• Journal of the Korean Mathematical Society
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• v.38 no.3
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• pp.657-667
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• 2001

We propose a statistical interpolation approximate solution for a nonlinear stochastic integral equation of a stock price process. The proposed method has the order O(h$^2$) of local error under the weaker conditions of $\mu$ and $\sigma$ than those of Milstein' scheme.

• Communications of the Korean Mathematical Society
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• v.21 no.3
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• pp.533-541
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• 2006

We consider a autoregressive moving average process of order p and q with Markov switching coefficients and find sufficient conditions for irreducibility of the process. Identifying small sets is also examined.

• The Korean Journal of Applied Statistics
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• v.12 no.2
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• pp.347-362
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• 1999

강수 형태 및 강수량을 동시에 고려하는 1차의 마코브 연쇄-의존 모델을 고차의 모델로 확장하였다. 남한의 53개 지역의 강수량 자료에 대해 계절별로 마코브 연쇄의 차수를 결정하였고, 고차의 마코브 연쇄-의존 모델을 적용하여 강수량의 분포특성을 살펴 보았다.

• Communications for Statistical Applications and Methods
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• v.4 no.2
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• pp.445-452
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• 1997

In this paper, twicing technique for the improvement of asymptotic boundary bias in nonparametric regression is considered. Asymptotic mean squared errors of the nonparametric regression estimators are derived at the boundary region by twicing the Nadaraya-Waston and local linear smoothing. Asymptotic biases of the resulting estimators are of order$h^2$and$h^4$ respectively.

• Journal of the Korean Statistical Society
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• v.23 no.1
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• pp.33-38
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• 1994

The OLS-estimator of the distribance variance in the linear regression model is shown to be asymptotically unbiased when the disturbances are MA(1)-process or particular s-th autocorrelated AR(s)-process.

• Journal of the Korean Statistical Society
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• v.27 no.4
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• pp.485-494
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• 1998

In the white noise model we construct an adaptive estimate for f(0) for a decreasing function f. We also show that the maximum mean square error of this estimate attains the same rate as the minimax risk simultaneously over a range of Lipschitz classes of order less than or equal to one.

• Communications for Statistical Applications and Methods
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• v.11 no.1
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• pp.189-196
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• 2004

The sensitivity of the multivariate Box-Cox transformation model to simultaneous perturbations of all the data based on the likelihood displacement is studied in order to detect outliers. An example is given for illustration.

• Communications for Statistical Applications and Methods
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• v.4 no.1
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• pp.185-191
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• 1997

Bayesian estimation of multinomial and Poisson parameters under starshped restriction is considered. Most Bayesian estimations in order restricted statistical inference require the high-dimensional integration which is very difficult to evaluate. Monte Carlo integration and Gibbs sampling are among alternative methods. The Bayesian estimation considered in this paper requires only evaluation of incomplete beta functions which are extensively tabulated.

• Journal of applied mathematics & informatics
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• v.20 no.1_2
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• pp.119-132
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• 2006

This paper presents an approach for using right-truncated exponentially distributed random variables to model activity times in stochastic activity networks. The advantages of using the right-truncated exponential distribution are discussed. The moments of a project completion time using the proposed distribution are derived and compared with other estimated moments in literature.

• Journal of applied mathematics & informatics
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• v.29 no.1_2
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• pp.39-48
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• 2011

Some existence theorems are obtained for periodic solutions of nonautonomous second-order differential systems with (q, p)-Laplacian by the minimax methods in critical point theory.