• Journal of the Korean Data and Information Science Society
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• 제28권2호
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• pp.461-471
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• 2017

In this paper we propose a feature selection method identifying important features in the semivarying coefficient model. One important issue in semivarying coefficient model is how to estimate the parametric and nonparametric components. Another issue is how to identify important features in the varying and the constant effects. We propose a feature selection method able to address this issue using generalized cross validation functions of the varying coefficient least squares support vector regression (LS-SVR) and the linear LS-SVR. Numerical studies indicate that the proposed method is quite effective in identifying important features in the varying and the constant effects in the semivarying coefficient model.

• 대한수학회지
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• 제47권2호
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• pp.385-407
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• 2010

To study the relationship between the levels of chemical pollutants and the number of daily total hospital admissions for respiratory diseases and to find the effect of temperature/relative humidity on the admission number, Wong et al. [17] introduced the varying-coefficient single-index model (VCSIM). As pointed out, it is a popular multivariate nonparametric fitting technique. However, the tests of the model have not been very well developed. In this paper, based on the estimators obtained by the local linear technique, the average method and the one-step back-fitting technique in the VCSIM, the generalized likelihood ratio (GLR) tests for varying-coefficient parts on the VCSIM are established. Under the null hypotheses the new proposed GLR tests follow the $\chi^2$-distribution asymptotically with scale constant and degree of freedom independent of the nuisance parameters, known as Wilks phenomenon. Simulations are conducted to evaluate the test procedure empirically. A real example is used to illustrate the performance of the testing approach.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제9권12호
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• pp.4934-4949
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• 2015

The unstable characteristic values of communication signals along with the varying SNR (Signal Noise Ratio) environment make it difficult to identify the modulations of signals. Most of relevant literature revolves around signal recognition under stable SNR, and not applicable for signal recognition at varying SNR. To solve the problem, this research developed a novel communication signal recognition algorithm based on Holder coefficient and cloud theory. In this algorithm, the two-dimensional (2D) Holder coefficient characteristics of communication signals were firstly calculated, and then according to the distribution characteristics of Holder coefficient under varying SNR environment, the digital characteristics of cloud model such as expectation, entropy, and hyper entropy are calculated to constitute the three-dimensional (3D) digital cloud characteristics of Holder coefficient value, which aims to improve the recognition rate of the communication signals. Compared with traditional algorithms, the developed algorithm can describe the signals' features more accurately under varying SNR environment. The results from the numerical simulation show that the developed 3D feature extraction algorithm based on Holder coefficient cloud features performs better anti-noise ability, and the classifier based on interval gray relation theory can achieve a recognition rate up to 84.0%, even when the SNR varies from -17dB to -12dB.

• The Journal of Asian Finance, Economics and Business
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• 제7권10호
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• pp.513-521
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• 2020

In this paper, we have developed a Fama - French five factor model (FF5 model) from Fama & French (2015) by using concept of time-varying coefficient. For a data set, we have used monthly data form Kenneth R. French home page, it include Japan portfolios (classified by using size and book-to-market) and 5 factors from July 1990 to April 2020. The first analysis, we used Augmented Dickey-Fuller test (ADF test) for the stationary test, from the result, all Japan portfolios and 5 factors are stationary. Next analysis, we estimated a coefficient of Fama - French five factor model by using a generalized additive model with a thin-plate spline to create the time-varying coefficient Fama - French five factor model (TV-FF5 model). The benefit of this study is TV-FF5 model which can capture a different effect at different times of 5 factors but the traditional FF5 model can't do it. From the result, we can show a time-varying coefficient in all factors and in all portfolios, for time-varying coefficients of Rm-Rf, SMB, and HML are significant for all Japan portfolios, time-varying coefficients of RMW are positively significant for SM, and SH portfolio and time-varying coefficients of CMA are significant for SM, SH, and BM portfolio.

• Journal of the Korean Data and Information Science Society
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• 제28권5호
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• pp.1167-1177
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• 2017

The censored regression using the pseudo-response variable proposed by Buckley and James has been one of the most well-known models. Recently, the varying coefficient regression model has received a great deal of attention as an important tool for modeling. In this paper we propose a censored varying coefficient regression model using Buckley-James method to consider situations where the regression coefficients of the model are not constant but change as the smoothing variables change. By using the formulation of least squares support vector machine (LS-SVM), the coefficient estimators of the proposed model can be easily obtained from simple linear equations. Furthermore, a generalized cross validation function can be easily derived. In this paper, we evaluated the proposed method and demonstrated the adequacy through simulate data sets and real data sets.

