• Communications for Statistical Applications and Methods
• /
• 제24권3호
• /
• 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.

• Journal of the Korean Data and Information Science Society
• /
• 제9권2호
• /
• pp.189-202
• /
• 1998

본 연구는 Rice 분산추정량을 사용한 기존의 평활 적합도 검정들에 있어서 Rice의 분산 추정량 보다 뛰어난 성질을 가지는 GSJS 추정량을 사용함으로 검정 통계량들에 대한 검정력에 미치는 영향을 조사하는데 그 목적을 둔다. 또한 분산의 값들의 변화가 진동수와 진폭에 따른 선형 모형에서의 검정력들에 미치는 영향을 관찰하였다.

• International Journal of Reliability and Applications
• /
• 제14권1호
• /
• pp.27-39
• /
• 2013

In this article, a new model based on the Rayleigh distribution is introduced. This model is useful and practical in physics, reliability, and life testing. The statistical and reliability properties of this model are presented, including moments, the hazard rate, the reversed hazard rate, and mean residual life functions, among others. In addition, it is shown that the distributions of the new model are ordered regarding the strongest likelihood ratio ordering. Four estimating methods, namely, method of moment, maximum likelihood method, Bayes estimation, and uniformly minimum variance unbiased, are used to estimate the parameters of this model. Simulation is used to calculate the estimates and to study their properties. Finally, the appropriateness of this model for real data sets is shown by using the chi-square goodness of fit test and the Kolmogorov-Smirnov statistic.

• 대한전기학회:학술대회논문집
• /
• 대한전기학회 2000년도 하계학술대회 논문집 D
• /
• pp.3100-3102
• /
• 2000

In this paper, we propose to a robust frequency offset estimation method of OFDM signals. A carrier frequency offset may be decomposed into an integer multiple of the subcarrier spacing and a residual frequency offset. Fractional part of frequency offset is obtained by using the maximum likelihood estimation(MLE) method. And we use the correlation of the samples at the output of the discrete Fourier transform(DFT) to estimate integer part of frequency offset. The result shows that the estimation frequency offset is almost linear to frequency offset. We propose to an improved estimation error variance of the carrier frequency offset estimation. The proposed estimator has better performance than the conventional ones in terms of error variance and tracking range.

• Journal of the Korean Data and Information Science Society
• /
• 제4권
• /
• pp.97-107
• /
• 1993

In this paper we propose a nonparametric estimator of the men residual life function (MRLF) on a coherent system under the condition that the component lifetimes are censored by system lifetime. It is shown that the proposed estimator, considered as a function of age t, converges weakly to a Gaussian process on a fixed interval. A consistent estimator of asymptotic variance of the proposed estimator is also given.

• 응용통계연구
• /
• 제30권2호
• /
• pp.259-269
• /
• 2017

분산함수가 불연속점을 가지는 경우, 대부분의 비모수적 함수 추정 연구에서 분산함수가 음수 값을 갖지 않기에 잔차제곱을 이용한 Nadaraya-Watson 추정량인 국소상수항추정량을 이용하였다. 한편, Huh (2014, 2016a)는 Chen 등 (2009)과 Yu와 Jones (2004)의 연구를 바탕으로 불연속 분산함수를 로그 변환한 로그분산함수를 추정 대상으로 삼아 잔차제곱이나 로그잔차제곱으로 경계점 문제를 가지지 않는 국소선형추정량을 이용하여 비모수적으로 추정하였다. Huh (2016b)는 불연속점에서 점프크기추정량을 활용하여 잔차제곱을 분산함수가 연속인 회귀모형에서 얻어진 잔차제곱인 것처럼 수정한 후 이들을 이용하여 불연속 분산함수의 추정을 연구하였다. 본 연구에서는 불연속 로그분산함수의 점프크기추정량을 이용하여 로그잔차제곱을 수정하고 불연속 로그분산함수를 국소선형추정량을 이용하여 추정하고자 한다. 제안된 추정량의 우수성을 모의실험을 통하여 Chen 등 (2009)의 로그분산함수 추정량을 이용한 Huh (2014)의 불연속 로그분산함수 추정량과 비교하고 실제자료에 적용하고자 한다.

