• 대한수학회보
• /
• 제53권3호
• /
• pp.733-749
• /
• 2016

We aim to compute discretely monitored geometric Asian option prices under the Heston model. This method involves explicit formula for multivariate generalized Fourier transform of volatility process and their integrals over different time intervals using a recursive method. As numerical results, we illustrate efficiency and accuracy of our method. In addition, we simulate scenarios which show evidently practical importance of our work.

• 응용통계연구
• /
• 제7권1호
• /
• pp.121-129
• /
• 1994

기호연산이 가능한 소프트웨어인 MATHEMATICA를 이용함으로써 최대흡사 추정량의 구체적 형태를 구할 수 있음을 보였다. 다변량 정규분포로부터의 확률 표본을 이용한 최대 흡사 추정량을 구하는 과정을 예시하였다.

• Journal of the Korean Data and Information Science Society
• /
• 제21권4호
• /
• pp.819-829
• /
• 2010

Properties of multivariate variable sampling interval (VSI) Shewhart and CUSUM charts for monitoring mean vector of related quality variables are investigated. To evaluate average time to signal (ATS) and average number of switches (ANSW) of the proposed charts, Markov chain approaches and simulations are applied. Performances of the proposed charts are also investigated both when the process is in-control and when it is out-of-control.

• 산업경영시스템학회지
• /
• 제15권26호
• /
• pp.181-187
• /
• 1992

본 논문은 CIMS에서 적응되는 ARMA 공정제어의 새로운 3단계절차를 제안한다. 첫번째 단계는 다변량 ARMA모델을 식별하여 모수를 추정하고, white noise로 진단된 잔차 series에 대하여 다변량 제어통계량(즉, 다변량 Hotelling T$^2$통계량, 다변량 CUSUM, 다변량 EWHA 통계량, 다변량 MA 통계량)등을 계산한다. 마지막으로 본 논문에서 제안한 8가지 다변량 제어통계량을 상호비교하여 이상점을 발견한다.

• 품질경영학회지
• /
• 제26권2호
• /
• pp.51-60
• /
• 1998

Exponetially weighted moving average(EWMA) control chart to simultaneously monitor correlation coefficients of several correlated quality variables under multivariate normal process are proposed. Performances of the proposed control charts are measured in terms of average run length(ARL) by simulation. Numerical results show that smaller values of smoothing constant are more efficient in terms of ARL.

• Journal of the Korean Statistical Society
• /
• 제19권2호
• /
• pp.176-181
• /
• 1990

Sung [1990] presented an analogue of the classical Cramer-Rao inequality for median-unbiased estimators with continuous multivariate densities depending upon a vector parameter. In the process, diffusivity, a new dispersion measure relevant to median-unbiased estimators, was defined to be a function of median-unbiased estimator's density height. In this paper we shall elaborate these ideas by defining a second kind of diffusivity and discuss the role of model-unbiasedness in median-unbiased estimation in connection with this seconde kind of diffusivity. In addition, median-unbiased estimation will be compared to mean-unbiased estimation.

• Journal of Electrical Engineering and Technology
• /
• 제11권6호
• /
• pp.1812-1824
• /
• 2016

The neural dynamics underlying the causal network during motor planning or imagery in the human brain are not well understood. The lack of signal processing tools suitable for the analysis of nonlinear and nonstationary electroencephalographic (EEG) hinders such analyses. In this study, noise-assisted multivariate empirical mode decomposition (NA-MEMD) is used to estimate the causal inference in the frequency domain, i.e., partial directed coherence (PDC). Natural and intrinsic oscillations corresponding to the motor imagery tasks can be extracted due to the data-driven approach of NA-MEMD, which does not employ predefined basis functions. Simulations based on synthetic data with a time delay between two signals demonstrated that NA-MEMD was the optimal method for estimating the delay between two signals. Furthermore, classification analysis of the motor imagery responses of 29 subjects revealed that NA-MEMD is a prerequisite process for estimating the causal network across multichannel EEG data during mental tasks.

• Smart Structures and Systems
• /
• 제15권5호
• /
• pp.1329-1344
• /
• 2015

The stiffness of a structure is one of several structural signals that are useful indicators of the amount of damage that has been done to the structure. To accurately estimate the stiffness, an equation of motion containing a stiffness parameter must first be established by expansion as a linear series model, a Taylor series model, or a power series model. The model is then used in multivariate autoregressive modeling to estimate the structural stiffness and compare it to the theoretical value. Stiffness assessment for modeling purposes typically involves the use of one of three statistical model refinement approaches, one of which is the efficient Akaike information criterion (AIC) proposed in this paper. If a newly added component of the model results in a decrease in the AIC value, compared to the value obtained with the previously added component(s), it is statistically justifiable to retain this new component; otherwise, it should be removed. This model refinement process is repeated until all of the components of the model are shown to be statistically justifiable. In this study, this model refinement approach was compared with the two other commonly used refinement approaches: principal component analysis (PCA) and principal component regression (PCR) combined with the AIC. The results indicate that the proposed AIC approach produces more accurate structural stiffness estimates than the other two approaches.

• 한국정보처리학회:학술대회논문집
• /
• 한국정보처리학회 2001년도 추계학술발표논문집 (상)
• /
• pp.535-538
• /
• 2001

Since 1990s, many literatures have shown that connectionist models, such as back propagation, recurrent network, and RBF (Radial Basis Function) outperform the traditional models, MA (Moving Average), AR (Auto Regressive), and ARIMA (Auto Regressive Integrated Moving Average) in time series prediction. Neural based approaches to time series prediction require the enough length of historical measurements to generate the enough number of training patterns. The more training patterns, the better the generalization of MLP is. The researches about the schemes of generating artificial training patterns and adding to the original ones have been progressed and gave me the motivation of developing VTG schemes in 1996. Virtual term is an estimated measurement, X(t+0.5) between X(t) and X(t+1), while the given measurements in the series are called actual terms. VTG (Virtual Tern Generation) is the process of estimating of X(t+0.5), and VTG schemes are the techniques for the estimation of virtual terms. In this paper, the alternative VTG schemes to the VTG schemes proposed in 1996 will be proposed and applied to multivariate time series prediction. The VTG schemes proposed in 1996 are called deterministic VTG schemes, while the alternative ones are called stochastic VTG schemes in this paper.

• Environmental Engineering Research
• /
• 제24권2호
• /
• pp.279-288
• /
• 2019

To obtain insightful knowledge of geochemical process controlling fluoride enrichment in groundwater of the villages near Shilabati river bank, West Bengal, India, multivariate statistical techniques were applied to a subgroup of the dataset generated from major ion analysis of groundwater samples. Water quality analysis of major ion chemistry revealed elevated levels of fluoride concentration in groundwater. Factor analysis (FA) of fifteen hydrochemical parameters demonstrated that fluoride occurrence was due to the weathering and dissolution of fluoride-bearing minerals in the aquifer. A strong positive loading (> 0.75) of fluoride with pH and bicarbonate for FA indicates an alkaline dominated environment responsible for leaching of fluoride from the source material. Mineralogical analysis of soli sediment exhibits the presence of fluoride-bearing minerals in underground geology. Hierarchical cluster analysis (HCA) was carried out to isolate the sampling sites according to groundwater quality. With HCA the sampling sites were isolated into three clusters. The occurrence of abundant fluoride in the higher elevated area of the observed three different clusters revealed that there was more contact opportunity of recharging water with the minerals present in the aquifer during infiltration through the vadose zone.