• Journal of the Korean Data and Information Science Society
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• v.24 no.6
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• pp.1263-1274
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• 2013

VaR (value at risk), which represents the expectation of the worst loss that may occur over a period of time within a given level of confidence, is currently used by various financial institutions for the purpose of risk management. In the majority of previous studies, the probability of return has been modeled with normal distribution. Recently Chen et al. (2010) measured VaR with asymmetric Laplacian distribution. However, it is difficult to estimate the mode, the skewness, and the degree of variance that determine the shape of an asymmetric Laplacian distribution with limited data in the real-world market. In this paper, we show that the VaR estimated with (symmetric) Laplacian distribution model provides more accuracy than those with normal distribution model or asymmetric Laplacian distribution model with real world stock market data and with various statistical measures.

• Journal of the Korean Statistical Society
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• v.22 no.2
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• pp.259-269
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• 1993

A moving average model, LMA(q) and an autoregressive-moving average model, NLARMA(p, q), with Laplacian marginal distribution are constructed and their properties are discussed; Their autocorrelation structures are completely analogus to those of Gaussian process and they are partially time reversible in the third order moments. Finally, we study the mixing property of NLARMA process.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.29 no.6C
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• pp.857-864
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• 2004

Many image compression standards such as JPEG, MPEG or H.263 are based on the discrete cosine transform (DCT) and quantization method. Quantization error. is the major source of image quality degradation. The current dequantization method assumes the uniform distribution of the DCT coefficients. Therefore the dequantization value is the center of each quantization interval. However DCT coefficients are regarded to follow Laplacian probability density function (pdf). The center value of each interval is not optimal in reducing squared error. We use mean of the quantization interval assuming Laplacian pdf, and show the effect of correction on image quality. Also, we compare existing quantization error to corrected quantization error in closed form. The effect of PSNR improvements due to the compensation to the real image is in the range of 0.2 ∼0.4 ㏈. The maximum correction value is 1.66 ㏈.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.26 no.11A
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• pp.1957-1962
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• 2001

Image and video compression requires quantization error model of DCT coefficients for post processing, restoration or transcoding. Once DCT coefficients are quantized, it is impossible to recover the original distribution. We assume that the original probability density function (pdf) is the Laplacian function. We calculate the variance of the quantized variable, and estimate the variance of the DCT coefficients. We can confirm that the proposed method enhances the accuracy of the quantization error estimation.

• Speech Sciences
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• v.12 no.3
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• pp.79-89
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• 2005

Acoustic feedback between microphone and receiver can be effectively cancelled adaptive feedback cancellation algorithm. Although many speech sounds have non-Gaussian distribution, most algorithms were tested with speech like sounds whose distribution were Guassian type. In this paper, we proposed an adaptive feedback cancellation algorithm based on independent component analysis (ICA) for digital hearing aid. The algorithm was tested with not only Gaussian distribution but also Laplacian distribution. We verified that the proposed algorithm has better acoustic feedback cancelling performance than conventional normalized root mean square (NLMS) algorithm, especially speech like sounds with Laplacian distribution.

• The Journal of the Acoustical Society of Korea
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• v.30 no.6
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• pp.308-314
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• 2011

This paper presents techniques for estimating directions of multiple sound sources ranging from $0^{\circ}$ to $360^{\circ}$ using circular probability distributions having a periodic property. Phase differences containing direction information of sources can be modeled as mixtures of multiple probability distributions and source directions can be estimated by maximizing log-likelihood functions. Although the von Mises distribution is widely used for analyzing this kind of periodic data, we define a new class of circular probability distributions from Gaussian and Laplacian distributions by adopting a modulo operation to have $2{\pi}$-periodicity. Direction estimation with these circular probability distributions is done by implementing corresponding EM (Expectation-Maximization) algorithms. Simulation results in various reverberant environments confirm that Laplacian distribution provides better performance than von Mises and Gaussian distributions.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.10 no.3
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• pp.130-134
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• 1985

In two-dimensional discrete cosine transform(DCT) coding, the measurements of the distributions of the transform coefficients are important because a better approximation yields a smaller mean square distorition. This paper presents the results of distribution tests which indicate that the statistics of the AC coefficients are well approximated to a generalized Gaussian distribution whose shape parameter is 0.6. Furthermore, from a simulation of the DCT coding, it was shown that the above approximation yields a higher experimental SNR and a better agreement between theory and simulation than the Gaussian or Laplacian assumptions.

• Journal of the Korean Statistical Society
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• v.17 no.2
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• pp.101-120
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• 1988

A time series model with Laplacian (double-exponential) marginal distribution, NLAR(2), was proposed by Dewald and Lewis (1985). The special cases of NLAR(2) process and their properties are considered. Extensions to the NLAR(p) is discussed. It is shown that the NLAR(1) satisfies the strong-mixing conditions, hence the model-free prediction interval using the sample quantiles can be obtained.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.13 no.1
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• pp.12-18
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• 1988

It is found that the estimation pdf of the real intraframe DPCM prediction error by $x^3$ goodness-of-fit test for the images is nearer gamma distribution that laplacian. Also the new pdf estimation method by NMAE is proposed and applied to the pdf adaptive DPCM system.

• 한국전산유체공학회:학술대회논문집
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• 2009.11a
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• pp.44-48
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• 2009

In this study, a vortex visualization method based on the vorticity magnitude is developed. One of the simplest models for a vortex is a vortex filament with the maximum vorticity on its center. The proposed method is based on the observation of this ideal distribution of vorticity magnitude. Laplacian and Hessian matrix of vorticity magnitude are tested for detecting the local maximum of vorticity magnitude. These ideas were applied to wake flow past a sphere. It was found that the Laplacian method is not able to distinguish vortices from the underlying shear layer clearly, while the Hessian matrix method does not suffer from this problem.