• 한국시뮬레이션학회논문지
• /
• 제10권4호
• /
• pp.41-50
• /
• 2001

When optimizing a complex system by determining the optimum condition of the system parameters of interest, we often employ the process of estimating the unknown objective function, which is assumed to be a second order spline function. In doing so, we normally use common random numbers for different set of the controllable factors resulting in more accurate parameter estimation for the objective function. In this paper, we will show some mathematical result for the analysis of variance when using common random numbers in terms of the regression error, the residual error and the pure error terms. In fact, if we can realize the special structure of the covariance matrix of the error terms, we can use the result of analysis of variance for the uncorrelated experiments only by applying minor changes.

• Journal of applied mathematics & informatics
• /
• 제41권6호
• /
• pp.1275-1301
• /
• 2023

This paper introduced the Weibull Marshall-Olkin Power Lomax (WMOPL) distribution. The statistical aspects of the proposed model are presented, such as the quantiles function, moments, mean residual life and mean deviations, variance, skewness, kurtosis, and reliability measures like the residual life function, and stress-strength reliability. The parameters of the new model are estimated using six different methods, and simulation research is illustrated to compare the six estimation methods. In the end, two real data sets show that the Weibull Marshall-Olkin Power Lomax distribution is flexible and suitable for modeling data.

• Asian-Australasian Journal of Animal Sciences
• /
• 제22권7호
• /
• pp.923-930
• /
• 2009

This study was conducted to compare three models: two random regression models with and without considering heterogeneity in the residual variances and a lactation model (LM) for evaluating the genetic ability of Holstein cows in Korea. Two datasets were prepared for this study. To apply the test-day random regression model, 94,390 test-day records were prepared from 15,263 cows. The second data set consisted of 14,704 lactation records covering milk production over 305 days. Raw milk yield and composition data were collected from 1998 to 2002 by the National Agricultural Cooperative Federation' dairy cattle improvement center by way of its milk testing program, which is nationally based. The pedigree information for this analysis was collected by the Korean Animal Improvement Association. The random regression models (RRMs) are single-trait animal models that consider each lactation record as an independent trait. Estimates of covariance were assumed to be different ones. In order to consider heterogeneity of residual variance in the analysis, test-days were classified into 29 classes. By considering heterogeneity of residual variance, variation for lactation performance in the early lactation classes was higher than during the middle classes and variance was lower in the late lactation classes than in the other two classes. This may be due to feeding management system and physiological properties of Holstein cows in Korea. Over classes e6 to e26 (covering 61 to 270 DIM), there was little change in residual variance, suggesting that a model with homogeneity of variance be used restricting the data to these days only. Estimates of heritability for milk yield ranged from 0.154 to 0.455, for which the estimates were variable depending on different lactation periods. Most of the heritabilities for milk yield using the RRM were higher than in the lactation model, and the estimate of genetic variance of milk yield was lower in the late lactation period than in the early or middle periods.

• The Journal of Asian Finance, Economics and Business
• /
• 제9권7호
• /
• pp.1-15
• /
• 2022

Combining the strength of both Mixed Data Sampling (MIDAS) Regression and realized variance measures, this paper seeks to investigate two objectives: (1) evaluate the post-sample performance of the proposed weekly Realized Variance-MIDAS (RVar-MIDAS) in one-week ahead volatility forecasting against the established Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model and the less explored but robust STES (Smooth Transition Exponential Smoothing) methods. (2) comparing forecast error performance between realized variance and squared residuals measures as a proxy for actual volatility. Data of seven private equity mutual fund indices (generated from 57 individual funds) from two different time periods (with and without financial crisis) are applied to 21 models. Robustness of the post-sample volatility forecasting of all models is validated by the Model Confidence Set (MCS) Procedures and revealed: (1) The weekly RVar-MIDAS model emerged as the best model, outperformed the robust DAILY-STES methods, and the weekly DAILY-GARCH models, particularly during a volatile period. (2) models with realized variance measured in estimation and as a proxy for actual volatility outperformed those using squared residual. This study contributes an empirical approach to one-week ahead volatility forecasting of mutual funds return, which is less explored in past literature on financial volatility forecasting compared to stocks volatility.