• Journal of the Korean Data and Information Science Society
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• v.23 no.3
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• pp.617-626
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• 2012

Multivariate Shewhart control charts are considered for the simultaneous monitoring the variance-covariance matrix when the joint distribution of process variables is multivariate normal. The performances of the multivariate Shewhart control charts based on control statistic proposed by Hotelling (1947) are evaluated in term of average run length (ARL) for 2 or 4 correlated variables, 2 or 4 samples at each sampling point. The performance is investigated in three cases, that is, the variances, covariances, and variances and covariances are changed respectively.

• The Korean Journal of Applied Statistics
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• v.5 no.2
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• pp.283-292
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• 1992

Updating algorithms are studied for the basic statistics (mean, variance). For a linear model, a recursive formulae for least squares estimators of regression coefficients, residual sum of squares and variance-covariance matrix are also studied. Hotelling's $T^2$ statistics can be calculated recursively using the recursive formulae of mean vector and variance-covariance matrix without computing the sample variance-covariance matrix at each stage.

• Communications for Statistical Applications and Methods
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• v.25 no.1
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• pp.71-78
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• 2018

In this study, we consider the likelihood ratio test for the covariance matrix of the multivariate normal data. For this, we propose a method for obtaining null distributions of the likelihood ratio statistics by the Monte-Carlo approach when it is difficult to derive the exact null distributions theoretically. Then we compare the performance and precision of distributions obtained by the asymptotic normality and the Monte-Carlo method for the likelihood ratio test through a simulation study. Finally we discuss some interesting features related to the likelihood ratio test for the covariance matrix and the Monte-Carlo method for obtaining null distributions for the likelihood ratio statistics.

• The Journal of the Acoustical Society of Korea
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• v.35 no.5
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• pp.395-402
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• 2016

In this paper, a wideband adaptive beamforming approach for an acoustic vector sensor linear array is presented. It is a very important issue to estimate the stable covariance matrix for adaptive beamforming. In the conventional wideband adaptive beamforming based on coherent signal-subspace (CSS) processing, the error of bearing estimates is resulted from the focusing matrix estimation and the large number of data snapshot is necessary. To alleviate the estimation error and snapshot deficiency in estimating covariance matrix, the steered covariance matrix method in the pressure sensor is extended to the vector sensor array, and the subarray technique is incorporated. By this technique, more accurate azimuth estimates and a stable covariance matrix can be obtained with a small number of data snapshot. Through simulation, the azimuth estimation performance of the proposed beamforming method and a wideband adaptive beamforming based on CSS processing are assessed.

• Convergence Security Journal
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• v.8 no.4
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• pp.161-166
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• 2008

This paper proposes a new approach to align 3D data sets by using curvatures of feature surface. We use the Gaussian curvatures and the covariance matrix which imply the physical characteristics of the model to achieve registration of unaligned 3D data sets. First, the physical characteristics of local area are obtained by the Gaussian curvature. And the camera position of 3D range finder system is calculated from by using the projection matrix between 3D data set and 2D image. Then, the physical characteristics of whole area are obtained by the covariance matrix of the model. The corresponding points can be found in the overlapping region with the cross-projection method and it concentrates by removed points of self-occlusion. By the repeatedly the process discussed above, we finally find corrected points of overlapping region and get the optimized registration result.

• The Journal of Korea Institute of Information, Electronics, and Communication Technology
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• v.11 no.6
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• pp.691-696
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• 2018

We propose an algorithm to update weight to use the mean square error method and mutual coupling matrix in a coherent channel. The algorithm proposed in this paper estimates the desired signal by using the updated weight. The updated weight is obtained by covariance matrix using mean square error and mutual coupling matrix. The MUSIC algorithm, which is direction of arrival estimation method, is mostly used in the desired signal estimation. The MUSIC algorithm has a good resolution because it uses subspace techniques. The proposed method estimates the desired signal by updating the weights using the mutual coupling matrix and mean square error method. Through simulation, we analyze the performance by comparing the classical MUSIC and the proposed algorithm in a coherent channel. In this case of the coherent channel for estimating at the three targets (-10o, 0o, 10o), the proposed algorithm estimates all the three targets (-10o, 0o, 10o). But the classical MUSIC algorithm estimates only one target (x, x, 10o). The simulation results indicate that the proposed method is superior to the classical MUSIC algorithm for desired signal estimation.

• Journal of the Korean Operations Research and Management Science Society
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• v.39 no.4
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• pp.137-152
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• 2014

In this paper, I suggest several techniques to estimate covariance matrix and compare the performance of the global minimum variance portfolio (GMVP) in terms of out of sample mean standard deviation and return. As a result, the return differences among the GMVPs are insignificant. The mean standard deviation of the GMVP using historical covariance is sensitive to the estimation window and the number of assets in the portfolio. Among the model covariance, the GMVP using constant systematic risk ratio model or using short sale restriction shows the best performance. The performance difference between the GMVPs using historical covariance and model covariance becomes insignificant as the historical covariance is estimated with longer estimation window. Lastly, the implied volatilities from ELW prices do not lead to superior performance to the historical variance.

• Wind and Structures
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• v.16 no.5
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• pp.517-540
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• 2013

This paper presents applications of proper orthogonal decomposition in both the time and frequency domains based on both cross spectral matrix and covariance matrix branches to analyze multi-variate unsteady pressure fields on prisms and to study spanwise and chordwise pressure distribution. Furthermore, modification of proper orthogonal decomposition is applied to a rectangular spanwise coherence matrix in order to investigate the spanwise correlation and coherence of the unsteady pressure fields. The unsteady pressure fields have been directly measured in wind tunnel tests on some typical prisms with slenderness ratios B/D=1, B/D=1 with a splitter plate in the wake, and B/D=5. Significance and contribution of the first covariance mode associated with the first principal coordinates as well as those of the first spectral eigenvalue and associated spectral mode are clarified by synthesis of the unsteady pressure fields and identification of intrinsic events inside the unsteady pressure fields. Spanwise coherence of the unsteady pressure fields has been mapped the first time ever for better understanding of their intrinsic characteristics.

• Journal of the Korean Statistical Society
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• v.33 no.2
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• pp.233-244
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• 2004

The influence of observations is investigated in fitting proportional covariance matrices model. Local influence measures are obtained when all parameters or subsets of the parameters are of interest. We will also derive the local influence measure for investigating the influence of observations in testing the proportionality of covariance matrices. A numerical example is given for illustration.

• The Journal of Korean Institute of Electromagnetic Engineering and Science
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• v.21 no.1
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• pp.20-27
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• 2010

In this paper, we presented a signal model of STAP and actual environment of clutter. The novel estimation method of clutter covariance matrix using median value is proposed to overcome serious performance degradation after NHD in nonhomogeneous clutter. Eigen value characteristic is improved through diagonal loading. Target detection ability and SINR loss of the proposed method though MSMI statistic is also compared with conventional method using average value. The simulation results, confirm the proposed method has better performance than others.