• Communications for Statistical Applications and Methods
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• v.17 no.2
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• pp.293-308
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• 2010

In this paper, we examine the forecasting KOSPI 200 realized volatility by volatility measurements. The empirical investigation for KOSPI 200 daily returns is done during the period from 3 January 2003 to 29 June 2007. Since Korea Exchange(KRX) will launch VKOSPI futures contract in 2010, forecasting VKOSPI can be an important issue. So we analyze which volatility measurements forecast VKOSPI better. To test this hypothesis, we use 5-minute interval returns to measure realized volatilities. Also, we propose a new methodology that reflects the synchronized bidding and simultaneously takes it account the difference between overnight volatility and intra-daily volatility. The t-test and F-test show that our new realized volatility is not only different from the realized volatility by a conventional method at less than 0.01% significance level, also more stable in summary statistics. We use the correlation analysis, regression analysis, cross validation test to investigate the forecast performance. The empirical result shows that the realized volatility we propose is better than other volatilities, including historical volatility, implied volatility, and convention realized volatility, for forecasting VKOSPI. Also, the regression analysis on the predictive abilities for realized volatility, which is measured by our new methodology and conventional one, shows that VKOSPI is an efficient estimator compared to historical volatility and CRR implied volatility.

• The Journal of the Acoustical Society of Korea
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• v.28 no.1
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• pp.77-83
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• 2009

This paper proposes a new noise-biased compensation of minimum statistics(MS) method using a nonlinear function and a priori speech absence probability(SAP) for speech enhancement in non-stationary noisy environments. The minimum statistics(MS) method is well known technique for noise power estimation in non-stationary noisy environments. It tends to bias the noise estimate below that of true noise level. The proposed method is combined with an adaptive parameter based on a sigmoid function and a priori speech absence probability (SAP) for biased compensation. Specifically. we apply the adaptive parameter according to the a posteriori SNR. In addition, when the a priori SAP equals unity, the adaptive biased compensation factor separately increases ${\delta}_{max}$ each frequency bin, and vice versa. We evaluate the estimation of noise power capability in highly non-stationary and various noise environments, the improvement in the segmental signal-to-noise ratio (SNR), and the Itakura-Saito Distortion Measure (ISDM) integrated into a spectral subtraction (SS). The results shows that our proposed method is superior to the conventional MS approach.

• Korean Journal of Radiology
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• v.22 no.12
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• pp.1985-1995
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• 2021

Objective: Although the liver-to-spleen volume ratio (LSVR) based on CT reflects portal hypertension, its prognostic role in cirrhotic patients has not been proven. We evaluated the utility of LSVR, automatically measured from CT images using a deep learning algorithm, as a predictor of hepatic decompensation and transplantation-free survival in patients with hepatitis B viral (HBV)-compensated cirrhosis. Materials and Methods: A deep learning algorithm was used to measure the LSVR in a cohort of 1027 consecutive patients (mean age, 50.5 years; 675 male and 352 female) with HBV-compensated cirrhosis who underwent liver CT (2007-2010). Associations of LSVR with hepatic decompensation and transplantation-free survival were evaluated using multivariable Cox proportional hazards and competing risk analyses, accounting for either the Child-Pugh score (CPS) or Model for End Stage Liver Disease (MELD) score and other variables. The risk of the liver-related events was estimated using Kaplan-Meier analysis and the Aalen-Johansen estimator. Results: After adjustment for either CPS or MELD and other variables, LSVR was identified as a significant independent predictor of hepatic decompensation (hazard ratio for LSVR increase by 1, 0.71 and 0.68 for CPS and MELD models, respectively; p < 0.001) and transplantation-free survival (hazard ratio for LSVR increase by 1, 0.8 and 0.77, respectively; p < 0.001). Patients with an LSVR of < 2.9 (n = 381) had significantly higher 3-year risks of hepatic decompensation (16.7% vs. 2.5%, p < 0.001) and liver-related death or transplantation (10.0% vs. 1.1%, p < 0.001) than those with an LSVR ≥ 2.9 (n = 646). When patients were stratified according to CPS (Child-Pugh A vs. B-C) and MELD (< 10 vs. ≥ 10), an LSVR of < 2.9 was still associated with a higher risk of liver-related events than an LSVR of ≥ 2.9 for all Child-Pugh (p ≤ 0.045) and MELD (p ≤ 0.009) stratifications. Conclusion: The LSVR measured on CT can predict hepatic decompensation and transplantation-free survival in patients with HBV-compensated cirrhosis.