• The Korean Journal of Applied Statistics
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• v.27 no.6
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• pp.959-973
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• 2014

Asset pricing models that account for asymmetric volatility in asset prices have been recently proposed. This article presents an efficient Bayesian method to analyze asset-pricing models. The method is developed by devising a partially collapsed Gibbs sampler that capitalizes on the functional incompatibility of conditional distributions without complicating the updates of model components. The proposed method is illustrated using simulated data and applied to daily S&P 500 data observed from September 1980 to August 2014.

• Journal of Korea Society of Industrial Information Systems
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• v.4 no.2
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• pp.1-6
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• 1999

We propose a new algorithm for pattern classification by extracting feature vectors based on Gibbs distributions which are well suited for representing the characteristic of an images. The extracted feature vectors are comprised of 2-D moments which are invariant under translation rotation, and scale of the image less sensitive to noise. This implementation contains two puts: feature extraction and pattern classification First of all, we extract feature vector which consists of an improved 2-D moments on the basis of estimated Gibbs distribution Next, in the classification phase the minimization of the discrimination cost function for a specific pattern determines the corresponding template pattern. In order to evaluate the performance of the proposed scheme, classification experiments with training document sets of characters have been carried out on SUN ULTRA 10 Workstation Experiment results reveal that the proposed scheme had high classification rate over 98%.

• Proceedings of the Korean Information Science Society Conference
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• 2005.07b
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• pp.727-729
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• 2005

나이브베이즈분류기($na\ddot{i}ve$ Bayes classifier)는 학습, 적용 및 계산자원 이용의 측면에서 매우 효율적인 모델이다. 또한, 그 분류 성능 역시 다른 기법에 비해 크게 떨어지지 않음이 다양한 실험을 통해 보여져 왔다. 특히, 데이터를 생성한 실제 확률분포를 나이브베이즈분류기가 정확하게 표현할 수 있는 경우에는 최대의 효과를 볼 수 있다. 하지만, 실제 확률분포에 존재하는 조건부독립성(conditional independence)이 나이브베이즈분류기의 구조와 일치하지 않는 경우에는 성능이 하락할 수 있다. 보다 구체적으로, 각 자질변수(feature variable)들 사이에 확률적 의존관계(probabilistic dependency)가 존재하는 경우 성능 하락은 심화된다. 본 논문에서는 이러한 나이브베이즈분류기의 약점을 효율적으로 해결할 수 있는 자질변수의 통합기법을 제시한다. 자질변수의 통합은 각 변수들 사이의 관계를 명시적으로 표현해 주는 방법이며, 특히 상호정보량(mutual information)에 기반한 통합 변수의 선정이 성능 향상에 크게 기여함을 실험을 통해 보인다.

• Proceedings of the Korea Water Resources Association Conference
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• 2021.06a
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• pp.187-187
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• 2021

최근 기후 변화로 인한 한반도의 극한 홍수 및 가뭄의 발생 빈도가 급증하고 있다. 이와 같은 이상 기후의 발생으로 연간 강수량의 편차가 더 커지면서 장래 물 부족 문제가 더욱 심화될 전망이다. 따라서 본 연구에서는 한강 유역의 수문 모형 구축을 통해 미래 물수지 변화를 정량적으로 예측함으로써 기후 변화가 한강 유역의 수문순환요소와 수자원에 미치는 영향을 분석하고 평가하였다. 레이더 강우 시계열 자료의 활용을 위하여 격자 단위로 분석이 가능한 분포형 수문 모형 VIC (Variable Infiltration Capacity)을 사용하였고 모형 구축에는 레이더 강우와 종관기상관측소의 강우 자료에 조건부 합성 기법(Conditional Merging, CM)을 적용하여 보정된 강우 자료를 사용하였다. 제공되는 VIC의 토양, 식생 변수는 공간 해상도가 너무 낮고 유역 내에서도 공간적인 변동성이 크지 않아 침투에 관련된 매개변수를 토지 피복과 연관 지어 격자마다 적정한 매개변수를 회귀 분석하여 새로 산정하였다. 먼저 보정 기간 6년(2009-2014)에 대해 보정을 하고 이후 검증 기간 6년(2014-2019)에 대해 검증을 진행하였다. 보정, 검증 기간에 대한 NSE 값은 각각 0.968, 0.569로 양호한 결과를 보여주었다. 구축된 수문 모형에 기후 변화를 고려하기 위해 GCM 기반의 CMIP6 미래기상자료를 입력해서 미래의 물 수지와 수문순환요소의 변화를 모의하였고 모의 결과, 미래 기간에는 강수의 편차가 더욱 심화되면서 가뭄이 더 빈번하게 발생하는 경향을 보였다.

