• Journal of the Korean Statistical Society
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• v.23 no.1
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• pp.167-178
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• 1994

To estimate coefficient matrix in autoregressive model, usually ordinary least squares estimator or unconditional maximum likelihood estimator is used. It is unknown that for univariate AR(p) model, unconditional maximum likelihood estimator gives better power property that ordinary least squares estimator in testing for unit root with mean estimated. When autoregressive model contains multiple unit roots and unconditional likelihood function is used to estimate coefficient matrix, the seperation of nonstationary part and stationary part of the eigen-values in the estimated coefficient matrix in the limit is developed. This asymptotic property may give an idea to test for multiple unit roots.

• Communications for Statistical Applications and Methods
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• v.9 no.3
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• pp.639-647
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• 2002

Efforts to obtain more power for unit root tests have continued. Pantula at el.(1994) compared empirical powers of several unit root test statistics and addressed that the weighted symmetric estimator(WSE) and the unconditional maximum likelihood estimator(UMLE) are the best among them. One can easily see that the powers of these two statistics are almost the same. In this paper we explain a connection between WSE and UMLE and suggest a unit root test statistic which may explain the connection between them.

• ETRI Journal
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• v.28 no.6
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• pp.761-769
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• 2006

In this paper, we address the problem of closely spaced source localization using sensor array processing. In particular, the performance efficiency (measured in terms of the root mean square error) of the unconditional maximum likelihood (UML) algorithm for estimating the direction of arrival (DOA) of near-field sources is evaluated. Four parameters are considered in this evaluation: angular separation among sources, signal-to-noise ratio (SNR), number of snapshots, and number of sources (multiple sources). Simulations are conducted to illustrate the UML performance to compute the DOA of sources in the near-field. Finally, results are also presented that compare the performance of the UML DOA estimator with the existing multiple signal classification approach. The results show the capability of the UML estimator for estimating the DOA when the angular separation is taken into account as a critical parameter. These results are consistent in both low SNR and multiple-source scenarios.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.171-180
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• 2016

Basel committee suggests using Value-at-Risk (VaR) and expected shortfall (ES) as a measurement for market risk. Various estimation methods of VaR and ES have been studied in the literature. This paper compares semi-parametric methods, such as conditional autoregressive value at risk (CAViaR) and conditional autoregressive expectile (CARE) methods, and a Gaussian quasi-maximum likelihood estimator (QMLE)-based method through back-testing methods. We use unconditional coverage (UC) and conditional coverage (CC) tests for VaR, and a bootstrap test for ES to check the adequacy. A real data analysis is conducted for S&P 500 index and Hyundai Motor Co. stock price index data sets.