• 한국운동역학회지
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• 제28권2호
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• pp.127-134
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• 2018

Objective: In a statistical linear model estimating the center of rotation of a human hip joint, which is the parameter related to the mean of response vectors, assumptions of homoscedasticity and independence of position vectors measured repeatedly over time in the model result in an inefficient parameter. We, therefore, should take into account the variance-covariance structure of longitudinal responses. The purpose of this study was to estimate the efficient center of rotation vector of the hip joint by using covariance pattern models. Method: The covariance pattern models are used to model various kinds of covariance matrices of error vectors to take into account longitudinal data. The data acquired from functional motions to estimate hip joint center were applied to the models. Results: The results showed that the data were better fitted using various covariance pattern models than the general linear model assuming homoscedasticity and independence. Conclusion: The estimated joint centers of the covariance pattern models showed slight differences from those of the general linear model. The estimated standard errors of the joint center for covariance pattern models showed a large difference with those of the general linear model.

• 한국경영과학회지
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• 제39권4호
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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.

• 대한전자공학회:학술대회논문집
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• 대한전자공학회 2002년도 ITC-CSCC -1
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• pp.18-21
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• 2002

We present a phase covariance model that can well represent stimulus intensity as well af feature binding (i.e., covariance). The model is represented by complex neural equations, which is a mean field model of stochastic neural model such as Boltzman machine and sigmoid belief networks.

• Journal of the Korean Data and Information Science Society
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• 제28권4호
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• pp.927-936
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• 2017

To analyze longitudinal count data, Poisson linear mixed models are commonly used. In the models the random effects covariance matrix explains both within-subject variation and serial correlation of repeated count outcomes. When the random effects covariance matrix is assumed to be misspecified, the estimates of covariates effects can be biased. Therefore, we propose reasonable and flexible structures of the covariance matrix using autoregressive and moving average Cholesky decomposition (ARMACD). The ARMACD factors the covariance matrix into generalized autoregressive parameters (GARPs), generalized moving average parameters (GMAPs) and innovation variances (IVs). Positive IVs guarantee the positive-definiteness of the covariance matrix. In this paper, we use the ARMACD to model the random effects covariance matrix in Poisson loglinear mixed models. We analyze epileptic seizure data using our proposed model.

• 응용통계연구
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• 제27권5호
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• pp.755-771
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• 2014

등방성(isotropy)은 공분산 모형(covariance model)에 기반으로 공간 예측(spatial prediction)이라 불리우는 크리깅(kriging) 을 용이하게 수행하기 위한 주요 가정 중의 하나로 알려져있다. 공간 과정에서 등방성이 충족되지 않는 경우에는, 보다 신뢰성 예측을 생성하기 위해 비등방성 공분산 모형(covariance model)과 관련된 모수들(각도 및 비율)를 추정해야 한다. 본 논문에서는 여러 방향의 기하학적 비등방성 모형(geometrically anisotropic covariance models)의 가중 평균으로 표현되는 확장된 형태의 기하학적 비등방성(geometrically extended anisotropic) 공분산모형을 제안한다. 연구에 관심이 되는 모수를 추정하기 위해 최대우도추정법(maximum likelihood estimation method)을 이용하였다. 제안한 모형의 성능을 평가하기 위해 등방성 공분산모형과 기하학적 비등방성 모형을 고려한 모의실험을 수행하였다. 또한 확장된 기하학적 비등방성 모형을 적용한 미세먼지 농도자료 분석을 실시하였다.

• Journal of the Korean Statistical Society
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• 제33권2호
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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.

• Journal of the Korean Data and Information Science Society
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• 제14권2호
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• pp.313-323
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• 2003

For the growth curve model with arbitrary covariance structure, known as unstructured covariance matrix, the problems of detecting outliers are discussed in this paper. In order to detect outliers in the growth curve model, the test statistics using U-distribution is established. After detecting outliers in growth curve model, we test homo and/or hetero-geneous covariance matrices using PSR Quasi-Bayes Criterion. For illustration, one numerical example is discussed, which compares between before and after outlier deleting.

• 대기
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• 제23권1호
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• pp.33-37
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• 2013

In meteorology, exploitation of Kalman filter as a data assimilation system is virtually impossible due to simultaneous requirements of adjoint model and large computer resource. The other substitute of utilizing ensemble Kalman filter is only affordable by compensating an enormous usage of computing resource. Furthermore, the latter employs ensemble integration sets for evolving the background error covariance matrix by compensating the dynamical feature of the temporal evolution of weather conditions. We propose a new implementation method that works without the adjoint model by utilizing the explicit expression of the background error covariance matrix in backward evolution. It will also break a barrier in the evolution of the covariance matrix. The method may be applied with a slight modification to the real time assimilation or the retrospective analysis.

• 말소리와 음성과학
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• 제1권1호
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• pp.69-73
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• 2009

This paper proposes an efficient global covariance-based principal component analysis (GCPCA) for speaker identification. Principal component analysis (PCA) is a feature extraction method which reduces the dimension of the feature vectors and the correlation among the feature vectors by projecting the original feature space into a small subspace through a transformation. However, it requires a larger amount of training data when performing PCA to find the eigenvalue and eigenvector matrix using the full covariance matrix by each speaker. The proposed method first calculates the global covariance matrix using training data of all speakers. It then finds the eigenvalue matrix and the corresponding eigenvector matrix from the global covariance matrix. Compared to conventional PCA and Gaussian mixture model (GMM) methods, the proposed method shows better performance while requiring less storage space and complexity in speaker identification.

• Communications for Statistical Applications and Methods
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• 제25권1호
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• pp.61-70
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• 2018

Modeling of the random effects covariance matrix in generalized linear mixed models (GLMMs) is an issue in analysis of longitudinal categorical data because the covariance matrix can be high-dimensional and its estimate must satisfy positive-definiteness. To satisfy these constraints, we consider the autoregressive and moving average Cholesky decomposition (ARMACD) to model the covariance matrix. The ARMACD creates a more flexible decomposition of the covariance matrix that provides generalized autoregressive parameters, generalized moving average parameters, and innovation variances. In this paper, we analyze longitudinal count data with overdispersion using GLMMs. We propose negative binomial loglinear mixed models to analyze longitudinal count data and we also present modeling of the random effects covariance matrix using the ARMACD. Epilepsy data are analyzed using our proposed model.