• 한국경영과학회지
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• 제39권4호
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• pp.137-152
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• 2014

In this paper, I suggest several techniques to estimate covariance matrix and compare the performance of the global minimum variance portfolio (GMVP) in terms of out of sample mean standard deviation and return. As a result, the return differences among the GMVPs are insignificant. The mean standard deviation of the GMVP using historical covariance is sensitive to the estimation window and the number of assets in the portfolio. Among the model covariance, the GMVP using constant systematic risk ratio model or using short sale restriction shows the best performance. The performance difference between the GMVPs using historical covariance and model covariance becomes insignificant as the historical covariance is estimated with longer estimation window. Lastly, the implied volatilities from ELW prices do not lead to superior performance to the historical variance.

• 제어로봇시스템학회논문지
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• 제16권8호
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• pp.766-770
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• 2010

In this paper, we present an effective covariance tracking algorithm based on adaptive size changing of tracking window. Recent researches have advocated the use of a covariance matrix of object image features for tracking objects instead of the conventional histogram object models used in popular algorithms. But, according to the general covariance tracking algorithm, it can not deal with the scale changes of the moving objects. The scale of the moving object often changes in various tracking environment and the tracking window(or object kernel) has to be adapted accordingly. In addition, the covariance matrix of moving objects should be adaptively updated considering of the tracking window size. We provide a solution to this problem by segmenting the moving object from the background pixels of the tracking window. Therefore, we can improve the tracking performance of the covariance tracking method. Our several simulations prove the effectiveness of the proposed method.

• 한국운동역학회지
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• 제28권2호
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• pp.127-134
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• 2018

Objective: In a statistical linear model estimating the center of rotation of a human hip joint, which is the parameter related to the mean of response vectors, assumptions of homoscedasticity and independence of position vectors measured repeatedly over time in the model result in an inefficient parameter. We, therefore, should take into account the variance-covariance structure of longitudinal responses. The purpose of this study was to estimate the efficient center of rotation vector of the hip joint by using covariance pattern models. Method: The covariance pattern models are used to model various kinds of covariance matrices of error vectors to take into account longitudinal data. The data acquired from functional motions to estimate hip joint center were applied to the models. Results: The results showed that the data were better fitted using various covariance pattern models than the general linear model assuming homoscedasticity and independence. Conclusion: The estimated joint centers of the covariance pattern models showed slight differences from those of the general linear model. The estimated standard errors of the joint center for covariance pattern models showed a large difference with those of the general linear model.

• 제어로봇시스템학회:학술대회논문집
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• 제어로봇시스템학회 2003년도 ICCAS
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• pp.1933-1938
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• 2003

A covariance matrix is a tool that expresses odometry uncertainty of the wheeled mobile robot. The covariance matrix is a key factor in various localization algorithms such as Kalman filter, topological matching and so on. However it is not easy to acquire an accurate covariance matrix because we do not know the real states of the robot. Up to the authors knowledge, there seems to be no established result on the covariance matrix estimation for the odometry. In this paper, we propose a new method which can estimate the covariance matrix from empirical data. It is based on the PC-method and shows a good estimation ability. The experimental results validate the performance of the proposed method.

• Journal of the Korean Data and Information Science Society
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• 제28권4호
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• pp.927-936
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• 2017

To analyze longitudinal count data, Poisson linear mixed models are commonly used. In the models the random effects covariance matrix explains both within-subject variation and serial correlation of repeated count outcomes. When the random effects covariance matrix is assumed to be misspecified, the estimates of covariates effects can be biased. Therefore, we propose reasonable and flexible structures of the covariance matrix using autoregressive and moving average Cholesky decomposition (ARMACD). The ARMACD factors the covariance matrix into generalized autoregressive parameters (GARPs), generalized moving average parameters (GMAPs) and innovation variances (IVs). Positive IVs guarantee the positive-definiteness of the covariance matrix. In this paper, we use the ARMACD to model the random effects covariance matrix in Poisson loglinear mixed models. We analyze epileptic seizure data using our proposed model.

