• International Journal of Reliability and Applications
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• v.18 no.2
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• pp.65-82
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• 2017

Abstract. Camilo Dagum proposed several variants of a new model for the size distribution of personal income in a series of papers in the 1970s. He traced the genesis of the Dagum distributions in applied economics and points out parallel developments in several branches of the applied statistics literature. The main aim of this paper is to define a bivariate Dagum distribution so that the marginals have Dagum distributions. It is observed that the joint probability density function and the joint cumulative distribution function can be expressed in closed forms. Several properties of this distribution such as marginals, conditional distributions and product moments have been discussed. The maximum likelihood estimates for the unknown parameters of this distribution and their approximate variance-covariance matrix have been obtained. Some simulations have been performed to see the performances of the MLEs. One data analysis has been performed for illustrative purpose.

• Journal of the Korean Statistical Society
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• v.28 no.4
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• pp.457-468
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• 1999

Autologistic lattice process is used to model binary spatial data. A conditional probability is derived for the incomplete data where the lattice consists of partially yet systematically observed sites. This result, which is interesting in its own right, is in turn applied to area prediction in the plane.

• Journal of the Korean Statistical Society
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• v.34 no.1
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• pp.61-71
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• 2005

A class of asymmetric ARCH processes is proposed via binary random power transformations. This class accommodates traditional nonlinear models such as threshold ARCH (Rabemanjara and Zacoian (1993)) and Box-Cox type ARCH models(Higgins and Bera (1992)). Stationarity condition of the model is addressed. Iterative least squares(ILS) and pseudo maximum like-lihood(PML) methods are discussed for estimating parameters and related algorithms are presented. Illustrative analysis for Korea Stock Prices Index (KOSPI) data is conducted.

• Journal of the Korean Statistical Society
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• v.31 no.4
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• pp.459-468
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• 2002

A class of asymmetric beta-ARCH processes is proposed and connections to traditional ARCH models are explained. Geometric ergodicity of the model is discussed. Conditional least squares as well as maximum likelihood estimators of parameters and their limit results are also presented. A test for symmetry of the model is studied with limiting power of test statistic given.

• The Korean Journal of Financial Management
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• v.26 no.3
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• pp.199-226
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• 2009

We examine the intertemporal relation between risk and return in the Korean stock market and foreign exchange market based on the two factor ICAPM framework. The standard GARCH model and the GJR(1993) model are employed to estimate conditional variances of the stock returns and foreign exchange rates. The covariance between the rates of stock returns and changes in the exchange rates are estimated by the constant conditional correlation model of Bollerslev(1990) and the dynamic conditional correlation model of Engle(2002). The multivariate GARCH in mean model and quasi-maximum likelihood estimation method, consequently, are applied to investigate riskreturn relation jointly. We find that the estimated coefficient of relative risk aversion is negative and statistically significant in the post-financial crisis sample period in the Korean stock market. We also show that the expected stock returns are negatively related to the dynamic covariance with foreign exchange rates. Both estimated parameters of conditional variance and covariance in the foreign exchange market, however, are not statistically significant. The GJR model is better than the standard GARCH model to estimate the conditional variances. In addition, the dynamic conditional correlation model has higher explanatory power than the constant correlation model. The empirical results of this study suggest following two points to investors and risk managers in hedging and diversifying strategies for their portfolios in the Korean stock market: first, the variability of foreign exchange rates should be considered, and second, time-varying correlation between stock returns and changes in foreign exchange rates supposed to be considered.

• Proceedings of the Korean Institute Of Construction Engineering and Management
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• 2004.11a
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• pp.224-227
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• 2004

As a project progresses, it is well known that construction manager has to define the contingency for the expected project cost, which is used as a buffer for uncertainty. In this study, we mention uncertainty as the amount of likelihood that is difficult or impossible to predict project cost. From the completed work package, we obtain the true cost value, and this information is technically good data for estimating the realistic contingency of work packages to be accomplished. Based upon this historical information, construction manager recomputes the contingency for the remaining works. Conditional probability theory is often useful for re-estimating one of the remaining project progress as the true cost of the completed works can be different from the planned cost. As a project is progressing, true value is really important to predict the realistic project budget and to decrease the uncertainty. In this study, we gave applied conditional probability theory to estimating project contingency supposing a project that consists of fire work packages, provide the fundamental framework for setting and controlling project contingency.

• Journal of the Institute of Electronics Engineers of Korea SP
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• v.49 no.3
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• pp.51-59
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• 2012

This paper suggests an efficient method which tracks articulated human body modeled with markov network using disparity map derived from stereo images. The conventional methods which only use color information to calculate likelihood for energy function tend to fail when background has same colors with objects or appearances of object are changed during the movement. In this paper, we present a method evaluating likelihood with both disparity information and color information to find human body parts. Since the human body part are cylinder projected to rectangles in 2D image plane, we use the properties of distribution of disparity of those rectangles that do not have discontinuous distribution. In addition to that we suggest a conditional-messages-update that is able to reduce unnecessary message update of belief propagation. Since the message update has comprised over 80% of the whole computation in belief propagation, the conditional-message-update yields 9~45% of improvements of computational time. Furthermore, we also propose an another speed up method called three dimensional dynamic models assumed the body motion is continuous. The experiment results show that the proposed method reduces the computational time as well as it increases tracking accuracy.

• Journal of KIISE:Software and Applications
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• v.33 no.12
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• pp.1052-1061
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• 2006

This paper presents a method of using virtual examples to improve the classification accuracy for data with nominal attributes. Most of the previous researches on virtual examples focused on data with numeric attributes, and they used domain-specific knowledge to generate useful virtual examples for a particularly targeted learning algorithm. Instead of using domain-specific knowledge, our method samples virtual examples from a naive Bayesian network constructed from the given training set. A sampled example is considered useful if it contributes to the increment of the network's conditional likelihood when added to the training set. A set of useful virtual examples can be collected by repeating this process of sampling followed by evaluation. Experiments have shown that the virtual examples collected this way.can help various learning algorithms to derive classifiers of improved accuracy.

• The KIPS Transactions:PartD
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• v.9D no.6
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• pp.1119-1126
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• 2002

In this paper, we propose two predictive spatial data mining based on spatial statistics and apply for predicting the forest fire hazardous area. These are conditional probability and likelihood ratio methods. In these approaches, the prediction models and estimation procedures are depending un the basic quantitative relationships of spatial data sets relevant forest fire with respect to selected the past forest fire ignition areas. To make forest fire hazardous area prediction map using the two proposed methods and evaluate the performance of prediction power, we applied a FHR (Forest Fire Hazard Rate) and a PRC (Prediction Rate Curve) respectively. In comparison of the prediction power of the two proposed prediction model, the likelihood ratio method is mort powerful than conditional probability method. The proposed model for prediction of forest fire hazardous area would be helpful to increase the efficiency of forest fire management such as prevention of forest fire occurrence and effective placement of forest fire monitoring equipment and manpower.

• Journal of the Korean Institute of Intelligent Systems
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• v.14 no.5
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• pp.539-544
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• 2004

We investigate a visual object tracking algorithm based upon particle filters, namely CONDENSATION, in order to combine multiple observation models such as active contours of digitally subtracted image and the particle measurement of object color. The former is applied to matching the contour of the moving target and the latter is used to independently enhance the likelihood of tracking a particular color of the object. Particle filters are more efficient than any other tracking algorithms because the tracking mechanism follows Bayesian inference rule of conditional probability propagation. In the experimental results, it is demonstrated that the suggested contour tracking particle filters prove to be robust in the cluttered environment of robot vision.