• Communications for Statistical Applications and Methods
• /
• 제24권5호
• /
• pp.421-441
• /
• 2017

In this survey, estimation methods for structural vector autoregressive models are presented in a systematic way. Both frequentist and Bayesian methods are considered. Depending on the model setup and type of restrictions, least squares estimation, instrumental variables estimation, method-of-moments estimation and generalized method-of-moments are considered. The methods are presented in a unified framework that enables a practitioner to find the most suitable estimation method for a given model setup and set of restrictions. It is emphasized that specifying the identifying restrictions such that they are linear restrictions on the structural parameters is helpful. Examples are provided to illustrate alternative model setups, types of restrictions and the most suitable corresponding estimation methods.

• Communications for Statistical Applications and Methods
• /
• 제16권4호
• /
• pp.647-658
• /
• 2009

It is already known from the previous study that flood seems to have heavier tail. Therefore, to make prediction of future extreme label, some agreement of tail behavior of extreme data is highly required. The LH-moments estimation method, the generalized form of L-moments is an useful method of characterizing the upper part of the distribution. LH-moments are based on linear combination of higher order statistics. In this study, we have formulated LH-moments of five distributions useful in hydrology such as, two types of three parameter kappa distributions, beta-${\kappa}$ distribution, beta-p distribution and a generalized Gumbel distribution. Using LH-moments reduces the undue influences that small sample may have on the estimation of large return period events.

• Communications for Statistical Applications and Methods
• /
• 제16권3호
• /
• pp.463-477
• /
• 2009

극단치 분포의 모수 추정방법으로 최우추정법, 확률가중적률법, 회귀분석법은 기존 연구에서 활발하게 적용되어져 왔다. 그러나 이들 세 가지 추정방법 가운데, 회귀분석법의 우수성은 엄격하게 평가되어진 적이 없다. 본 논문에서는 몬테칼로 시뮬레이션을 통하여 Generalized Extreme Value(GEV) 분포와 Generalized Pareto(GP) 분포의 모수 추정에 회귀분석법 및 다른 추정방법을 적용하여 비교 연구한다. 시뮬레이션 결과, 표본의 크기가 작은 경우 회귀분석 법은 GEV 분포의 위치모수 추정시 편의 측면과 효율성 측면에서 다른 방법보다 우수한 경향을 나타내었다. GP 분포의 규모모수 추정시에는 표본의 크기 가 작을 경우 회귀분석법이 다른 방법보다 작은 편의를 나타내었다. 회귀분석법은 표본의 크기 가 작거나 적당히 큰 경우에도 GEV 분포나 GP 분포의 형태모수 추정시에 형태모수의 값이 -0.4일 경우, 다른 방법보다 우수한 경향을 나타내었다.

• Communications for Statistical Applications and Methods
• /
• 제14권3호
• /
• pp.561-576
• /
• 2007

Five plotting positions are applied to the computation of probability weighted moments (PWM) on the parameters of the generalized logistic distribution. Over a range of parameter values with some finite sample sizes, the effects of five plotting positions are investigated via Monte Carlo simulation studies. Our simulation results indicate that the Landwehr plotting position frequently tends to document smaller biases than others in the location and scale parameter estimations. On the other hand, the Weibull plotting position often tends to cause larger biases than others. The plotting position (i - 0.35)/n seems to report smaller root mean square errors (RMSE) than other plotting positions in the negative shape parameter estimation under small samples. In comparison to the maximum likelihood (ML) method under the small sample, the PWM do not seem to be better than the ML estimators in the location and scale parameter estimations documenting larger RMSE. However, the PWM outperform the ML estimators in the shape parameter estimation when its magnitude is near zero. Sensitivity of right tail quantile estimation regarding five plotting positions is also examined, but superiority or inferiority of any plotting position is not observed.

• 응용통계연구
• /
• 제24권2호
• /
• pp.227-237
• /
• 2011

This paper considers a generalized method of moments(GMM) estimation for seasonal cointegration as the extension of Kleibergen (1999). We propose two iterative methods for the estimation according to whether parameters in the model are simultaneously estimated or not. It is shown that the GMM estimator coincides in form to a maximum likelihood estimator or a feasible two-step estimator. In addition, we derive its asymptotic distribution that takes the same form as that in Ahn and Reinsel (1994).

• International Journal of Reliability and Applications
• /
• 제9권1호
• /
• pp.31-52
• /
• 2008

In this paper generalized version of the geometric distribution is introduced. This distribution can be considered as a two-parameter generalization of the discrete geometric distribution. The main statistical and reliability properties of this distribution are discussed. Two methods of estimation, namely maximum likelihood method and the method of moments are used to estimate the parameters of this distribution. Simulation is utilized to calculate these estimates and to study some of their properties. Also, asymptotic confidence limits are established for the maximum likelihood estimates. Finally, the appropriateness of this new distribution for a set of real data, compared with the geometric distribution, is shown by using the likelihood ratio test and the Kolmogorove-Smirnove test.

