• 응용통계연구
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• 제34권1호
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• pp.9-23
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• 2021

본 논문에서는 평균장 방법(mean-field methods)을 기반으로 사후 분포(posterior distribution)를 근사하는 방법인 변분 베이즈 방법(variational Bayes methods)에 대해 소개한다. 특히, 모수들을 실수공간으로 변환 후의 결합 사후분포를 가우시안 분포(Gaussian distribution)들의 곱(product)으로 근사하는 방법인 자동 미분 변분 추론(automatic differentiation variational inference)방법에 대해 자세히 소개하고, 환자에게 약물을 투여한 후 시간에 따라 약물의 흐름을 파악하는 연구인 약물동태학 모형(pharmacokinetic models)에 적용한다. 소개된 변분 베이즈 방법을 이용하여 자료분석을 실시하고 마코프 체인 몬테 카를로(Markov chain Monte Carlo)방법을 기초로한 자료분석의 결과와 비교한다. 알고리즘의 구현은 Stan을 이용한다.

• 응용통계연구
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• 제35권4호
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• pp.501-515
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• 2022

두꺼운 꼬리 분포와 레버리지효과 등의 금융시계열의 전형적인 특징에도 불구하고 기존 빈도론적 접근법에서는 이를 명시적으로 포착하는 확률변동성모형이 제시된 바 없다. 본 연구는 빈도론적 접근법에서 수익률 금융시계열의 두꺼운 꼬리 분포와 레버리지효과를 명시적으로 포착할 수 있는 근사적인 확률변동성모형 설정을 제시하고 이에 대한 Langrock 등 (2012)의 HMM근사를 이용한 최우추정을 제안한다. 본 연구는 다양한 모의실험과 실증분석을 통해 본 연구에서 제안하는 근사모형이 두꺼운 꼬리 분포와 레버리지효과를 정밀하고 효과적으로 추정할 수 있음을 보인다.

• Communications for Statistical Applications and Methods
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• 제3권2호
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• pp.249-273
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• 1996

This paper reviews and develops several statistical models for extreme values, based on threshold methodology. Extreme values of a time series are modeled in terms of tails which are defined as truncated forms of original variables, and Markov property is imposed on the tails. Tails of the generalized extreme value distribution and a multivariate extreme value distributively, of the tails of the series. These models are then applied to real ozone data series collected in the Chicago area. A major concern is given to detecting any possible trend in the extreme values.

• 한국국방경영분석학회지
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• 제11권1호
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• pp.111-129
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• 1985

Markov chains with large transition probability matrices occur in many applications such as manpowr models. Under certain conditions the state space of a stationary discrete parameter finite Markov chain may be partitioned into subsets, each of which may be treated as a single state of a smaller chain that retains the Markov property. Such a chain is said to be 'lumpable' and the resulting lumped chain is a special case of more general functions of Markov chains. There are several reasons why one might wish to lump. First, there may be analytical benefits, including relative simplicity of the reduced model and development of a new model which inherits known or assumed strong properties of the original model (the Markov property). Second, there may be statistical benefits, such as increased robustness of the smaller chain as well as improved estimates of transition probabilities. Finally, the identification of lumps may provide new insights about the process under investigation.

• 한국경영과학회:학술대회논문집
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• 대한산업공학회/한국경영과학회 1991년도 춘계공동학술대회 발표논문 및 초록집; 전북대학교, 전주; 26-27 Apr. 1991
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• pp.147-159
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• 1991

Stochastic convexity(concvity) of a stochastic process is a very useful concept for various stochastic optimization problems. In this study we first establish stochastic convexity of a certain class of Markov additive processes through the probabilistic construction based on the sample path approach. A Markov additive process is obtained by integrating a functional of the underlying Markov process with respect to time, and its stochastic convexity can be utilized to provide efficient methods for optimal design or for optimal operation schedule of a wide range of stochastic systems. We also clarify the conditions for stochatic monotonicity of the Markov process, which is required for stochatic convexity of the Markov additive process. This result shows that stochastic convexity can be used for the analysis of probabilistic models based on birth and death processes, which have very wide application area. Finally we demonstrate the validity and usefulness of the theoretical results by developing efficient methods for the optimal replacement scheduling based on the stochastic convexity property.

