• Journal of the Korean Statistical Society
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• 제31권1호
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• pp.33-43
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• 2002

The empirical Bayes linear loss two-action problem is studied. An empirical Bayes test $\delta$$_{n}$ $^{*}$ is proposed. It is shown that $\delta$$_{n}$ $^{*}$ is asymptotically optimal in the sense that its regret converges to zero at a rate $n^{-1}$ over a class of priors and the rate $n^{-1}$ is the optimal rate of convergence of empirical Bayes tests.sts.

• Journal of Communications and Networks
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• 제18권1호
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• pp.84-94
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• 2016

Design of effective cooperative jamming (CJ) algorithm is studied in this paper to maximize the achievable secrecy rate when the total transmit power of the source and multiple trusted terminals is constrained. Recently, the same problem was studied in [1] and an optimal algorithm was proposed involving a one-dimensional exhaustive searching.However, the computational complexity of such exhaustive searching could be very high, which may limit the practical use of the optimal algorithm. We propose an asymptotically optimal algorithm, involving only a fast line searching, which can guarantee to achieve the global optimality when the total transmit power goes to infinity. Numerical results demonstrate that the proposed asymptotically optimal algorithm essentially gives the same performance as the algorithm in [1, (44)] but with much lower computational complexity.

• International Journal of Reliability and Applications
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• 제2권1호
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• pp.49-56
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• 2001

In this paper we consider empirical Bayes estimation of the hazard rate and survival probabilities with right censored data under the assumption that the hazard function is constant over the period of observation and the prior distribution is gamma. We provide an estimator of the first derivative of the prior moment generating function that converges at each point to the true value in $L_2$ and use it to obtain, easy to compute, asymptotically optimal estimators under the squared error loss function.

• Journal of the Korean Statistical Society
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• 제18권2호
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• pp.97-106
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• 1989

We consider two semiparametric regression lines where the density of the error terms are unknown. We give simultaneous estimatros of the differences of intercepts and slopes which turn out to be asymptotically minimax as well as efficient in semiparametric sense.

• 한국통계학회:학술대회논문집
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• 한국통계학회 2005년도 추계 학술발표회 논문집
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• pp.55-58
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• 2005

This paper discusses the asymptotic efficiency of estimators for optimal portfolios when returns are vector-valued non-Gaussian stationary processes. We give the asymptotic distribution of portfolio estimators ${\hat{g}}$ for non-Gaussian dependent return processes. Next we address the problem of asymptotic efficiency for the class of estimators ${\hat{g}}$ First, it is shown that there are some cases when the asymptotic variance of ${\hat{g}}$ under non-Gaussianity can be smaller than that under Gaussianity. The result shows that non-Gaussianity of X(t) does not always affect worse. Second, we give a necessary and sufficient condition for ${\hat{g}}$ to be asymptotically efficient when the return process is Gaussian, which shows that ${\hat{g}}$ is not asymptotically efficient generally. From this point of view we propose to use maximum likelihood type estimators for g, which are asymptotically efficient. We examine our approach numerically.

• Journal of applied mathematics & informatics
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• 제25권1_2호
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• pp.231-244
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• 2007

In this paper, we use measure theory for considering asymptotically stable of an autonomous system [1] of first order nonlinear ordinary differential equations(ODE's). First, we define a nonlinear infinite-horizon optimal control problem related to the ODE. Then, by a suitable change of variable, we transform the problem to a finite-horizon nonlinear optimal control problem. Then, the problem is modified into one consisting of the minimization of a linear functional over a set of positive Radon measures. The optimal measure is approximated by a finite combination of atomic measures and the problem converted to a finite-dimensional linear programming problem. The solution to this linear programming problem is used to find a piecewise-constant control, and by using the approximated control signals, we obtain the approximate trajectories and the error functional related to it. Finally the approximated trajectories and error functional is used to for considering asymptotically stable of the original problem.

• 품질경영학회지
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• 제14권2호
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• pp.15-20
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• 1986

Using Fisher's method of combining two independent test statistics, we suggest a test for comparing two exponential populations with location and scale parameters and prove that it is asymptotically optimal in the sense of Bahadur efficiency.

• Communications for Statistical Applications and Methods
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• 제19권1호
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• pp.107-115
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• 2012

본 논문에서는 Yoo와 Cook (2007)에 의하여 제시된 다변량 회귀의 조건부 평균에 대한 최소 불일치 함수 접근법을 통한 최적 차원축소 부분공간의 추정에서 차원의 수가 추정된 선형결합들과 설명력 등에 어떤 영향을 미치는 지를 시뮬레이션 자료를 통하여 알아보았다. 그 결과 추정에 사용된 차원수에 따른 여러 결과들을 차원결정을 위한 검정과 함께 활용하면 모형에 필요한 차원수를 탐색하는데 매우 효과적임을 알 수 있었다.

• Journal of the Korean Statistical Society
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• 제33권2호
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• pp.191-202
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• 2004

The paper considers nonparametric empirical Bayes estimation of residual survival function at age t using a Dirichlet process prior V(a). Empirical Bayes estimators are proposed for the case where both the function ${\alpha}$(0, $\chi$] and the size a(R$\^$+/) are unknown. It is shown that the proposed empirical Bayes estimators are asymptotically optimal at a rate n$\^$-1/, where n is the number of past data available for the present estimation problem. Therefore, the result of Lahiri and Park (1988) in which a(R$\^$+/) is assumed to be known and a rate n$\^$-1/ is achieved, is extended to a(R$\^$+/) unknown case.

• 제어로봇시스템학회:학술대회논문집
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• 제어로봇시스템학회 1986년도 한국자동제어학술회의논문집; 한국과학기술대학, 충남; 17-18 Oct. 1986
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• pp.550-553
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• 1986

This paper presents a procedure for the time-scale separation and a design method for the sub-optimal composite regulator and Kalman filter of the large-scale discrete stochastic system with two time-scale properties. Provided that the fast sub-system is asymptotically stable, the reduced-order regulator and Kalman filter for the slow sub-system with dominant modes is designed as a sub-optimal regulator for the system.