• Journal of applied mathematics & informatics
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• v.28 no.3_4
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• pp.913-921
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• 2010

The derivative influence measure is adapted to the Cholesky decomposition of a covariance matrix. Formulas for the derivative influence of observations on the Cholesky root and the inverse Cholesky root of a sample covariance matrix are derived. It is easy to implement this influence diagnostic method for practical use. A numerical example is given for illustration.

• Journal of the Korean Statistical Society
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• v.33 no.2
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• pp.233-244
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• 2004

The influence of observations is investigated in fitting proportional covariance matrices model. Local influence measures are obtained when all parameters or subsets of the parameters are of interest. We will also derive the local influence measure for investigating the influence of observations in testing the proportionality of covariance matrices. A numerical example is given for illustration.

• Journal of the Korean Data and Information Science Society
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• v.21 no.6
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• pp.1263-1270
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• 2010

Sixty patients were divided into three groups. Each group of twenty persons had fed on different diet foods over 5 weeks. Cholesterol had been measured repeatedly five times at an interval of a week during 5 weeks. It resulted from mixed model analysis of repeated measurements data that homogeneous toeplitz covariance matrix pattern was selected as the optimal covariance pattern. The correlations between measurements of different times for the covariance matrix are somewhat highly correlated as 0.64-0.78. Based upon the homogeneous toeplitz covariance pattern model, the time effect was found to be highly significant, but the treatment effect and treatment-time interaction effect were found to be insignificant.

• International Journal of Aeronautical and Space Sciences
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• v.3 no.1
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• pp.19-29
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• 2002

Decentralized filtering for a formation flight instrumentation system by INS/GPS integration is considered in this paper. An elaborate tuning method of the measurement noise covariance is suggested to compensate modeling errors caused by decentralizing the extended Kalman filter. It does not require large data transfer between formation vehicles. Covariance analysis exhibits the superior performance of the proposed approach when compared with the existent decentralized filter and the global filter, which has the target-filter performance.

• Communications for Statistical Applications and Methods
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• v.20 no.3
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• pp.235-240
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• 2013

Generalized linear mixed models(GLMMs) are frequently used for the analysis of longitudinal categorical data when the subject-specific effects is of interest. In GLMMs, the structure of the random effects covariance matrix is important for the estimation of fixed effects and to explain subject and time variations. The estimation of the matrix is not simple because of the high dimension and the positive definiteness; subsequently, we practically use the simple structure of the covariance matrix such as AR(1). However, this strong assumption can result in biased estimates of the fixed effects. In this paper, we introduce Bayesian modeling approaches for the random effects covariance matrix using a modified Cholesky decomposition. The modified Cholesky decomposition approach has been used to explain a heterogenous random effects covariance matrix and the subsequent estimated covariance matrix will be positive definite. We analyze metabolic syndrome data from a Korean Genomic Epidemiology Study using these methods.

• Communications for Statistical Applications and Methods
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• v.25 no.1
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• pp.61-70
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• 2018

Modeling of the random effects covariance matrix in generalized linear mixed models (GLMMs) is an issue in analysis of longitudinal categorical data because the covariance matrix can be high-dimensional and its estimate must satisfy positive-definiteness. To satisfy these constraints, we consider the autoregressive and moving average Cholesky decomposition (ARMACD) to model the covariance matrix. The ARMACD creates a more flexible decomposition of the covariance matrix that provides generalized autoregressive parameters, generalized moving average parameters, and innovation variances. In this paper, we analyze longitudinal count data with overdispersion using GLMMs. We propose negative binomial loglinear mixed models to analyze longitudinal count data and we also present modeling of the random effects covariance matrix using the ARMACD. Epilepsy data are analyzed using our proposed model.

• Communications for Statistical Applications and Methods
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• v.29 no.5
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• pp.591-601
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• 2022

In gene set analysis with microarray expression data, a group of genes such as a gene regulatory pathway and a signaling pathway is often tested if there exists either differentially expressed (DE) or differentially co-expressed (DC) genes between two biological conditions. Recently, a statistical test based on covariance estimation have been proposed in order to identify DC genes. In particular, covariance regularization by hard thresholding indeed improved the power of the test when the proportion of DC genes within a biological pathway is relatively small. In this article, we compare covariance thresholding methods using four different regularization penalties such as lasso, hard, smoothly clipped absolute deviation (SCAD), and minimax concave plus (MCP) penalties. In our extensive simulation studies, we found that both SCAD and MCP thresholding methods can outperform the hard thresholding method when the proportion of DC genes is extremely small and the number of genes in a biological pathway is much greater than a sample size. We also applied four thresholding methods to 3 different microarray gene expression data sets related with mutant p53 transcriptional activity, and epithelium and stroma breast cancer to compare genetic pathways identified by each method.

• The Korean Journal of Applied Statistics
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• v.33 no.3
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• pp.281-296
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• 2020

Repeated outcomes from the same subjects are referred to as longitudinal data. Analysis of the data requires different methods unlike cross-sectional data analysis. It is important to model the covariance matrix because the correlation between the repeated outcomes must be considered when estimating the effects of covariates on the mean response. However, the modeling of the covariance matrix is tricky because there are many parameters to be estimated, and the estimated covariance matrix should be positive definite. In this paper, we consider analysis of multivariate longitudinal data via two modeling methodologies for the covariance matrix for multivariate longitudinal data. Both methods describe serial correlations of multivariate longitudinal outcomes using a modified Cholesky decomposition. However, the two methods consider different decompositions to explain the correlation between simultaneous responses. The first method uses enhanced linear covariance models so that the covariance matrix satisfies a positive definiteness condition; in addition, and principal component analysis and maximization-minimization algorithm (MM algorithm) were used to estimate model parameters. The second method considers variance-correlation decomposition and hypersphere decomposition to model covariance matrix. Simulations are used to compare the performance of the two methodologies.

• The Korean Journal of Applied Statistics
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• v.26 no.5
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• pp.747-758
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• 2013

The covariance matrix is important in multivariate statistical analysis and a sample covariance matrix is used as an estimator of the covariance matrix. High dimensional data has a larger dimension than the sample size; therefore, the sample covariance matrix may not be suitable since it is known to perform poorly and event not invertible. A number of covariance matrix estimators have been recently proposed with three different approaches of shrinkage, thresholding, and modified Cholesky decomposition. We compare the performance of these newly proposed estimators in various situations.

• Journal of Digital Convergence
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• v.13 no.10
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• pp.121-133
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• 2015

This tutorial presents an approach to perform the covariance based structural equation modeling using the R. For this purpose, the tutorial defines the criteria for the covariance based structural equation modeling by reviewing previous studies, and shows how to analyze the research model with an example using the "lavaan" which is the R package supporting the covariance based structural equation modeling. In this tutorial, a covariance-based structural equation modeling technique using the R and the R scripts targeting the example model were proposed as the results. This tutorial will be useful to start the study of the covariance based structural equation modeling for the researchers who first encounter the covariance based structural equation modeling and will provide the knowledge base for in-depth analysis through the covariance based structural equation modeling technique using R which is the integrated statistical software operating environment for the researchers familiar with the covariance based structural equation modeling.