• Title/Summary/Keyword: Conditional likelihood

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Prediction of Conditional Variance under GARCH Model Based on Bootstrap Methods (붓스트랩 방법을 이용한 일반화 자기회귀 조건부 이분산모형에서의 조건부 분산 예측)

  • Kim, Hee-Young;Park, Man-Sik
    • Communications for Statistical Applications and Methods
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    • v.16 no.2
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    • pp.287-297
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    • 2009
  • In terms of generalized autoregressive conditional heteroscedastic(GARCH) model, estimation of prediction interval based on likelihood is quite sensitive to distribution of error. Moveover, it is not an easy job to construct prediction interval for conditional variance. Recent studies show that the bootstrap method can be one of the alternatives for solving the problems. In this paper, we introduced the bootstrap approach proposed by Pascual et al. (2006). We employed it to Korean stock price data set.

Gaussian Weighted CFCM for Blind Equalization of Linear/Nonlinear Channel

  • Han, Soo-Whan
    • Journal of the Institute of Convergence Signal Processing
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    • v.14 no.3
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    • pp.169-180
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    • 2013
  • The modification of conditional Fuzzy C-Means (CFCM) with Gaussian weights (CFCM_GW) is accomplished for blind equalization of channels in this paper. The proposed CFCM_GW can deal with both of linear and nonlinear channels, because it searches for the optimal desired states of an unknown channel in a direct manner, which is not dependent on the type of channel structure. In the search procedure of CFCM_GW, the Bayesian likelihood fitness function, the Gaussian weighted partition matrix and the conditional constraint are exploited. Especially, in contrast to the common Euclidean distance in conventional Fuzzy C-Means(FCM), the Gaussian weighted partition matrix and the conditional constraint in the proposed CFCM_GW make it more robust to the heavy noise communication environment. The selected channel states by CFCM_GW are always close to the optimal set of a channel even when the additive white Gaussian noise (AWGN) is heavily corrupted. These given channel states are utilized as the input of the Bayesian equalizer to reconstruct transmitted symbols. The simulation studies demonstrate that the performance of the proposed method is relatively superior to those of the existing conventional FCM based approaches in terms of accuracy and speed.

Lunar Effect on Stock Returns and Volatility: An Empirical Study of Islamic Countries

  • MOHAMED YOUSOP, Nur Liyana;WAN ZAKARIA, Wan Mohd Farid;AHMAD, Zuraidah;RAMDHAN, Nur'Asyiqin;MOHD HASAN ABDULLAH, Norhasniza;RUSGIANTO, Sulistya
    • The Journal of Asian Finance, Economics and Business
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    • v.8 no.5
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    • pp.533-542
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    • 2021
  • The main objective of this article is to investigate the existence of the lunar effect during the full moon period (FM period) and the new moon period (NM period) on the selected Islamic stock market returns and volatilities. For this purpose, the Ordinary Least Squares model, Autoregressive Conditional Heteroscedasticity model, Generalised Autoregressive Conditional Heteroscedasticity model and Generalised Autoregressive Conditional Heteroscedasticity-in-Mean model are employed using the mean daily returns data between January 2010 and December 2019. Next, the log-likelihood, Akaike Information Criterion and Schwarz Information Criterion value are analyzed to determine the best models for explaining the returns and volatility of returns. The empirical results have deduced that, during the NM period, excluding Malaysia, the total mean daily returns for all of the selected countries have increased mean daily returns in contrast to the mean daily returns during the FM period. The volatility shocks are intense and conditional volatility is persistent in all countries. Subsequently, the volatility behavior tends to have lower volatility during the FM period and NM period in the Islamic stock market, except Malaysia. This article also concluded that the ARCH (1) model is the preferred model for stock returns whereas GARCH-M (1, 1) is preferred for the volatility of returns.

