• Journal of the Korean Data and Information Science Society
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• 제9권2호
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• pp.219-225
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• 1998

The parameters in linear models with censored normal responses are usually estimated by the iterative maximum likelihood and least square methods. However, the iterative least square method is simple but hardly has theoretical justification, and the iterative maximum likelihood estimating equations are complicatedly derived. In this paper, we justify these methods via Wedderburn (1974)'s quasi-likelihood approach. This provides an explicit justification for the iterative least square method and also directly the iterative maximum likelihood method for estimating the regression coefficients.

• 한국경영과학회지
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• 제38권1호
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• pp.201-216
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• 2013

Diffusion is a basic mathematical tool for modern financial engineering. The theory of the estimation methods for diffusion models is an important topic of the financial engineering. Many researches have been tried to apply the likelihood estimation method for estimating diffusion models. However, the likelihood estimation method for diffusion is complicated and needs much amount of computing. In this paper we develop the estimation methods which are simple enough to be compared to the Euler approximation method, and efficient enough statistically to be compared to the likelihood estimation method. We devise pseudo-likelihood and propose the maximum pseudo-likelihood estimation methods. The pseudo-likelihoods are obtained by approximating the transition density with normal distributions. The means and the variances of the distributions are obtained from the delta expansion suggested by Lee, Song and Lee (2012). We compare the newly suggested estimators with other existing estimators by simulation study. From the simulation study we find the maximum pseudo-likelihood estimator has very similar properties with the maximum likelihood estimator. Also the maximum pseudo-likelihood estimator is easy to apply to general diffusion models, and can be obtained by simple numerical steps.

• Journal of the Korean Statistical Society
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• 제9권1호
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• pp.13-29
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• 1980

The statistical theory of factor analysis is briefly reviewed with emphasis on the maximum-likelihood method. A modified version of Joreskog(1975) is used for the implementation of the maximum-likelihood method. For the minimization of the conditional minimum function, an adaptive Newton-Raphson method is applied.

• Journal of the Korean Data and Information Science Society
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• 제20권5호
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• pp.895-903
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• 2009

The penalized partial likelihood based on restricted maximum likelihood method has been widely used for the inference of frailty models. However, the standard-error estimate for frailty parameter estimator can be downwardly biased. In this paper we show that such underestimation can be corrected by using hierarchical likelihood. In particular, the hierarchical likelihood gives a statistically efficient procedure for various random-effect models including frailty models. The proposed method is illustrated via a numerical example and simulation study. The simulation results demonstrate that the corrected standard-error estimate largely improves such bias.

• Communications for Statistical Applications and Methods
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• 제27권1호
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• pp.97-108
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• 2020

This paper compares several methods for estimating parameters of normal inverse Gaussian distribution. Ordinary maximum likelihood estimation and the method of moment estimation often do not work properly due to restrictions on parameters. We examine the performance of adjusted estimation methods along with the ordinary maximum likelihood estimation and the method of moment estimation by simulation and real data application. We also see the effect of the initial value in estimation methods. The simulation results show that the ordinary maximum likelihood estimator is significantly affected by the initial value; in addition, the adjusted estimators have smaller root mean square error than ordinary estimators as well as less impact on the initial value. With real datasets, we obtain similar results to what we see in simulation studies. Based on the results of simulation and real data application, we suggest using adjusted maximum likelihood estimates with adjusted method of moment estimates as initial values to estimate the parameters of normal inverse Gaussian distribution.

• Communications for Statistical Applications and Methods
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• 제26권4호
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• pp.371-383
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• 2019

Panel data sets have been developed in various areas, and many recent studies have analyzed panel, or longitudinal data sets. Maximum likelihood (ML) may be the most common statistical method for analyzing panel data models; however, the inference based on the ML estimate will have an inflated Type I error because the ML method tends to give a downwardly biased estimate of variance components when the sample size is small. The under estimation could be severe when data is incomplete. This paper proposes the restricted maximum likelihood (REML) method for a random effects panel data model with a censored dependent variable. Note that the likelihood function of the model is complex in that it includes a multidimensional integral. Many authors proposed to use integral approximation methods for the computation of likelihood function; however, it is well known that integral approximation methods are inadequate for high dimensional integrals in practice. This paper introduces to use the moments of truncated multivariate normal random vector for the calculation of multidimensional integral. In addition, a proper asymptotic standard error of REML estimate is given.

