• 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.

• Journal of applied mathematics & informatics
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• 제28권3_4호
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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.

• 대기
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• 제23권1호
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• pp.33-37
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• 2013

In meteorology, exploitation of Kalman filter as a data assimilation system is virtually impossible due to simultaneous requirements of adjoint model and large computer resource. The other substitute of utilizing ensemble Kalman filter is only affordable by compensating an enormous usage of computing resource. Furthermore, the latter employs ensemble integration sets for evolving the background error covariance matrix by compensating the dynamical feature of the temporal evolution of weather conditions. We propose a new implementation method that works without the adjoint model by utilizing the explicit expression of the background error covariance matrix in backward evolution. It will also break a barrier in the evolution of the covariance matrix. The method may be applied with a slight modification to the real time assimilation or the retrospective analysis.

• Journal of the Korean Data and Information Science Society
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• 제23권4호
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• pp.807-814
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• 2012

We know that the exponentially weighted moving average (EWMA) control charts are sensitive to detecting relatively small shifts. Multivariate EWMA control charts are considered for monitoring of variance-covariance matrix when the distribution of process variables is multivariate normal. The performances of the proposed EWMA control charts are evaluated in term of average run length (ARL). The performance is investigated in three types of shifts in the variance-covariance matrix, that is, the variances, covariances, and variances and covariances are changed respectively. Numerical results show that all multivariate EWMA control charts considered in this paper are effective in detecting several kinds of shifts in the variance-covariance matrix.

• Journal of the Korean Data and Information Science Society
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• 제28권4호
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• pp.937-945
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• 2017

The purpose of using a control chart is to detect any change that occurs in the process. When control charts are used to monitor processes, we want to identify this changes as quickly as possible. Many problems in quality control involve a vector of observations of several characteristics rather than a single characteristic. Multivariate CUSUM or EWMA charts have been developed to address the problem of monitoring covariance matrix or the joint monitoring of mean vector and covariance matrix. However, control charts tend to work poorly when we use the highly correlatted variables. In order to overcome it, Hawkins (1991) proposed the use of regression adjustment variables. In this paper, to monitor covariance matrix, we investigate the performance of MEWMA-type control charts with and without the use of regression adjusted variables.

• Communications for Statistical Applications and Methods
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• 제27권2호
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• pp.201-210
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• 2020

Baseline-category logit random effects models have been used to analyze longitudinal nominal data. The models account for subject-specific variations using random effects. However, the random effects covariance matrix in the models needs to explain subject-specific variations as well as serial correlations for nominal outcomes. In order to satisfy them, the covariance matrix must be heterogeneous and high-dimensional. However, it is difficult to estimate the random effects covariance matrix due to its high dimensionality and positive-definiteness. In this paper, we exploit the modified Cholesky decomposition to estimate the high-dimensional heterogeneous random effects covariance matrix. Bayesian methodology is proposed to estimate parameters of interest. The proposed methods are illustrated with real data from the McKinney Homeless Research Project.

• 방송공학회논문지
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• 제21권1호
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• pp.60-65
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• 2016

본 논문에서는 영상에 존재하는 잡음 (noise) 들을 제거하는 방법 중 하나인 비 지역적 평균 (non-local means, NLM) 알고리즘을 먼저 소개하고 비 지역적 평균 알고리즘의 개선된 방법 중 하나인 주성분 분석 (principal component analysis, PCA) 기반의 알고리즘에 대해서도 소개한다. 주성분 분석을 활용하기 위해서는 선행적으로 공분산 행렬 (covariance matrix)을 구해야 하는데, 영상의 모든 픽셀들을 대상으로 하였을 때 이 공분산 행렬을 구하기 위해서는 큰 크기를 가지는 행렬 곱 연산이 필요하다. 만약 비 지역적 평균 알고리즘의 영상 패치 (neighborhood patch) 의 크기를 S × S = S², 영상 전체의 픽셀 수를 Q라고 한다면 공분산 행렬을 구하기 위해서는 S² × Q 크기의 행렬 곱 연산이 필요하게 된다. 이는 영상의 특성을 고려하면 비효율적인 연산이다. 따라서 본 논문에서는 공분산 행렬을 효율적으로 구하기 위해, 영상 패치들간의 일정 간격을 유지하면서 샘플링을 하는 방법을 제안하고자 한다. 최종적으로, 샘플링 후에는 S² × floor (Width/l) × (Height/l) 크기를 가진 행렬의 곱 연산으로 공분산 행렬을 구할 수 있다.

• 품질경영학회지
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• 제29권1호
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• pp.1-10
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• 2001

We consider the problem of detecting special variations in multivariate $T^2$-control chart when two or more multivariate outliers are present. Since a multivariate outlier may reflect slippage in mean, variance, or correlation, it can distort the sample mean vector and sample covariance matrix. Damaged sample mean vector and sample covariance matrix have difficulty in examining special variations clearly, An alternative to detection outliers or special variations is to use robust estimators of mean vector and covariance matrix that are less sensitive to extreme observations than are the standard estimators $\bar{x}$ and $\textbf{S}$. We applied popular minimum volume ellipsoid(MVE) and minimum covariance determinant(MCD) method to estimate mean vector and covariance matrix and compared its results with standard $T^2$-control chart using simulated multivariate data with outliers. We found that the modified $T^2$-control chart based on the above robust methods were more effective in detecting special variations clearly than the standard $T^2$-control chart.

• Communications for Statistical Applications and Methods
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• 제7권1호
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• pp.285-290
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• 2000

We noted a property of a stationary distribution on the matrix C, which is the covariance matrix of order statistics of standard normal distribution That is the sup norm of th powers of C is ee' divided by its dimension. The matrix C can be taken as a transition probability matrix in an acyclic Markov chain.

• 한국컴퓨터정보학회논문지
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• 제15권5호
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• pp.13-21
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• 2010

도립진자 시스템에서 칼만 필터링 최적의 결과를 얻기 위해서는 잡음 공분산 행열 Q, 측정잡음 공분산 행열 R과 초기 에러 공분산 행열 $P_0$와 같은 인자가 필요하다. 이러한 인자는 실제 상황에서 근사화된 값을 사용하거나 정확한 값을 알 수 없기 때문에 칼만 필터의 최적화에 영향을 미치지 않거나 이러한 공분산 행열의 스칼라 이득변화에 덜 민감한 경우를 연구의 대상으로 하고 있다. 또한 상태 측정시 에러를 예측하는 방법으로 구해진 에러 공분산 행열은 상태측정 값 보다는 공분산 행열의 이득과 연관성을 가지게 된다. 따라서 3가지 공분산 행열과 칼만 이득 그리고 에러 공분산 행열 간의 상관관계가 잡음인자인 스칼라 이득과의 연관성을 해석하고자 하였다. 본 연구는 3절에서 도립진자 시스템 모델을 간략하게 정리를 하였고 4절에서는 이러한 모델을 기반으로 하여 컴퓨터 시뮬레이션을 위한 도립진자 시스템에 대한 수학적 동적모델을 구성하고 5절에서는 이러한 인자와 스칼라 이득 값을 이용한 다양한 시뮬레이션 결과를 통하여 잡음인자의 연관성을 해석하였다.