• The Korean Journal of Financial Management
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• v.20 no.2
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• pp.95-126
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• 2003

This paper introduces multifractal processes and presents the empirical investigation of the multifractal asset pricing. The multifractal stock price process contains long-tails which focus on Levy-Stable distributions. The process also contains long-dependence, which is the characteristic feature of fractional Brownian motion. Multifractality introduces a new source of heterogeneity through time-varying local reqularity in the price path. This paper investigates multifractality in stock prices. After finding evidence of multifractal scaling, the multifractal spectrum is estimated via the Legendre transform. The distinguishing feature of the multifractal process is multiscaling of the return distribution's moments under time-resealing. More intensive study is required of estimation techniques and inference procedures.

• The Korean Journal of Applied Statistics
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• v.33 no.2
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• pp.203-213
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• 2020

The self-controlled case series (SCCS) study measures the relative risk of exposure to exposure period by setting the non-exposure period of the patient as the control period without a separate control group. This method minimizes the bias that occurs when selecting a control group and is often used to measure the risk of adverse events after taking a drug. This study used SCCS to examine the increased risk of side effects when two or more drugs are used in combination. A conditional Poisson model is assumed and analyzed for drug interaction between the narcotic analgesic, tramadol and multi-frequency combination drugs. Bayesian inference is used to solve the overfitting problem of MLE and the normal or Laplace prior distributions are used to measure the sensitivity of the prior distribution.

• Journal of the Korean Data and Information Science Society
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• v.25 no.4
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• pp.715-725
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• 2014

This study uses a quantile regression analysis to investigate intergenerational economic mobility in Korea. The analysis is based on data from the 1st through 11th waves of the Korean Labor and Income Panel Study (KLIPS) conducted from 1998-2008. The household nature of the data allows us to link parents' incomes to children's incomes at different points in time. Using a quantile regression analysis instead of mean one reveals that the effect of fathers' earnings are different across the conditional distribution of sons' earnings, particularly being larger on the upper quantile than on the lower quantile. After controlling effect of sons' college education by including a dummy variable for the degree, however, the pattern among quantile effects for fathers' earnings is no longer clear. Instead a new pattern emerges that education has a much larger effect on the upper quantiles than on the lower ones. Using nonparametric estimates of conditional density curves based on the quantile regression results, we derive some interesting features in graphical forms, which are not obvious in numerical analysis.

• Smart Media Journal
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• v.1 no.2
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• pp.12-22
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• 2012

Today we are witnessing an increasingly widespread use of cameras in our lives for video surveillance, robot vision, and mobile phones. This has led to a renewed interest in computer vision in general and an on-going boom in human activity recognition in particular. Although not particularly fancy per se, human gait is inarguably the most common and frequent action. Early on this decade there has been a passing interest in human gait recognition, but it soon declined before we came up with a systematic analysis and understanding of walking motion. This paper presents a set of DBN-based models for the analysis of human gait in sequence of increasing complexity and modeling power. The discussion centers around HMM-based statistical methods capable of modeling the variability and incompleteness of input video signals. Finally a novel idea of extending the discrete state Markov chain with a continuous density function is proposed in order to better characterize the gait direction. The proposed modeling framework allows us to recognize pedestrian up to 91.67% and to elegantly decode out two independent gait components of direction and posture through a sequence of experiments.

• Journal of the Institute of Electronics Engineers of Korea CI
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• v.42 no.6
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• pp.75-82
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• 2005

The robust feature vector selection method for the multiple frontal face detection is proposed in this paper. The proposed feature vector for the training and classification are integrated by means, amplitude projections, and its 1D Harr wavelet of the input image. And the statistical modeling is performed both for face and nonface classes. Finally, the estimated probability density functions (PDFs) are applied for the detection of multiple frontal faces in the still image. The proposed method can handle multiple faces, partially occluded faces, and slightly posed-angle faces. And also the proposed method is very effective for low quality face images. Experimental results show that detection rate of the propose method is $98.3\%$ with three false detections on the testing data, SET3 which have 227 faces in 80 images.

• Journal of IKEEE
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• v.5 no.1 s.8
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• pp.1-7
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• 2001

In this paper, we have investigated the CDMA(Code Division Multiple Access) Cellular System with non-linear equalizer in reverse link channel. In general, due to unknown characteristics of channel in the wireless communication, the distribution of the observables cannot be specified by a finite set of parameters; instead, we partitioned the m-dimensional sample space Into a finite number of disjointed regions by using quantiles and a vector quantizer based on training samples. The algorithm proposed is based on a piecewise approximation to regression function based on quantiles and conditional partition moments which are estimated by Robbins Monro Stochastic Approximation (RMSA) algorithm. The resulting equalizers and detectors are robust in the sense that they are insensitive to variations in noise distributions. The main idea is that the robust equalizers and robust partition detectors yield better performance in equiprobably partitioned subspace of observations than the conventional equalizer in unpartitioned observation space under any condition. And also, we apply this idea to the CDMA system and analyze the BER performance.