• Journal of the Korean Data and Information Science Society
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• 제27권4호
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• pp.1059-1066
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• 2016

In this paper we propose a robust version of varying coefficient models, which is based on the regularized regression with L1 regularization. We use the iteratively reweighted least squares procedure to solve L1 regularized objective function of varying coefficient model in locally weighted regression form. It provides the efficient computation of coefficient function estimates and the variable selection for given value of smoothing variable. We present the generalized cross validation function and Akaike information type criterion for the model selection. Applications of the proposed model are illustrated through the artificial examples and the real example of predicting the effect of the input variables and the smoothing variable on the output.

• Journal of the Korean Data and Information Science Society
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• 제28권5호
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• pp.971-980
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• 2017

가변계수 회귀모형은 회귀계수의 동적변화를 모형화함으로써 종속변수와 입력변수의 관계에 대한 쉬운 해석이 가능하고 회귀계수의 변동성도 추정할 수 있는 장점을 지니고 있으므로, 여러 과학 분야에서 많은 주목을 받고 있다. 본 논문에서 입력변수와 출력변수의 오차를 효과적으로 고려한 가변계수 오차모형을 제안한다. 가변계수가 평활변수의 알려지지 않은 형태의 비선형함수이므로 이를 추정하기 위하여 커널 방법을 사용한다. 제안된 모형의 성능에 영향을 미치는 초모수의 최적값을 구하기 위하여 일반화 교차타당성 방법 또한 제안한다. 제안된 방법은 모의자료와 실제자료를 이용한 수치적 연구를 통하여 평가된다.

• Communications for Statistical Applications and Methods
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• 제19권6호
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• pp.809-817
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• 2012

We propose a semiparametric inference for a generalized varying coefficient partially linear model(VCPLM) for negative binomial data. The VCPLM is useful to model real data in that varying coefficients are a special type of interaction between explanatory variables and partially linear models fit both parametric and nonparametric terms. The negative binomial distribution often arise in modelling count data which usually are overdispersed. The varying coefficient function estimators and regression parameters in generalized VCPLM are obtained by formulating a penalized likelihood through smoothing splines for negative binomial data when the shape parameter is known. The performance of the proposed method is then evaluated by simulations.

• 한국소음진동공학회논문집
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• 제11권5호
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• pp.83-88
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• 2001

The sound absorption coefficient of glass wool (bulk density of 48 kg/m:1 and 32 kg/m7) was measured by reverberation room method as varying their cross-sectional area. The results show that the absorption is larger for smaller samples because of edge effect. The absorption coefficient with two different kinds of sources. 1/.7-octave band and while noise, gives similar values.

• 한국해안·해양공학회논문집
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• 제36권1호
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• pp.20-36
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• 2024

요 지 : 본 연구에서는 먼저 우리나라 해역별 해양환경 특성이 담긴 장기 파랑 관측자료로부터 Goda 모형을 활용하여 파력과 양력 시계열자료를 생성하였다. 이어 이렇게 생성된 시계열자료부터 Three-parameter Weibull distribution에 기반한 파력과 양력 확률모형을 개발하였다. 해역별로 다른 우리나라 해양환경은 파력과 양력 확률모형 모수에서도 그 차이를 확연하게 드러내었다. 충분히 발달한 풍성 파가 우월한 남해안의 경우 큰 Scale Coefficient, 작은 Location Coefficient, 1.3 전후의 Shape Coefficient로 특정되는 것을 확인하였다. 이에 비해 파랑의 성장이 취송거리에 의해 제한되는 서해를 마주하고 있는 군산의 경우 작은 Scale Coefficient, 큰 Location Coefficient, 2.0 전후의 Shape Coefficient로 특정되었다. 서해와 남해가 만나는 해역을 마주하고 있는 목포의 경우 작은 Scale Coefficient, 큰 Location Coefficient, 제일 작은 Shape Coefficient를 지녀 남해와 서해의 해양환경이 혼재한다는 사실도 확인할 수 있었다.