• 한국멀티미디어학회논문지
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• 제11권6호
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• pp.807-815
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• 2008

A simple efficient method of spotting and recognizing hand gestures in video is presented using a network of hidden Markov models and dynamic programming search algorithm. The description starts from designing a set of isolated trajectory models which are stochastic and robust enough to characterize highly variable patterns like human motion, handwriting, and speech. Those models are interconnected to form a single big network termed a spotting network or a spotter that models a continuous stream of gestures and non-gestures as well. The inference over the model is based on dynamic programming. The proposed model is highly efficient and can readily be extended to a variety of recurrent pattern recognition tasks. The test result without any engineering has shown the potential for practical application. At the end of the paper we add some related experimental result that has been obtained using a different model - dynamic Bayesian network - which is also a type of stochastic model.

• Communications for Statistical Applications and Methods
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• 제29권5호
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• pp.513-532
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• 2022

In this paper, the use of Bayes factors and the deviance information criterion for model selection are compared in a Bayesian accelerated life testing setup. In Bayesian accelerated life testing, the most used tool for model comparison is the deviance information criterion. An alternative and more formal approach is to use Bayes factors to compare models. However, Bayesian accelerated life testing models with more than one stressor often have mathematically intractable posterior distributions and Markov chain Monte Carlo methods are employed to obtain posterior samples to base inference on. The computation of the marginal likelihood is challenging when working with such complex models. In this paper, methods for approximating the marginal likelihood and the application thereof in the accelerated life testing paradigm are explored for dual-stress models. A simulation study is also included, where Bayes factors using the different approximation methods and the deviance information are compared.

• 한국음향학회지
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• 제25권3호
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• pp.144-150
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• 2006

심장병이 있는 환자들을 진료할 때 의사들은 청진기를 이용하여 심음 (heart sound)을 듣고 이를 기준으로 환자의 병의 유무나 질환의 종류에 대한 기초적인 판단을 하게 된다. 하지만, 심음은 환자의 상태나 외부 잡음의 영향에 따라서 신호의 특성이 변하고 또한 정상적인 심음과 질병을 나타내는 심음과의 차이가 비교적 구분하기 어려울 정도로 작기 때문에 숙달된 전문의가 아니면, 진단의 정확도가 떨어질 가능성이 있다. 따라서 신호처리 기법을 이용하여 심음을 분석해서 심음이 정상적인지의 유무를 자동으로 판단할 수 있다면, 진단을 하는 의사들에게 유용한 정보가 될 것이라 생각된다. 본 연구에서는 심음의 질병유무와 질병종류를 자동으로 판단하기 위해서 기존에 많이 사용되었던 artificial neural network (ANN) 대신에 hidden Markov model (HMM)을 사용하는 방법을 제안하였으며, 기초적인 실험결과 상당히 우수한 성능을 보임을 알 수 있었다.

• Journal of Communications and Networks
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• 제1권3호
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• pp.153-157
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• 1999

In this paper, we derive finite-dimensional non-linear fil-ters for optimally reconstructing speech signals in Switched Predic-tion vocoders, Code Excited Linear Prediction(CELP) and Differ-ential Pulse Code Modulation (DPCM). Our filter is an extension of the Hidden Markov filter.

• International Journal of Reliability and Applications
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• 제9권2호
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• pp.167-182
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• 2008

The objective of this paper is to discuss the stochastic analysis and the statistical inference of a three-states semi-Markov reliability model. Using the maximum likelihood procedure, the parameters included in this model are estimated. Based on the assumption that the lifetime and repair time of the system are gener-alized Weibull random variables, the reliability function of this system is obtained. Then, the distribution of the first passage time of this system is derived. Many important special cases are discussed. Finally, the obtained results are compared with those available in the literature.