Comparison of Control Methods for Estimation Bias in Unmatched Analysis of Matched Data (짝을 이룬 자료분석시 야기되는 Estimation Bias의 Control Methods)

  • Yoo, Keun-Young
    • Journal of Preventive Medicine and Public Health
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    • v.23 no.3 s.31
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    • pp.247-254
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    • 1990
  • 짝짓기 방법은 교란변수를 통제하기 가장 좋은 방법으로 알려져 있으나, 모수추정시 그 계산방법이 복잡하고, 포함된 모든 정보를 이용할 수 없다는 단점을 갖고 있다. 그럼에도 불구하고, conditional 모델을 이용한 matched 분석법은 짝지은 자료 분석시 가장 좋은 방법으로 인정되고 있다. 그러나 명확한 confounding 현상을 통제할 목적이 아닌 상태에서 짝지워진 자료를 matched 분석법으로 모수추정하는 경우나, 올바로 짝지워진 자료를 분석법의 편이성 때문에 unmatched 분석을 시도하는 경우, 오히려 estimation bias가 야기될 수 있다. 이러한 estimation bias의 통제능력을 몇 가지 분석방법을 이용하여 비교하고자, 1:2로 대응된 한 환자-대조군 자료를 이용하여 Mantel-Haenszel 분석법, 두가지의 unconditional model을 이용한 다변량분석법의 결과를 conditional model을 이용한 matched 분석법의 결과와 비교하였다. 1. Matched 분석법의 대용방법으로 사용된 세 가지 방법들은 모수추정면에서나 가설검정능력면에서 차이를 서로 보이지 않았다. 2. 짝짓기에 사용된 변수가 분석자료내에서 confounder나 effect modifier로 작용되지 않았음이 명백한 경우에는 이들 세 가지 통제 방법과 matched 분석법간에 차이가 없었다. 3. 짝짓기에 사용된 변수가 분석자료내에서 effect modifier로 작용하지는 않았으나, Confounder로 작용한 것으로 추정되는 경우, unmatched 분석법으로 인해 야기된 estimation bias의 통제능력이 이들 세 가지 대용방안 모두에서 인정되었다. 4. 짝짓기에 사용된 변수가 분석자료내에서 effect modifier로 작용하고 있음을 직접 확인할 수 있는 경우에는, overmatching에 의한 estimation bias를 의심할 수 있었으며, 이들 세 가지 통제방법은 오히려 unmatched 분석 방법에 가까운 모수를 추정하였다.

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Blind Channel Equalization Using Conditional Fuzzy C-Means

  • Han, Soo-Whan
    • Journal of Korea Multimedia Society
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    • v.14 no.8
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    • pp.965-980
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    • 2011
  • In this paper, the use of conditional Fuzzy C-Means (CFCM) aimed at estimation of desired states of an unknown digital communication channel is investigated for blind channel equalization. In the proposed CFCM, a collection of clustered centers is treated as a set of pre-defined desired channel states, and used to extract channel output states. By considering the combinations of the extracted channel output states, all possible sets of desired channel states are constructed. The set of desired states characterized by the maximal value of the Bayesian fitness function is subsequently selected for the next fuzzy clustering epoch. This modification of CFCM makes it possible to search for the optimal desired channel states of an unknown channel. Finally, given the desired channel states, the Bayesian equalizer is implemented to reconstruct transmitted symbols. In a series of simulations, binary signals are generated at random with Gaussian noise, and both linear and nonlinear channels are evaluated. The experimental studies demonstrate that the performance (being expressed in terms of accuracy and speed) of the proposed CFCM is superior to the performance of the existing method exploiting the "conventional" Fuzzy C-Means (FCM).

Discriminative Training of Sequence Taggers via Local Feature Matching

  • Kim, Minyoung
    • International Journal of Fuzzy Logic and Intelligent Systems
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    • v.14 no.3
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    • pp.209-215
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    • 2014
  • Sequence tagging is the task of predicting frame-wise labels for a given input sequence and has important applications to diverse domains. Conventional methods such as maximum likelihood (ML) learning matches global features in empirical and model distributions, rather than local features, which directly translates into frame-wise prediction errors. Recent probabilistic sequence models such as conditional random fields (CRFs) have achieved great success in a variety of situations. In this paper, we introduce a novel discriminative CRF learning algorithm to minimize local feature mismatches. Unlike overall data fitting originating from global feature matching in ML learning, our approach reduces the total error over all frames in a sequence. We also provide an efficient gradient-based learning method via gradient forward-backward recursion, which requires the same computational complexity as ML learning. For several real-world sequence tagging problems, we empirically demonstrate that the proposed learning algorithm achieves significantly more accurate prediction performance than standard estimators.

