• Journal of the Korean Data and Information Science Society
• /
• v.18 no.4
• /
• pp.945-953
• /
• 2007

In this paper, we propose a smoothing and thus noise-reducing method of data sequences for stock price prediction with hidden Markov models, HMMs. The suggested method just uses simple moving average. A proper average size is obtained from forecasting experiments with stock prices of bank sector of Korean Exchange. Forecasting method with HMM and moving average smoothing is compared with a conventional method.

• ETRI Journal
• /
• v.29 no.4
• /
• pp.527-529
• /
• 2007

In this paper, a decision-tree-based Markov model for phrase break prediction is proposed. The model takes advantage of the non-homogeneous-features-based classification ability of decision tree and temporal break sequence modeling based on the Markov process. For this experiment, a text corpus tagged with parts-of-speech and three break strength levels is prepared and evaluated. The complex feature set, textual conditions, and prior knowledge are utilized; and chunking rules are applied to the search results. The proposed model shows an error reduction rate of about 11.6% compared to the conventional classification model.

• Proceedings of the IEEK Conference
• /
• 2000.11c
• /
• pp.29-32
• /
• 2000

HMM(Hidden Markov Model)은 시간적인 정보를 토대로 하는 수학적인 방법으로서 문자인식에 많이 사용되어지고 있다. 그런데 HMM이 적용되고자 하는 문제에서 사용되어지는 상태 수와 HMM에서 사용되어지는 parameter들은 처음에 결정되는 값들에 의해서 상당히 많은 영향을 받게 된다. 따라서 한글의 특성을 이용한 HMM의 상태 수를 결정한 후 결정되어진 각각의 HMM parameter들을 Genetic Algorithm을 이용하였다. Genetic Algorithm은 매개변수 최적화 문제에 대하여 자연의 진화 원리를 마땅한 알고리즘으로 선택, 교배, 돌연변이 연산을 이용하여 최적의 개체를 구하게 된다. 여기서는 HMM에서의 Viterbi Algorithm을 적합도 검사에 사용하였다.

• Journal of the Korean Data and Information Science Society
• /
• v.15 no.4
• /
• pp.1019-1031
• /
• 2004

This paper describes a new modeling method for the prediction of transmembrane protein topology. The structural regions of the transmembrane protein have been modeled by means of a multiple state hidden Markov model that has provided for the detailed modeling of the heterogeneous amino acid distributions of each structural region. Grammatical constraints have been incorporated to the prediction method in order to capture the biological order of membrane protein topology. The proposed method correctly predicted 76% of all membrane spanning regions and 92% sidedness of the integration when all membrane spanning regions were found correctly.

• Proceedings of the IEEK Conference
• /
• 2003.07e
• /
• pp.2100-2103
• /
• 2003

기존의 객체 추출 및 추적 기법은 외형 변화가 없는 객체를 대상으로 하거나 배경이 고정된 영상만을 고려하였다 본 논문에서는 영역의 색상과 움직임 정보, 그리고 인접한 영역의 상관 관계를 고려한 Markov Random Field (MRF) 모델을 제안한다. MRF 모델은 영상의 시간적 공간적 상관성을 기반으로 최적의 레이블 셋을 계산함으로써 보다 정확하게 객체를 추출 및 추적할 수 있다. 또한, 블록 기반 움직임 추출 알고리즘인 Diamond Search (DS)를 분할된 영역에 적용하여 빠르게 영역의 움직임과 전역 움직임을 추정하였다. 실험 결과 제안한 방법이 객체의 외형 변화와 카메라 움직임이 있는 동영상에서 빠른 속도로 정확하게 객체를 추출 및 추적하는 것을 확인하였다.

• Journal of applied mathematics & informatics
• /
• v.24 no.1_2
• /
• pp.505-511
• /
• 2007

In this paper, we examine the Markov chain $\{X_k,\;N_k;\;k=0,\;1,...$. We show that the marginal steady state distribution of Xk is discrete phase type. The implication of this result is that the queue length distribution of phase type for large number of examples where this Markov chain is applicable and shows a queueing application by matrix geometric methods.

• Management Science and Financial Engineering
• /
• v.19 no.2
• /
• pp.37-42
• /
• 2013

This paper suggests a numerical method for valuation of European and American options under the two L$\acute{e}$vy Processes, Normal Inverse Gaussian Model and the Variance Gamma model. The method is based on approximation of underlying asset price using a finite-state, time-homogeneous Markov chain. We examine the effectiveness of the proposed method with simulation results, which are compared with those from the existing numerical method, the lattice-based method.

• 제어로봇시스템학회:학술대회논문집
• /
• 2000.10a
• /
• pp.273-273
• /
• 2000

We present a new scheme to increase the performance of edge-preserving image smoothing from the parameter tuning of a Markov random field (MRF) function. The method is based on automatic control of the image smoothing-strength in MRF model ing in which an introduced parameter function is based on control of enforcing power of a discontinuity-adaptive Markov function and edge magnitude resulted from discontinuities of image intensity. Without any binary decision for the edge magnitude, adaptive control of the enforcing power with the full edge magnitude could improve the performance of discontinuity-preserving image smoothing.

• Communications for Statistical Applications and Methods
• /
• v.8 no.1
• /
• pp.109-115
• /
• 2001

Wavelet coefficients are known to have decorrelating properties, since wavelet is orthonormal transformation. but empirically, those wavelet coefficients of images, like edges, are not statistically independent. Jansen and Bultheel(1999) developed the empirical Bayes approach to improve the classical threshold algorithm using local characterization in Markov random field. They consider the clustering of significant wavelet coefficients with uniform distribution. In this paper, we developed wavelet thresholding algorithm using Laplacian distribution which is more realistic model.

• Journal of the Korean Statistical Society
• /
• v.25 no.3
• /
• pp.313-336
• /
• 1996

In this paper we consider weak convergence of some rescaled transi-tion probabilities of a real-valued, k-th order (k $\geq$ 1) stationary Markov chain. Under the assumption that the joint distribution of K + 1 consecutive variables belongs to the domain of attraction of a multivariate extreme value distribution, the paper gives a sufficient condition for the weak convergence and characterizes the limiting distribution via the multivariate extreme value distribution.