• Communications for Statistical Applications and Methods
• /
• 제29권1호
• /
• pp.53-64
• /
• 2022

High dimensional time series is gaining considerable attention in recent years. The sparse vector heterogeneous autoregressive (VHAR) model proposed by Baek and Park (2020) uses adaptive lasso and debiasing procedure in estimation, and showed superb forecasting performance in realized volatilities. This paper extends the sparse VHAR model by considering non-convex penalties such as SCAD and MCP for possible bias reduction from their penalty design. Finite sample performances of three estimation methods are compared through Monte Carlo simulation. Our study shows first that taking into cross-sectional correlations reduces bias. Second, nonconvex penalties performs better when the sample size is small. On the other hand, the adaptive lasso with debiasing performs well as sample size increases. Also, empirical analysis based on 20 multinational realized volatilities is provided.

• KSII Transactions on Internet and Information Systems (TIIS)
• /
• 제12권3호
• /
• pp.1047-1062
• /
• 2018

In this paper the problem of massive multiple input multiple output (MIMO) channel estimation with sparsity aware adaptive algorithms for $5^{th}$ generation mobile systems is investigated. These channels are shown to be non-stationary along with being sparse. Non-stationarity is a feature that implies channel taps change with time. Up until now most of the adaptive algorithms that have been presented for channel estimation, have only considered sparsity and very few of them have been tested in non-stationary conditions. Therefore we investigate the performance of several newly proposed sparsity aware algorithms in these conditions and finally propose an enhanced version of RZA-LMS/F algorithm with variable threshold namely VT-RZA-LMS/F. The results show that this algorithm has better performance than all other algorithms for the next generation channel estimation problems, especially when the non-stationarity gets high. Overall, in this paper for the first time, we estimate a non-stationary Rayleigh fading channel with sparsity aware algorithms and show that by increasing non-stationarity, the estimation performance declines.

• 응용통계연구
• /
• 제29권1호
• /
• pp.27-39
• /
• 2016

본 논문은 다차원의 시계열 자료 분석에서 효율적인 희박벡터자기회귀모형에서의 모수 추정에 대해서 연구한다. 희박벡터자기회귀모형은 영에 가까운 계수를 정확이 영으로 둠으로써 희박성을 확보한다. 따라서 변수 선택과 모수 추정을 한꺼번에 할 수 있는 lasso를 이용한 방법론을 희박벡터자기회귀모형의 추정에 쓸 수 있다. 하지만 Davis 등(2015)에서는 모의실험을 통해 일반적인 lasso의 경우 영이아닌 계수를 참값보다 훨씬 더 많이 찾아 희박성에 약점이 있음을 보고하였다. 이에 따라 본 연구는 희박벡터자기회귀모형에 adaptive lasso를 이용하면 일반 lasso보다 희박성을 비롯한 전반적인 모수의 추정이 매우 유의하게 개선됨을 보인다. 또한 adaptive lasso에서 쓰이는 튜닝 모수들에 대한 선택도 아울러 논의한다.

• 응용통계연구
• /
• 제35권5호
• /
• pp.631-644
• /
• 2022

본 논문은 고차원 시계열 자료에 이상점이 존재하는 경우 희박벡터자기회귀모형(sparse VAR; sVAR)의 모수를 강건하게 추정하는 방법에 대해서 연구하였다. 먼저 Xu 등 (2008)이 독립인 자료에서 밝혔듯이 adaptive lasso 방법이 sVAR 모형에서도 어느 정도의 강건함을 가짐을 모의 실험을 통해 알 수 있었다. 하지만, 이상점의 개수가 증가하거나 이상점의 영향력이 커지는 경우 효율성이 현저히 저하되는 현상도 관찰할 수 있었다. 따라서 이를 개선하기 위해서 최소절대편차(least absolute deviation; LAD)와 Huber 함수를 기반으로 벌점화 시키는 adaptive lasso를 이용하여 sVAR 모형을 추정하는 방법을 본 논문에서는 제안하고 그 성능을 검토하였다. 모의 실험을 통해 제안한 로버스트 추정 방법이 이상점이 존재하는 경우에 모수 추정을 더 정확하게 하고 예측 성능도 뛰어남을 확인했다. 또한 해당 방법론들을 전력사용량 데이터에 적용한 결과 이상점으로 의심되는 시점들이 존재하였고, 이를 고려하여 강건하게 추정하는 제안한 방법론이 더 좋은 예측 성능을 보임을 확인할 수 있었다.

• ETRI Journal
• /
• 제45권3호
• /
• pp.379-393
• /
• 2023

Underwater communication (UWC) is widely used in coastal surveillance and early warning systems. Precise channel estimation is vital for efficient and reliable UWC. The sparse direct-adaptive filtering algorithms have become popular in UWC. Herein, we present an improved adaptive convex-combination method for the identification of sparse structures using a reweighted normalized leastmean-square (RNLMS) algorithm. Moreover, to make RNLMS algorithm independent of the reweighted l₁-norm parameter, a modified sparsity-aware adaptive zero-attracting RNLMS (AZA-RNLMS) algorithm is introduced to ensure accurate modeling. In addition, we present a quantitative analysis of this algorithm to evaluate the convergence speed and accuracy. Furthermore, we derive an excess mean-square-error expression that proves that the AZA-RNLMS algorithm performs better for the harsh underwater channel. The measured data from the experimental channel of SPACE08 is used for simulation, and results are presented to verify the performance of the proposed algorithm. The simulation results confirm that the proposed algorithm for underwater channel estimation performs better than the earlier schemes.