A generalized regime-switching integer-valued GARCH(1, 1) model and its volatility forecasting

  • Lee, Jiyoung;Hwang, Eunju
    • Communications for Statistical Applications and Methods
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    • v.25 no.1
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    • pp.29-42
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    • 2018
  • We combine the integer-valued GARCH(1, 1) model with a generalized regime-switching model to propose a dynamic count time series model. Our model adopts Markov-chains with time-varying dependent transition probabilities to model dynamic count time series called the generalized regime-switching integer-valued GARCH(1, 1) (GRS-INGARCH(1, 1)) models. We derive a recursive formula of the conditional probability of the regime in the Markov-chain given the past information, in terms of transition probabilities of the Markov-chain and the Poisson parameters of the INGARCH(1, 1) process. In addition, we also study the forecasting of the Poisson parameter as well as the cumulative impulse response function of the model, which is a measure for the persistence of volatility. A Monte-Carlo simulation is conducted to see the performances of volatility forecasting and behaviors of cumulative impulse response coefficients as well as conditional maximum likelihood estimation; consequently, a real data application is given.

A BAYESIAN APPROACH FOR A DECOMPOSITION MODEL OF SOFTWARE RELIABILITY GROWTH USING A RECORD VALUE STATISTICS

  • Choi, Ki-Heon;Kim, Hee-Cheul
    • Journal of applied mathematics & informatics
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    • v.8 no.1
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    • pp.243-252
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    • 2001
  • The points of failure of a decomposition process are defined to be the union of the points of failure from two component point processes for software reliability systems. Because sampling from the likelihood function of the decomposition model is difficulty, Gibbs Sampler can be applied in a straightforward manner. A Markov Chain Monte Carlo method with data augmentation is developed to compute the features of the posterior distribution. For model determination, we explored the prequential conditional predictive ordinate criterion that selects the best model with the largest posterior likelihood among models using all possible subsets of the component intensity functions. A numerical example with a simulated data set is given.

Estimation of Logistic Regression for Two-Stage Case-Control Data (2단계 사례-대조자료를 위한 로지스틱 회귀모형의 추론)

  • 신미영;신은순
    • The Korean Journal of Applied Statistics
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    • v.13 no.2
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    • pp.237-245
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    • 2000
  • In this paper we consider a logistic regression model based on two-stage case-control sampling and study the Weighted Exogeneous Sampling Maximum Likelihood(WESML) method to get an asymptotically normal estimates of the parameters in a logistic regression model. A numerical example is carried out to demonstrate the differences between the Conditional Maximum Likelihood(CML) estimates and the WESML estimates for two-stage case-control data.

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Improved Time Delay Difference Estimation for Target Tracking using Doppler Information (도플러 효과의 보상을 통한 시간지연 차의 추정)

  • 염석원;윤동헌;윤동욱;고한석
    • The Journal of the Acoustical Society of Korea
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    • v.17 no.8
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    • pp.25-33
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    • 1998
  • 본 논문에서는 한 쌍의 센서를 이용하여 미지의 수중 음향 신호의 시간지연의 차 (Time Delay Difference)를 추정하고 탐지하는 알고리즘을 다루고 있다. 전형적인 시간지연 차의 최적화 추정 기법은 두 신호의 상관관계(Cross Correlation)에 의한 ML(Maximum likelihood)추정으로 구할 수 있지만, 실제 수중 음향 환경 하에서 시간 지연뿐만 아니라 표 적의 이동에 의하여 발생하는 도플러 효과로 신호의 주파수도 변하게 된다. 이러한 신호 주 파수의 올바른 고려 없이 단순히 두 신호의 시간지연만을 추정하는 방법은 불가피한 에러를 생성하게 된다. 본 논문에서는 시시각각 변하는 시간지연의 차를 구하기 위한 준 최적화 기 법인 확률분포 함수의 Recursive Filter에 시간 지연 차와 도플러효과의 2차원 확률분포 함 수를 적용한 추정 알고리즘을 제안한다. 관측된 신호의 리샘플링(Resampling)을 통하여 도 플러 효과를 보상한 후 2차원 Conditional likelihood를 구하고 Projection과 Correction 과정 을 통하여 시간지연과 도플러 효과에 대한 사후확률을 구한다. 그리고 이러한 알고리즘을 가상 시나리오에 대한 모의실험을 통하여 평가한다.

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