• Journal of Information Technology Applications and Management
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• 제24권1호
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• pp.25-32
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• 2017

For repairable software systems, the Mean Time Between Failure (MTBF) is used as a measure of software system stability. Therefore, the evaluation of software reliability requirements or reliability characteristics can be applied MTBF. In this paper, we want to compare MTBF in terms of parameter estimation using Makeham life distribution. The parameter estimates used the least square method which is regression analyzer method and the maximum likelihood method. As a result, the MTBF using the least square method shows a non-decreased pattern and case of the maximum likelihood method shows a non-increased form as the failure time increases. In comparison with the observed MTBF, MTBF using the maximum likelihood estimation is smallerd about difference of interval than the least square estimation which is regression analyzer method. Thus, In terms of MTBF, the maximum likelihood estimation has efficient than the regression analyzer method. In terms of coefficient of determination, the mean square error and mean error of prediction, the maximum likelihood method can be judged as an efficient method.

• Communications for Statistical Applications and Methods
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• 제25권6호
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• pp.647-658
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• 2018

In this paper, we study statistical inferences on the maximum likelihood estimation of a normal distribution when data are randomly censored. Likelihood equations are derived assuming that the censoring distribution does not involve any parameters of interest. The maximum likelihood estimators (MLEs) of the censored normal distribution do not have an explicit form, and it should be solved in an iterative way. We consider a simple method to derive an explicit form of the approximate MLEs with no iterations by expanding the nonlinear parts of the likelihood equations in Taylor series around some suitable points. The points are closely related to Kaplan-Meier estimators. By using the same method, the observed Fisher information is also approximated to obtain asymptotic variances of the estimators. An illustrative example is presented, and a simulation study is conducted to compare the performances of the estimators. In addition to their explicit form, the approximate MLEs are as efficient as the MLEs in terms of variances.

• 한국정보통신학회논문지
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• 제11권1호
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• pp.1-6
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• 2007

본 논문에서는 AWGN 채널 환경에서 likelihood 함수를 사용하여 변조 신호를 구분하는 새로운 구조의 변조 신호 구분 방식을 제안한다. 제안된 방식은 각 변조 신호가 전송된다는 가정하에 likelihood 함수를 사용하지만 기존의 maximum likelihood 방식보다 더 양호한 특성을 갖는다. 기존의 maximum likelihood 방식은 구조의 복잡성과 위상 및 주파수 옵?V을 갖는 채널에서 변조 신호 구분 성능이 열화되는 특성을 갖는다. 제안된 방식은 기존 방식의 impaired 채널 환경에서의 열화 성능을 보완하는 간단한 구조의 blind 변조 구분 성능을 제공한다. 제안된 방식은 위상 및 주파수 옵?V을 갖는 채널 환경에서 기존의 maximum likelihood 방식과 성능을 모의 실험하여 비교 분석 되었다. 제안된 방식의 변조 신호 구분의 정확성은 실험 결과에서 기존 방식보다 더 양호한 성능을 보였으며, 단순한 계산 방식으로 보다 더 간단한 구조를 갖는다.

• 수산해양기술연구
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• 제46권3호
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• pp.223-231
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• 2010

This paper showed the difference between the selectivity of gill net by least square method with polynomials in Kitahara's and that by maximum likelihood analysis for Japanese sandfish and Korean flounder. Catch experiments for Japanese sandfish using commercial vessels off the eastern coast of Korea were conducted with six different mesh sizes between October and December 2007 and those for Korean flounder with five different mesh sizes between 2008 and 2009. The mesh size of 50% probability of catch corresponding to biological maturity length of fish was not different between that by least square method and that by maximum likelihood analysis for Japanese sandfish, however, a little different for Korean flounder, that is, those mesh sizes of 50% probability of catch for biological maturity length of Korean flounder were 10.6cm and 10.1cm by least square method and maximum likelihood analysis, respectively.