• 디지털산업정보학회논문지
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• 제10권4호
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• pp.53-61
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• 2014

In this paper, we proposed covariance weight matrix using SPT matrix in order to accurate target estimation. We have estimated a target using modified covariance matrix and beam steering error method. We have minimized beam steering error in order to estimation desired a target. This method obtain optimum covariance weight using modified SPT matrix. This paper of proposal method is showed good performance than general method. We updated a weight of covariance matrix using modified SPT matrix. We obtain optimum covariance matrix weight to application beam steering error method in order to beam steering toward desired target. Through simulation, we showed that compare proposal method with general method. It have improved resolution of estimation target to good performance more proposed method than general method.

• Communications for Statistical Applications and Methods
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• 제23권5호
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• pp.411-421
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• 2016

Large frequency limiting distributions of two errors in realized covariance are investigated under noisy and non-synchronous high frequency sampling situations. The first distribution characterizes increased variance of the realized covariance due to noise for large frequency and the second distribution characterizes decreased variance of the realized covariance due to discretization for large frequency. The distribution of the combined error enables us to determine the sampling frequency which depends on a nuisance parameter. A consistent estimator of the nuisance parameter is proposed.

• 제어로봇시스템학회:학술대회논문집
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• 제어로봇시스템학회 1991년도 한국자동제어학술회의논문집(국내학술편); KOEX, Seoul; 22-24 Oct. 1991
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• pp.264-267
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• 1991

In this paper, a new application method of the Kalman filter to desigin a gyro is proposed. The role of a gyro is the estimation of an input rate with minimal error covariance. The size of the error covariance depends on gyro's parameters, which makes it possible to use the parameters of gyro to minimze the estimation error covariance. Numerical analysis shows that the error covariance becomes smaller as the spin axis momentum becomes larger and the damping coefficient smaller, but production cost must be considered. Through numerical analysis the parameter set for an acceptable - performance gyro with small cost can be selected.

• 센서학회지
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• 제29권6호
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• pp.440-446
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• 2020

A well-known difficulty in attitude estimation based on inertial measurement unit (IMU) signals is the occurrence of external acceleration under dynamic motion conditions, as the acceleration significantly degrades the estimation accuracy. Lee et al. (2012) designed a Kalman filter (KF) that could effectively deal with the acceleration issue. Ahmed and Tahir (2017) modified this method by adjusting the acceleration-related covariance matrix because they considered covariance modeling as a pivotal factor in the estimation accuracy. This study investigates the effects of covariance modeling on estimation accuracy in an IMU-based attitude estimation KF. The method proposed by Ahmed and Tahir can be divided into two: one uses the covariance including only diagonal components and the other uses the covariance including both diagonal and off-diagonal components. This paper compares these three methods with respect to the motion condition and the window size, which is required for the methods by Ahmed and Tahir. Experimental results showed that the method proposed by Lee et al. performed the best among the three methods under relatively slow motion conditions, whereas the modified method using the diagonal covariance with a high window size performed the best under relatively fast motion conditions.

• 디지털융복합연구
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• 제13권10호
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• pp.121-133
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• 2015

본 튜토리얼은 R을 이용하여 공분산 기반의 구조방정식모델링을 수행하는 방법을 제시하고 있다. 이를 위해 본 튜토리얼에서는 기존 연구들에 대한 리뷰를 통해 공분산 기반의 구조방정식모델링을 위한 기준들을 정의하고, 하나의 예시 연구모형을 제시하여 공분산 기반의 구조방정식모델링을 지원하는 R 패키지인 "lavaan"을 이용하여 이 예시 모형을 분석하는 것을 보여준다. 결과물로 본 튜토리얼에서는 예시모형을 대상으로 한 R을 이용한 공분산 기반의 구조방정식모델링 기법과 실습 스크립트가 제시되었다. 본 튜토리얼은 공분산 기반의 구조방정식모델링을 처음 접하는 연구자들에게는 연구모형을 구조방정식 모델링으로 분석하는데 유용한 가이드가 될 것이며, 이미 공분산 기반의 구조방정식모델링에 익숙한 연구자들에게는 R을 이용한 새로운 공분산 기반의 구조방정식모델링 분석기법 제시를 통하여 R이라는 통합된 통계 소프트웨어 운영환경에서 심도 있는 연구를 위한 기반 지식을 제공할 것이다.