• The Korean Journal of Applied Statistics
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• v.35 no.4
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• pp.501-515
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• 2022

Despite the stylized statistical features of returns of financial returns such as fat-tailed distribution and leverage effect, no stochastic volatility models that can explicitly capture these features have been presented in the existing frequentist approach. we propose an approximate parameterization of stochastic volatility models that can explicitly capture the fat-tailed distribution and leverage effect of financial returns and a maximum likelihood estimation of the model using Langrock et al. (2012)'s hidden Markov model approximation in a frequentist approach. Through extensive simulation experiments and an empirical analysis, we present the statistical evidences validating the efficacy and accuracy of proposed parameterization.

• The Journal of the Acoustical Society of Korea
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• v.27 no.3
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• pp.119-128
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• 2008

This paper analyzes the relationship between two representative statistical methods for bandwidth extension (BWE): Gaussian Mixture Model (GMM) and Hidden Markov Model (HMM) ones, and compares their performances. The HMM method is a memory-based system which was developed to take advantage of the inter-frame dependency of speech signals. Therefore, it could be expected to estimate better the transitional information of the original spectra from frame to frame. To verify it, a dynamic measure that is an approximation of the 1st-order derivative of spectral function over time was introduced in addition to a static measure. The comparison result shows that the two methods are similar in the static measure, while, in the dynamic measure, the HMM method outperforms explicitly the GMM one. Moreover, this difference increases in proportion to the number of states of HMM model. This indicates that the HMM method would be more appropriate at least for the 'blind BWE' problem. On the other hand, nevertheless, the GMM method could be treated as a preferable alternative of the HMM one in some applications where the static performance and algorithm complexity are critical.

• Journal of KIISE:Software and Applications
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• v.31 no.3
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• pp.379-386
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• 2004

Video segmentation is a fundamental task in video indexing and it includes two kinds of shot change detections such as the abrupt transition and the gradual transition. The abrupt shot boundaries are detected by computing the image-based distance between adjacent frames and comparing this distance with a pre-determined threshold value. However, the gradual shot boundaries are difficult to detect with this approach. To overcome this difficulty, we propose the method that detects gradual transition in the MPEG compressed video using the HMM (Hidden Markov Model). We take two different HMMs such as a discrete HMM and a continuous HMM with a Gaussian mixture model. As image features for HMM's observations, we use two distinct features such as the difference of histogram of DC images between two adjacent frames and the difference of each individual macroblock's deviations at the corresponding macroblock's between two adjacent frames, where deviation means an arithmetic difference of each macroblock's DC value from the mean of DC values in the given frame. Furthermore, we obtain the DC sequences of P and B frame by the first order approximation for a fast and effective computation. Experiment results show that we obtain the best detection and classification performance of gradual transitions when a continuous HMM with one Gaussian model is taken and two image features are used together.

• The Journal of the Acoustical Society of Korea
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• v.16 no.5
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• pp.112-121
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• 1997

In this paper, we study a model parameter compensation method for noise-robust speech recognition. We study model parameter compensation on a sentence by sentence and no other informations are used. Parallel model combination(PMC), well known as a model parameter compensation algorithm, is implemented and used for a reference of performance comparision. We also propose a modified PMC method which tunes model parameter with an association factor that controls average variability of gaussian mixtures and variability of single gaussian mixture per state for more robust modeling. We obtain a re-estimation solution of environmental variables based on the expectation-maximization(EM) algorithm in the cepstral domain. To evaluate the performance of the model compensation methods, we perform experiments on speaker-independent isolated word recognition. Noise sources used are white gaussian and driving car noise. To get corrupted speech we added noise to clean speech at various signal-to-noise ratio(SNR). We use noise mean and variance modeled by 3 frame noise data. Experimental result of the VTS approach is superior to other methods. The scheme of the zero order VTS approach is similar to the modified PMC method in adapting mean vector only. But, the recognition rate of the Zero order VTS approach is higher than PMC and modified PMC method based on log-normal approximation.