• 대한음성학회지:말소리
• /
• 제67호
• /
• pp.135-147
• /
• 2008

In this paper, we propose a method for source localization in reverberant environments based on an adaptive eigenvalue decomposition (AED) algorithm which directly estimates channel impulse responses from a speaker to microphones. Unfortunately, the AED algorithm may suffer from whitening effects on channels estimated from temporally correlated natural sounds. The proposed method which applies sparse priors to the estimated channels can avoid the temporal whitening and improve the performance of source localization in reverberant environments. Experimental results show the effectiveness of the proposed method.

• KSII Transactions on Internet and Information Systems (TIIS)
• /
• 제10권8호
• /
• pp.3498-3511
• /
• 2016

We investigate the channel state information (CSI) in multi-input multi-output (MIMO) cooperative networks that employ the amplify-and-forward transmission scheme. Least squares and expectation conditional maximization have been proposed in the system. However, neither of these two approaches takes advantage of channel sparsity, and they cause estimation performance loss. Unlike linear channel estimation methods, several compressed channel estimation methods are proposed in this study to exploit the sparsity of the MIMO cooperative channels based on the theory of compressed sensing. First, the channel estimation problem is formulated as a compressed sensing problem by using sparse decomposition theory. Second, the lower bound is derived for the estimation, and the MIMO relay channel is reconstructed via compressive sampling matching pursuit algorithms. Finally, based on this model, we propose a novel algorithm so called sparsity adaptive expectation maximization (SAEM) by using Kalman filter and expectation maximization algorithm so that it can exploit channel sparsity alternatively and also track the true support set of time-varying channel. Kalman filter is used to provide soft information of transmitted signals to the EM-based algorithm. Various numerical simulation results indicate that the proposed sparse channel estimation technique outperforms the previous estimation schemes.

• 한국정보전자통신기술학회논문지
• /
• 제7권2호
• /
• pp.111-116
• /
• 2014

본 연구는 무선통신에서 선형 배열 안테나를 이용하여 원하는 목표물의 도래 방향을 추정 한다. 도래방향 추정은 수신기 배열 안테나에 입사하는 신호들 중에서 원하는 신호를 추정하는 것이다. 본 연구에서는 도래방향 추정을 위한 최적 가중치와 고 분해능 적응 빔 형성 알고리즘과 회소행렬을 사용하여 목표물에 대한 도래방향을 추정 정확도를 향상 시켰다. 모의실험을 통하여 목표물 도래 방향 추정에서 기존의 적응 빔 형성 알고리즘과 제안 알고리즘의 성능을 비교 분석 하였다. 목표물 도래 방향 추정에서 제안한 알고리즘이 기존의 빔형성 알고리즘보다 도래 방향추정 능력이 향상되었다.

• Communications for Statistical Applications and Methods
• /
• 제29권6호
• /
• pp.655-664
• /
• 2022

On the motivation by an integrative study of multi-omics data, we are interested in estimating the structure of the sparse cross correlation matrix of two high-dimensional random vectors. We rewrite the problem as a multiple testing problem and propose a new method to estimate the sparse structure of the cross correlation matrix. To do so, we test the correlation coefficients simultaneously and threshold the correlation coefficients by controlling FRD at a predetermined level α. Further, we apply the proposed method and an alternative adaptive thresholding procedure by Cai and Liu (2016) to the integrative analysis of the protein expression data (X) and the mRNA expression data (Y) in TCGA breast cancer cohort. By varying the FDR level α, we show that the new procedure is consistently more efficient in estimating the sparse structure of cross correlation matrix than the alternative one.

• ETRI Journal
• /
• 제46권3호
• /
• pp.392-403
• /
• 2024

Even though generalized frequency division multiplexing is an alternative waveform method expected to replace the orthogonal frequency division multiplexing in the future, its implementation must alleviate channel effects. Least-squares (LS), a low-complexity channel estimation technique, could be improved by using the discrete Fourier transform (DFT) without increasing complexity. Unlike the usage of the LS method, the DFT-based method requires the receiver to know the channel impulse response (CIR) length, which is unknown. This study introduces a simple, yet effective, CIR length estimator by utilizing LS estimation. As the cyclic prefix (CP) length is commonly set to be longer than the CIR length, it is possible to search through the first samples if CP is larger than a threshold set using the remaining samples. An adaptive scale is also designed to lower the error probability of the estimation, and a simple signal-to-interference-noise ratio estimation is also proposed by utilizing a sparse preamble to support the use of the scale. A software simulation is used to show the ability of the proposed system to estimate the CIR length. Due to shorter CIR length of rural area, the performance is slightly poorer compared to urban environment. Nevertheless, satisfactory performance is shown for both environments.