• Proceedings of the Korean Operations and Management Science Society Conference
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• 2006.11a
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• pp.165-168
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• 2006

Exponential smoothing methods do not adapt well to unexpected changes in underlying process. Over the past few decades a number of adaptive smoothing models have been proposed which allow for the continuous adjustment of the smoothing constant value in order to provide a much earlier detection of unexpected changes. However, most of previous studies presented ad hoc procedure of adaptive forecasting without any theoretical background. In this paper, we propose a detection-adaptation procedure applied to simple and Holt's linear method. We derive level and slope change detection statistics based on Bayesian statistical theory and present distribution of the statistics by simulation method. The proposed procedure is compared with previous adaptive forecasting models using simulated data and economic time series data.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.15 no.11
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• pp.955-961
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• 1990

Test statistics are obtained for detection of weak signals in signal-dependent noise using rank statistics. A generalized model is used in this paper in order to consider non-additivenoise as well as purely-additive noise. Locally optimum rank detectors for the model are shown to have similarity to locally optimum detectors and to be generalizations of these for the purely-additive noise model. A similar result is obtained for multi-input cases.

• Communications for Statistical Applications and Methods
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• v.23 no.4
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• pp.297-319
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• 2016

Football match predictions are of great interest to fans and sports press. In the last few years it has been the focus of several studies. In this paper, we propose the Poisson regression model in order to football match outcomes. We applied the proposed methodology to two national competitions: the 2012-2013 English Premier League and the 2015 Brazilian Football League. The number of goals scored by each team in a match is assumed to follow Poisson distribution, whose average reflects the strength of the attack, defense and the home team advantage. Inferences about all unknown quantities involved are made using a Bayesian approach. We calculate the probabilities of win, draw and loss for each match using a simulation procedure. Besides, also using simulation, the probability of a team qualifying for continental tournaments, being crowned champion or relegated to the second division is obtained.

• The Korean Journal of Applied Statistics
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• v.27 no.7
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• pp.1219-1228
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• 2014

Constant conditional correlation (CCC) is frequently employed for parsimony in the field of multivariate GARCH time series. An extended-CCC (ECCC) model is further developed in order to allow interactions between multivariate volatilities. The paper introduces both CCC model and ECCC model to the domestic financial time series. The CCC and ECCC models are fitted and then compared with each other through various multivatiate time series.

• Communications for Statistical Applications and Methods
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• v.25 no.2
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• pp.109-130
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• 2018

Several measures of multivariate skewness for scale mixtures of skew-normal distributions are derived. As a special case, those of multivariate skew-t distribution are considered in detail. Furthermore, the similarities, differences, and behavior of these measures are explored for cases of some specific members of the multivariate skew-normal and skew-t distributions using a simulation study. Since some measures are vectors, it is better to take all measures in the same scale when comparing them. In order to attain such a set of comparable indices, the sample version is considered for each of the skewness measures that are taken as test statistics for the hypothesis of t distribution against skew-t distribution. An application is reported for the data set consisting of 71 total glycerol and magnesium contents in Grignolino wine.

• International Journal of Reliability and Applications
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• v.17 no.1
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• pp.1-19
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• 2016

The Exponentiated Quasi Lindley (EQL) distribution which is an extension of the quasi Lindley Distribution is introduced and its properties are explored. This new distribution represents a more flexible model for the lifetime data. Some statistical properties of the proposed distribution including the shapes of the density and hazard rate functions, the moments and moment generating function, the distribution of the order statistics are given. The maximum likelihood estimation technique is used to estimate the model parameters and finally an application of the model with a real data set is presented for the illustration of the usefulness of the proposed distribution.

• ETRI Journal
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• v.28 no.6
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• pp.815-818
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• 2006

In the global Internet, a constraint-based routing algorithm performs the function of selecting a routing path while satisfying some given constraints rather than selecting the shortest path based on physical topology. It is necessary for constraint-based routing to disseminate and update link state information. The triggering policy of link state updates significantly affects the volume of update traffic and the quality of services (QoS). In this letter, we propose an adaptive triggering policy based on link-usage statistics in order to reduce the volume of link state update traffic without deterioration of QoS. Also, we evaluate the performance of the proposed policy via simulations.

• Proceedings of the Korean Reliability Society Conference
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• 2000.11a
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• pp.335-342
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• 2000

Preventive maintenance(PM) is an action taken on a repairable system while it is still operating, which needs to be carried out in order to keep the system at the desired level of successful operation. The PM improves the reliability of the system by predicting the possible failures and thereby preventing such failures from its occurrence. In this paper, we develop the optimal preventive maintenance policies based on the aperiodic PM model. We investigate an aperiodic preventive maintenance policy and propose several optimal PM policies which minimize the expected cost over an infinite time span. Park, Jung and Yum(2000) determine the optimal period and the optimal number of PMs based on Canfield's(1986) periodic model. Our techniques to derive the optimal preventive maintenance policies based on our aperiodic PM model is similar to those in Park, Jung and Yum(2000), which can be considered as the special case of our results.

• 한국데이터정보과학회:학술대회논문집
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• 2006.04a
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• pp.43-47
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• 2006

Consider a multitype queue where queued customers arc served in their order of arrival at a rate which depends on the customer type. Here we calculate the sharp asymptotics of the probability the total number of customers in the queue reaches a high level before emptying. The natural state space to describe this queue is a tree whose branches increase in length as the number of customers in the queue grows. Consequently it is difficult to prove a large deviation principle. Moreover, since service rates depend on the customer type the stationary distribution is not of product form so there is no simple expression for the stationary distribution. Instead, we use a change of measure technique which increases the arrival rate of customers and decreases the departure rate thus making large deviations common.

• Journal of the Korean Data and Information Science Society
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• v.15 no.4
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• pp.973-980
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• 2004

Phase I clinical trials are often pharmacologically oriented and usually attempt to find the best dose of drug to employ. However, other purposes like determination of sizes and types of side effects and toxicity and organ system involved are equally important. Estimation of treatment effects or side effects is usually ignored since it is usually based on too small sample, even though Phase II clinical trials would be designed based on the Phase I studies. Statistical methods for constructing the approximate confidence interval for population median in case of small sample are considered and an improved method is proposed. The proposed estimator is compared with current methods through simulation studies.