실험을 이용하여 모수에 대한 수렴 속도를 비교 분석 하였다. 또한 GSJS 추정량에 대한 일치성과 수렴 속도를 보였다.

• Journal of IKEEE
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• v.13 no.1
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• pp.30-35
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• 2009

A new controller which can achieve the asymptotic tracking is proposed for the nonlinear system having a uncertainty in the input coefficient. A high gain observer is used to estimate the state variables when the nonlinear system has a modeling uncertainty. A variable structure control is used to achieve an asymptotic tracking, while ultimate boundness was achieved in the previous work. A Lyapunov analysis is used to justify the our proposal. The performance of proposed method is demonstrated via simulation.

• The Korean Journal of Applied Statistics
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• v.33 no.4
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• pp.467-482
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• 2020

We investigate a monitoring procedure for the early detection of parameter changes in location-scale time series models. We introduce a detector for monitoring procedure based on modified residual cumulative sum (CUSUM). The asymptotic properties of the monitoring procedure are established under the null and alternative hypotheses. Simulation results and data analysis are also provided for illustration.

• The Korean Journal of Applied Statistics
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• v.16 no.2
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• pp.395-406
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• 2003

In this thesis, we propose a test statistic for testing exponentiality against NBU alternatives. Our test statistics is based on a linear function of the order statistics and is readily applied in the case of small sample as well as large sample. The exact and asymptotic distribution of the test statistics is derived and asymptotic efficiencies are studied. Our new test is easier to compute and performs better for several alternatives than test of Hollander and Proschan(1972).

• The Korean Journal of Applied Statistics
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• v.9 no.1
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• pp.53-73
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• 1996

This paper compares two accelerated life for Weibull distribution. One is the optimum constant stress accelerated life test which minimizes the asymptotic variance of maximum likelihood estimator of a specified quantile at design stress, and the other is corresponding simple step stress test. The models and optimum designs of constant stress and step stress tests are reviewed. Behaviors of asymptotic variances, effects of design parameters to optimum tests, and expected numbers of failures and expected test times of the two tests are investigated. The efficiency of step stress test relative to constant stress test is studied in terms of variance ratio, and robustness to preestimates of design parameters are investigated.

• Communications for Statistical Applications and Methods
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• v.2 no.1
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• pp.166-175
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• 1995

내부적 독립성 가설에 대해 전통적인 우도비원리 하에서 나온 검정통계량과 합교원리하에서 나온 검정통계량들에 대한 자료분석적인 측면에서의 대안으로서 기하적 관점에서 유래된 하나의 heuristic 검정통계량이 제안된다. 아울러 기존 검정통계량들의 기하적 의미들도 살펴보았다. 나아가 제안된 검정통계량의 특성 및 점근분포를 유도하였으며, 모의 실험을 통하여 기존 검정통계량들과의 검정력을 비교한다.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.181-192
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• 2016

We consider several methods to approximate option prices with correction terms to the Black-Scholes option price. These methods are able to compute option prices from various risk-neutral distributions using relatively small data and simple computation. In this paper, we compare the performance of Edgeworth expansion, A-type and C-type Gram-Charlier expansions, a method of using Normal inverse gaussian distribution, and an asymptotic method of using nonlinear regression through simulation experiments and real KOSPI200 option data. We assume the variance gamma model in the simulation experiment, which has a closed-form solution for the option price among the pure jump $L{\acute{e}}vy$ processes. As a result, we found that methods to approximate an option price directly from the approximate price formula are better than methods to approximate option prices through the approximate risk-neutral density function. The method to approximate option prices by nonlinear regression showed relatively better performance among those compared.

• Journal of Korea Water Resources Association
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• v.43 no.4
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• pp.337-351
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• 2010

There is a growing dissatisfaction with use of conventional statistical methods for the prediction of extreme events. Conventional methodology for modeling extreme event consists of adopting an asymptotic model to describe stochastic variation. However asymptotically motivated models remain the centerpiece of our modeling strategy, since without such an asymptotic basis, models have no rational for extrapolation beyond the level of observed data. Also, this asymptotic models ignored or overestimate the uncertainty and finally decrease the reliability of uncertainty. Therefore this article provide the research example of the extreme rainfall event and the methodology to reduce the uncertainty. In this study, the Bayesian MCMC (Bayesian Markov Chain Monte Carlo) and the MLE (Maximum Likelihood Estimation) methods using a quadratic approximation are applied to perform the at-site rainfall frequency analysis. Especially, the GEV distribution and Gumbel distribution which frequently used distribution in the fields of rainfall frequency distribution are used and compared. Also, the results of two distribution are analyzed and compared in the aspect of uncertainty.

• The Korean Journal of Applied Statistics
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• v.12 no.2
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• pp.479-490
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• 1999

선형시계열모형인 AR(1)모형과 비선형시계열모형인 RCA(1), ARCH(1)모형에서 이상치(Outlier)가 존재할 경우 최소제곱추정량과 M추정량간의 점근상대효율(Asymptotic Relative Efficiency: ARE)을 구하여 두 추정량의 로버스트 성질을 비교·분석하였다. 또한 여러 유계함수(Huber, Tukey, Andrews, Hampel)들을 M추정함수에 적용하여 각각의 유계함수들을 비교·분석하였다.