• Journal of the Korean Statistical Society
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• 제28권1호
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• pp.93-106
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• 1999

In this paper we consider estimation of a real valued parameter in the drift coefficient of a Hilbert space valued Ito stochastic differential equation. First we consider observation of the corresponding diffusion in a fixed time interval [0, T] and prove the Bernstein - von Mises theorem concerning the convergence of posterior distribution of the parameter given the observation, suitably normalised and centered at the MLE, to the normal distribution as Tlongrightarrow$\infty$. As a consequence, the Bayes estimator of the drift parameter becomes asymptotically efficient and asymptotically equivalent to the MLE as Tlongrightarrow$\infty$. Next, we consider observation in a random time interval where the random time is determined by a predetermined level of precision. We show that the sequential MLE is better than the ordinary MLE in the sense that the former is unbiased, uniformly normally distributed and efficient but is latter is not so.

• 한국통계학회:학술대회논문집
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• 한국통계학회 2005년도 춘계 학술발표회 논문집
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• pp.7-12
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• 2005

In this paper, we review the variable-selection properties of LASSO and SCAD in penalized regression. To improve the weakness of SCAD for high noise level, we propose a new penalty function called MSCAD which relaxes the unbiasedness condition of SCAD. In order to compare MSCAD with LASSO and SCAD, comparative studies are performed on simulated datasets and also on a real dataset. The performances of penalized regression methods are compared in terms of relative model error and the estimates of coefficients. The results of experiments show that the performance of MSCAD is between those of LASSO and SCAD as expected.

• Communications for Statistical Applications and Methods
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• 제16권1호
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• pp.209-215
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• 2009

In regression problem, the SCAD estimator proposed by Fan and Li (2001), has many desirable property such as continuity, sparsity and unbiasedness. In this paper, we extend SCAD penalized regression framework to quantile regression and hence, we propose new SCAD penalized quantile estimator on high-dimensions and also present an efficient algorithm. From the simulation and real data set, the proposed estimator performs better than quantile regression estimator with $L_1$ norm.

• 산업경영시스템학회지
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• 제41권1호
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• pp.50-58
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• 2018

Intermittent demand is a demand with a pattern in which zero demands occur frequently and non-zero demands occur sporadically. This type of demand mainly appears in spare parts with very low demand. Croston's method, which is an initiative intermittent demand forecasting method, estimates the average demand by separately estimating the size of non-zero demands and the interval between non-zero demands. Such smoothing type of forecasting methods can be suitable for mid-term or long-term demand forecasting because those provides the same demand forecasts during the forecasting horizon. However, the smoothing type of forecasting methods aims at short-term forecasting, so the estimated average forecast is a factor to decrease accuracy. In this paper, we propose a forecasting method to improve short-term accuracy by improving Croston's method for intermittent demand forecasting. The proposed forecasting method estimates both the non-zero demand size and the zero demands' interval separately, as in Croston's method, but the forecast at a future period adjusted by binomial weight according to occurrence probability. This serves to improve the accuracy of short-term forecasts. In this paper, we first prove the unbiasedness of the proposed method as an important attribute in forecasting. The performance of the proposed method is compared with those of five existing forecasting methods via eight evaluation criteria. The simulation results show that the proposed forecasting method is superior to other methods in terms of all evaluation criteria in short-term forecasting regardless of average size and dispersion parameter of demands. However, the larger the average demand size and dispersion are, that is, the closer to continuous demand, the less the performance gap with other forecasting methods.

• 한국빅데이터학회지
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• 제5권1호
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• pp.97-108
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• 2020

국내 전력산업이 스마트 그리드화 되면서 이로 인해 발생하는 빅데이터를 활용하여 수요관리, 시설물관리, 대고객서비스 등을 위한 빅데이터 플랫폼들이 도입되고 있는 추세이다. 그러나 빅데이터 프로젝트의 속성상 실제로 빅데이터 플랫폼의 활용이 업무 프로세스 상에서 정착되기 위해서는 많은 시간과 업데이트가 필요하다. 따라서 기존에 알려져 있거나 이론적인 평가 방법으로는 초기 빅데이터 플랫폼의 성과를 평가하기는 적절하지 않다. 본 논문에서는 빅데이터의 규모, 다양성, 속도에 따른 정보의 완전성/충분성, 정보의 신뢰성/정확성, 정보의 적합성/관련성, 정보의 상세성/구체성, 정보의 비교가능성, 정보의 불편성, 정보의 적시성 등 특정 정보의 7 가지 품질 측면에서 전력산업에서 초기 빅데이터 플랫폼의 성과를 평가하는 방법론을 제시한다.