• Communications for Statistical Applications and Methods
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• 제2권2호
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• pp.243-248
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• 1995

The problem of optimal design for a nonparametric regression with binary data is considered. The aim of the statistical analysis is the estimation of a quantal response surface in two dimensions. Bias, variance and IMSE of kernel estimates are derived. The optimal design density with respect to asymptotic IMSE is constructed.

• Communications for Statistical Applications and Methods
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• 제3권1호
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• pp.229-234
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• 1996

로우버스트 추정에서 자주 사용되는 Huber의 ${\phi}$-함수의 선형 결합을 통해 새로운 재하강 ${\phi}$-함수를 도출한다. 이 함수를 사용하면 적절한 조건하에서 앞의 두 함수를 사용할 때보다 위치 모수(location parameter)에 대한 추정량의 점근분산(asymptotic variance)을 감소시킬 수 있음을 보였다.

• 한국신뢰성학회지:신뢰성응용연구
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• 제1권1호
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• pp.55-63
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• 2001

In this paper, we utilize the asymptotic variance of $C_{pk}$ to propose a two-sided confidence interval based on percentile-t bootstrap method. This confidence interval is compared with the ones based on the standard and percentile bootstrap methods. Simulation results show that percentile-t bootstrap method is preferred to other methods for constructing the confidence interval.l.

• 응용통계연구
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• 제6권2호
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• pp.393-399
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• 1993

반응이 두 가지로 나타나는 자료에서 설명변수와 반응변수와의 관계를 연구할 때 많이 사용되는 로지스틱 회귀모형에 대하여 그 모수들을 최우추정법으로 구할 때 추정량의 표준오차는 보통 로그우도함수의 2차도함수에 바탕을 두어 계산하게 된다. 한편 피셔정보량이 로그우도함수의 1차도함수를 제곱한 통계량의 기대값으로도 계산된다는 점에 착안하여 얻어지는 피셔정보량의 추정량도 이와 거의 비슷한 대표본 성질을 갖는 것으로 알려져 있다. 이러한 피셔정보량의 추정량들은 최우추정량을 구할 때의 반복 알고리즘과 깊은 관련을 갖고 있다. 어느 방법이 더 효과적으로 최우추정량을 계산하는 지 평균반복횟수를 비교하고 대표본분산의 추정량으로서 각 방법에서 계산되는 분산의 추정량들을 비교하였다.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제26권4호
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• pp.296-309
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• 2022

Timer options are one of the contingent claims that, for given the variance budget, its payoff depends on a random maturity in terms of the realized variance unlike the standard European vanilla option with a fixed time maturity. Since it was first launched by Société Générale Corporate and Investment Banking in 2007, the valuation of the timer options under several stochastic environment for the volatility has been conducted by many researches. In this study, we propose the pricing of timer power options combined with standard timer options and the index of the power to the underlying asset for the investors to actualize lower risks and higher returns at the same time under the uncertain markets. By using the asymptotic analysis, we obtain the first-order approximation of timer power options. Moreover, we demonstrate that our solution has been derived accurately by comparing it with the solution from the Monte-Carlo method. Finally, we analyze the impact of the stochastic volatility with regards to various parameters on the timer power options numerically.

• 대한토목학회논문집
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• 제28권6B호
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• pp.723-729
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• 2008

본 연구에서는 홍수지수법의 불확실성을 평가하기 위해 우리나라 강우자료의 지역빈도해석에 적합한 것으로 제안된 generalized logistic 분포형의 quantile에 대한 점근 분산식을 이용하여 성장곡선에 대한 신뢰구간을 산정하였다. 또한 지점 빈도해석과 지역빈도해석에 의한 quantile의 분산을 이용하여 빈도해석의 효율성 지표(efficiency index)를 계산하였다. 우리나라 378개 강우 관측 지점을 바탕으로 구분한 14개 동질 지역에 대해 효율성 지표를 계산한 결과 홍수지수법이 지점빈도 해석보다 불확실성이 더 작은 quantile을 추정하는 것으로 나타났다. 한 지역에 포함되는 지점 개수가 과다하지 않도록 조정하는 것이 지역빈도해석의 효율성 측면에서 나은 것으로 나타났다.

• Communications for Statistical Applications and Methods
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• 제17권2호
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• pp.165-181
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• 2010

This paper presents some chain ratio-type estimators for estimating finite population variance using two auxiliary variables in two phase sampling set up. The expressions for biases and mean squared errors of the suggested c1asses of estimators are given. Asymptotic optimum estimators(AOE's) in each class are identified with their approximate mean squared error formulae. The theoretical and empirical properties of the suggested classes of estimators are investigated. In the simulation study, we took a real dataset related to pulmonary disease available on the CD with the book by Rosner, (2005).

• Water Engineering Research
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• 제1권1호
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• pp.11-23
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• 2000

Regional flood frequency analysis has been developed by employing the nearby site's information to improve a precision in estimating flood quantiles at the site of interest. In this paper, single site and regional flood frequency analyses were compared based of the 2-parameter Weibull model. For regional analysis, two approaches were employed. The First one is to use the asymptotic variances of the quantile estimators derived based of the assumption that all sites including the site of interest are independent each other. This approach may give the maximum regional gain due to the spatial independence assumption among sites. The second one in Hosking's regional L-moment algorithm. These methods were applied to annual flood data. As the results, both methods generally showed the regional gain at the site of interest depending on grouping the sites as homogeneous. And asymptotic formula generally shows smaller variance than those from Hosking's algorithm. If the shape parameter of the site of interest from single site analysis is quite different from that from regional analysis then Hosking's results might be better than the asymptotic ones because the formula was derived based on the assumption that all sites have the same regional shape parameter. Furthermore, in such a case, regional analysis might be worse than single site analysis in the sense of precision of flood quantile estimation. Even though the selected sites may satisfy Hosking's criteria, regional analysis may not give a regional gain for specific and nonexceedance probabilities.

• Journal of Electrical Engineering and information Science
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• 제2권3호
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• pp.29-40
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• 1997

Two asymptotic analyses of the queue length distribution at a statistical multiplexor supporting heterogeneous exponential on-off sources are considered. The first analysis is performed by approximating the cell generation rates as a multi-dimensional Ornstein-Uhlenbeck process and then applying the Benes queueing formula. In the second analysis, w state with a system of linear equations derived from the exact expressions of the dominant eigenvalue of the matrix governing the queue length distribution. Assuming that there are a large number of sources, we obtain asymptotic approximations to the dominant eigenvalue. Based on the analyses, we define a traffic descriptor to include the mean and the variance of the cell generation rate and a burstiness measure. A simple expression for the quality of service (QoS) in cell loss rate is derived in terms of the traffic descriptor parameters and the multiplexor parameters (output link capacity and buffer size). The result is then used to quantify the factors determining the required capacity of a call taking the statistical multiplexing gain into consideration. As an application of the analyses, we can use the required capacity calculation for simple yet effective connection admission control(CAC) algorithms.

• Journal of the Korean Statistical Society
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• 제35권2호
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• pp.115-142
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• 2006

This paper studies the problem of option hedging when the underlying asset price process is a compound Poisson process. By adopting an asymptotic approach to let the security price converge to a continuous process, we find a closed-form hedging strategy that improves the classical Black-Scholes hedging strategy in a quadratic sense. We first show that the scaled Black-scholes hedging error has a limit in law, and that limit is decomposed into a part that can be traded away and a part that is purely unreplicable. The Black-Scholes hedging strategy is then modified by adding the replicable part of its hedging error and by adding the mean-variance hedging strategy to the nonreplicable part. Some results of simulation experiment s are also provided.