• 한국수학교육학회지시리즈B:순수및응용수학
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• 제19권4호
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• pp.363-381
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• 2012

Shortfall risk is considered by taking some exposed risks because the superhedging price is too expensive to be used in practice. Minimizing shortfall risk can be reduced to the problem of finding a randomized test ${\psi}$ in the static problem. The optimization problem can be solved via the classical Neyman-Pearson theory, and can be also explained in terms of hypothesis testing. We introduce the classical Neyman-Pearson lemma expressed in terms of mathematics and see how it is applied to shortfall risk in finance.

• 한국통신학회논문지
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• 제16권3호
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• pp.219-231
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• 1991

이 논문에서는 약한 신호 검파에 쉽게 쓰일 수 있는 국소 최적 검파의 여러 결과를 간략하게 소개하였다. 또한 국소 최적 검파의 바보수형 접근 방식인 국소 최적 순위 감파방지도 소개하였다. 이런 국소 최적 검파기들의 실제 응용 보기 및 구현에서의 분재, 성능 특징에 대해서도 알아보았다. 끝으로 일반화된 Neyman Pearson 정리를 피지 이론으로 확장한 정리를 간략히 소개하였다.

• 한국통신학회논문지
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• 제17권8호
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• pp.789-795
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• 1992

The generalized Neyman-Pearson lemma Is reformulated In the framework of the fuzzy set theory. Based on the result, we define the locally optimum fuzzy test and derive the locally optimum fuzzy test function. As a pratical application of the locally optimum fuzzy test, detection of weak deterministic signals corrupted by purely-adative noise Is considered, which Is an important problem In statistical signal processing. Comparisons between the locally optimum and the locally optimum fuzzy tests are also made.

• Journal of applied mathematics & informatics
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• 제29권3_4호
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• pp.987-1000
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• 2011

We show how the dynamic optimization problem with the capital constraint can be reduced to the problem to find an optimal modified claim $\tilde{\psi}H$ where $\tilde{\psi}$ is a randomized test in the static problem. Coherent risk measure is used as risk measure in the $L^{\infty}$ random variable spaces. The paper is written in expository style to some degree. We use an average risk of measure(AVaR), which is a special coherent risk measure, to see how to hedge the modified claim in a complete market model.

• 한국통신학회:학술대회논문집
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• 한국통신학회 1991년도 추계종합학술발표회논문집
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• pp.107-110
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• 1991

When the noise has both additive and signal-dependent components, locally optimum detector test statistics are obtained for detection of weak composite signals using the generalized Neyman-Pearson lemma. In order to consider the non-additive noise as well as purely-additive noise, a generalized observation model is used in this paper. The locally optimum detector test statistics are derived for several different cases according to the relative strengths of the known signal component, the random signal component, and the signal-dependent noise component. Schematic diagrams of the locally optimum detector structures are also included.

• 한국통신학회논문지
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• 제35권8C호
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• pp.709-712
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• 2010

이 논문에서는 시간상 확률 상관이 0이 아닌 약의존성 잡음 모형에서 두 표본을 쓰는 국소 최적 순위 검파기의 검정 통계량를 얻었다. 기준 관측과 보통 관측으로 이루어진 두 표본 관측 모형에서 약의존성 잡음 환경에 알맞은 국소 최적 순위 검파기의 검정 통계량을 네이먼 피어슨 정리로부터 유도하였다. 두 표본을 쓰는 국소 최적 순위 검파기는 한 표본을 쓰는 국소 최적 순위 검파기와 같은 점근 성능을 가지며 부호 통계량을 다룰 필요가 없어 얼개가 비교적 간단하다.

• 한국통신학회논문지
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• 제38B권10호
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• pp.832-842
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• 2013

Cognitive Radio has attracted intensive interests of the researchers, recently. The data rate always increases in the emerging technologies. The increased data rate poses mainly two challenges for spectrum sensing. One is that the state of primary user (PU) is fast and alternatively varying between "on/off" in a spectrum sensing window. The other is that the asynchronicity among the reports in a cooperative spectrum sensing setting becomes more apparent. Both of them would deteriorate the spectrum sensing performance. Thus, we propose an asynchronous cooperative spectrum sensing method to cope with these two challenges. A likelihood ratio test based spectrum sensing is developed for a single cooperator. The likelihood ratio is obtained in the setting of fast varying PU state. The likelihood ratio test is uniformly powerful according to the Neyman-pearson lemma. Furthermore, the asynchronicity among the cooperators are studied. Two sets of fusion weights are discussed for the asynchronous time among cooperators. One is designed based on the condition probability of the PU state variation and the other one is designed based on the queueing theory. The simulation results are provided with different fusion methods. The performance improvements are demonstrated.