• Journal of Electrical Engineering and Technology
• /
• 제10권3호
• /
• pp.1144-1153
• /
• 2015

The resonant mechanism of reradiation interference (RRI) over 1.7MHz from power transmission lines cannot be obtained from IEEE standards, which are based on researches of field intensity. Hence, the resonance is ignored in National Standards of protecting distance between UHV power lines and radio stations in China, which would result in an excessive redundancy of protecting distance. Therefore, based on the generalized resonance theory, we proposed the idea of applying model-based parameter estimation (MBPE) to estimate the generalized resonance frequency of electrically large scattering objects. We also deduced equation expressions of the generalized resonance frequency and its quality factor Q in a lossy open electromagnetic system, i.e. an antenna-transmission line system in this paper. Taking the frequency band studied by IEEE and the frequency band over 1.7 MHz as object, we established three models of the RRI from transmission lines, namely the simplified line model, the tower line model considering cross arms and the line-surface mixed model. With the models, we calculated the scattering field of sampling points with equal intervals using method of moments, and then inferred expressions of Padé rational function. After calculating the zero-pole points of the Padé rational function, we eventually got the estimation of the RRI’s generalized resonant frequency. Our case studies indicate that the proposed estimation method is effective for predicting the generalized resonant frequency of RRI in medium frequency (MF, 0.3~3 MHz) band over 1.7 MHz, which expands the frequency band studied by IEEE.

• Communications for Statistical Applications and Methods
• /
• 제23권2호
• /
• pp.147-161
• /
• 2016

This paper introduces the four parameter new generalized inverse Weibull distribution and investigates the potential usefulness of this model with application to reliability data from engineering studies. The new extended model has upside-down hazard rate function and provides an alternative to existing lifetime distributions. Various structural properties of the new distribution are derived that include explicit expressions for the moments, moment generating function, quantile function and the moments of order statistics. The estimation of model parameters are performed by the method of maximum likelihood and evaluate the performance of maximum likelihood estimation using simulation.

• Journal of the Korean Data and Information Science Society
• /
• 제24권6호
• /
• pp.1309-1317
• /
• 2013

일반화 지수분포 (generalized exponential distribution)를 따르는 점진 제 1종 구간 중도절단 (progressive type-I interval censoring) 표본에서 모수 추정은 Chen과 Lio (2010)가 최대우도 추정법 (maximum likelihood estimation), 중간점 근사법 (mid-point approximation method), EM 알고리즘 (expectation maximization algorithm), 적률 추정법 (method of moments estimation; MME)으로 하였으며, 그 방법들 중 평균제곱오차 (mean square error; MSE)가 가장 작은 추정법은 중간점 근사법이다. 하지만 중간점 근사법을 바탕으로 최대우도 추정법을 이용하여 모수를 추정하려고 한다면 모수에 대한 해를 전개할 수 없기 때문에 수치 해석적인 방법을 이용하여 추정하여야 한다. 본 논문에서는 이러한 문제를 해결하기 위해서 근사 최대우도 추정법 (approximate maximum likelihood estimation)을 이용하여 두 종류의 모수를 추정하고, 모의실험을 통하여 수치해석학적인 방법을 이용한 중간점 근사법의 해 (estimate of mid-point approximation method; MP)와 제시한 두 가지 추정량을 평균제곱오차 측면에서 비교한다.

• 한국농공학회논문집
• /
• 제51권3호
• /
• pp.53-62
• /
• 2009

This study was carried out to select optimal probability distribution based on design accumulated monthly mean inflow from the viewpoint of drought by Gamma (GAM), Generalized extreme value (GEV), Generalized logistic (GLO), Generalized normal (GNO), Generalized pareto (GPA), Gumbel (GUM), Normal (NOR), Pearson type 3 (PT3), Wakeby (WAK) and Kappa (KAP) distributions for the observed accumulative monthly mean inflow of Chungjudam. L-moment ratio was calculated using observed accumulative monthly mean inflow. Parameters of 10 probability distributions were estimated by the method of L-moments with the observed accumulated monthly mean inflow. Design accumulated monthly mean inflows obtained by the method of L-moments using different methods for plotting positions formulas in the 10 probability distributions were compared by relative mean error (RME) and relative absolute error (RAE) respectively. It has shown that the design accumulative monthly mean inflow derived by the method of L-moments using Weibull plotting position formula in WAK and KAP distributions were much closer to those of the observed accumulative monthly mean inflow in comparison with those obtained by the method of L-moment with the different formulas for plotting positions in other distributions from the viewpoint of RME and RAE.