• Communications for Statistical Applications and Methods
• /
• v.12 no.2
• /
• pp.473-481
• /
• 2005

The testing problem for sphericity structure of the covariance matrix in a multivariate normal distribution is introduced when there is a sample with 2-step monotone missing data pattern. The maximum likelihood method is described to estimate the parameters on the basis of the sample. Using these estimates, the likelihood ratio criterion for testing sphericity is derived.

• Communications for Statistical Applications and Methods
• /
• v.27 no.1
• /
• pp.97-108
• /
• 2020

This paper compares several methods for estimating parameters of normal inverse Gaussian distribution. Ordinary maximum likelihood estimation and the method of moment estimation often do not work properly due to restrictions on parameters. We examine the performance of adjusted estimation methods along with the ordinary maximum likelihood estimation and the method of moment estimation by simulation and real data application. We also see the effect of the initial value in estimation methods. The simulation results show that the ordinary maximum likelihood estimator is significantly affected by the initial value; in addition, the adjusted estimators have smaller root mean square error than ordinary estimators as well as less impact on the initial value. With real datasets, we obtain similar results to what we see in simulation studies. Based on the results of simulation and real data application, we suggest using adjusted maximum likelihood estimates with adjusted method of moment estimates as initial values to estimate the parameters of normal inverse Gaussian distribution.

• Communications for Statistical Applications and Methods
• /
• v.25 no.4
• /
• pp.355-371
• /
• 2018

The two parameter negative exponential distribution has many practical applications in queuing theory such as the service times of agents in system, the time it takes before your next telephone call, the time until a radioactive practical decays, the distance between mutations on a DNA strand, and the extreme values of annual snowfall or rainfall; consequently, has many applications in reliability systems. This paper considers an estimation problem of stress-strength model with two parameter negative parameter exponential distribution. We introduce a maximum penalized likelihood method, Bayes estimator using Lindley approximation to estimate stress-strength model and compare the proposed estimators with regular maximum likelihood estimator for complete data. We also introduce a maximum penalized likelihood method, Bayes estimator using a Markov chain Mote Carlo technique for incomplete data. A Monte Carlo simulation study is performed to compare stress-strength model estimates. Real data is used as a practical application of the proposed model.

• Journal of the Korean Statistical Society
• /
• v.23 no.1
• /
• pp.167-178
• /
• 1994

To estimate coefficient matrix in autoregressive model, usually ordinary least squares estimator or unconditional maximum likelihood estimator is used. It is unknown that for univariate AR(p) model, unconditional maximum likelihood estimator gives better power property that ordinary least squares estimator in testing for unit root with mean estimated. When autoregressive model contains multiple unit roots and unconditional likelihood function is used to estimate coefficient matrix, the seperation of nonstationary part and stationary part of the eigen-values in the estimated coefficient matrix in the limit is developed. This asymptotic property may give an idea to test for multiple unit roots.

• Communications for Statistical Applications and Methods
• /
• v.24 no.3
• /
• pp.291-301
• /
• 2017

It is well known in a small sample that the maximum likelihood (ML) approach for variance components in the general linear model yields estimates that are biased downward. The ML estimate of residual variance tends to be downwardly biased. The underestimation of residual variance, which has implications for the estimation of marginal effects and asymptotic standard error of estimates, seems to be more serious in some limited dependent variable models, as shown by some researchers. An alternative frequentist's approach may be restricted or residual maximum likelihood (REML), which accounts for the loss in degrees of freedom and gives an unbiased estimate of residual variance. In this situation, the REML estimator is derived in a censored regression model. A small sample the REML is shown to provide proper inference on regression coefficients.

• The Journal of Korean Institute of Communications and Information Sciences
• /
• v.33 no.1C
• /
• pp.110-116
• /
• 2008

Maximum likelihood(ML) diretion-of-arrival(DOA) estimation is essentially optimization of multivariable nonlinear cost function. Since the final estimate is highly dependent on the initial estimate, an initialization is critical in nonlinear optimization. We propose a multi-dimensional(M-D) search scheme of uniform exhaustive search and improved exhaustive search. Improved exhaustive search is superior to uniform exhaustive search in terms of the computational complexity and the accuracy of the estimates.

• Korean Management Science Review
• /
• v.11 no.2
• /
• pp.29-41
• /
• 1994

This paper analyses the stochastic nature of the Permanent Income Hypothesis (PIH) by specifying the variance-covariance structure of PIH based on Hall and Mishkin[3]. Maximum likelihood is employed to estimate the model by explicitely incorporating the heteroscedastic nature of the data into the likelihood. The data used are individual Korean household consumption and income data. The results indicate that the data are generally consistent with the Permanent Income Hypothesis, and about 11 percent of the total variation in consumption may be attributable to the excess sensitivity of consumption to income.

• International Journal of Reliability and Applications
• /
• v.9 no.1
• /
• 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.

• Proceedings of the IEEK Conference
• /
• 2001.09a
• /
• pp.85-88
• /
• 2001

In this paper we consider a problem of blind co-channel signal separation, the goal of which is to estimate multiple co-channel digitally modulated signals using an antenna array. We employ the joint maximum likelihood estimation and present a sequential algorithm, which is referred to as sequential joint maximum likelihood (SJML) algorithm. It separates multiple co-channel signal on-line and converges fast in overdetermined noisy communication environment. And the computational complexity of SJML for M-QAM (M=8, 16, 64,...) signals is less expensive compared to the SLSP. Useful behavior of this algorithm are confirmed by simulations.

• Communications for Statistical Applications and Methods
• /
• v.23 no.3
• /
• pp.241-250
• /
• 2016

In this paper, we consider statistical inferences on the estimation of the parameters of a Weibull distribution when data are randomly censored. Maximum likelihood estimators (MLEs) and approximate MLEs are derived to estimate the parameters. We consider two cases for the censoring model: the assumption that the censoring distribution does not involve any parameters of interest and a censoring distribution that follows a Weibull distribution. A simulation study is conducted to compare the performances of the estimators. The result shows that the MLEs and the approximate MLEs are similar in terms of biases and mean square errors; in addition, the assumption of the censoring model has a strong influence on the estimation of scale parameter.