• 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.

• Journal of the Korea Safety Management & Science
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• v.10 no.3
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• pp.245-251
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• 2008

The research proposes three ANOVA(Analysis of Variance) tests using expected mean square(EMS) algorithms in various split-plot designs. The variance tests consist of Never-Pool test, Sometimes-Pool test and Always-Pool test. This paper also presents two EMS algorithms such as standard method and easy method. These algorithms are useful to make a decision rule for pooling. Numerical examples are illustrated for various split-plot designs such as split-plot designs, split-split-plot designs, repetition split-plot designs, and nested designs. Pragmatically, the results are summarized and compared with popular ANOVA spreadsheets and data model equations.

• Proceedings of the IEEK Conference
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• 2003.07e
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• pp.2307-2310
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• 2003

In this paper, a method for face recognition based on the wavelet packet decomposition is proposed. In the proposed method, the input image is decomposed by the 2-level wavelet packet transformation and then the face areas are defined by the Integral Projection technique applied to each of the 1-level subband images, HL and LH. After the defined face areas are divided into three areas, called top, bottom, and border, the mean and the variance of the three areas of the approximation image are computed, and the variance of the single predetermined face area for the rest of 15 detail images, from which the feature vectors of statistical measure are extracted. In this paper we use the wavelet packet decomposition, a generalization of the classical wavelet decomposition, to obtain its richer signal analysis features such as discontinuity in higher derivatives, self-similarity, etc. And we have shown that even with very simple statistical features such as mean values and variance we can make an excellent basis for face classification, if an appropriate probability distance is used.

• The Korean Journal of Applied Statistics
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• v.25 no.4
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• pp.681-695
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• 2012

In this paper, a family of estimators for the finite population variance investigated by Srivastava and Jhajj (1980) is studied under two different situations of random non-response considered by Tracy and Osahan (1994). Asymptotic expressions for the biases and mean squared errors of members of the proposed family are obtained; in addition, an asymptotic optimum estimator(AOE) is also identified. Estimators suggested by Singh and Joarder (1998) are shown to be members of the proposed family. A correction to the Singh and Joarder (1998) results is also presented.

• The Korean Journal of Nuclear Medicine
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• v.21 no.2
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• pp.143-150
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• 1987

To assess the analytic performance of immunoradiometric TSH assay (IRMA TSH), assay precision determined by intra and interassay variance, assay accuracy determined by dilution and recovery study, were evaluated by using two commercial kit $(Abott^{(R)}\;and\;Daichi^{(R)})$. Normal range of basal serum TSH and TRH stimulated TSH increment were also determined in 234 healthy subjects (male 110, female 124; age 20-70) and 30 voluteers (male 10, female 20; age 21-26). In addition, basal TSH levels of 70 patients with untreated hyperthyroidism, 50 untreated hypothyroidism, and 60 euthyroidism were measured to assess the clinical utility of IRMA TSH. The detection limit of IRMA TSH was 0.04 mU/l and 0.08 mU/l by Abott Kit and Daichi kit respectively. Using Abott kit, intra assay variance were 2.0, 3.1 and 1.4% in mean TSH concentration 2.4, 31.6 and 98.2 mU/l repectively and interassay variance were 2.0 and 3.2% in mean TSH concentration 2.3 and 31.3 mU/l. Mean recovery rate was 92.5% and dilution study showed nearly straight line. When Daichi kit was used, intrasssay variance were 5.6, 5.2 and 6.2% in mean TSH concentration of 2.4, 31.6 and 98.2 mU/l respectively and interassay variance were 7.1 and 7.4% in mean TSH of 2.3 and 31.3 mU/l. Mean recoveray rate was 89.9%. Normal range of basal TSH and TRH stimulated peak TSH were 0.38-4.02 mU/l and 2.85-30.8 mU/l repectively (95% confidence interval, Abott kit used). Sensitivity and specificity of basal TSH levels for diagnosing hypothyroidism as well as specificity for diagnosing hyperthyroidism were 100% by using both kit. Sensitivity of basal TSH level for diagnosing hyperthyroidism was 100% when TSH levels were measured by Abott kit while that was 80.9% when measured by Daichi kit. These results suggest that IRMA TSH was very precise and accurate method and might be used as a first line test in the evaluation of thyroid function.

• Journal of the Korean Data and Information Science Society
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• v.22 no.3
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• pp.381-387
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• 2011

This paper suggests a method for estimating components of variance in one-factor random model. Estimates of variance components are given by the method of moments. Sums of squares due to variance sources are obtained by projections. This paper also shows how to use eigenvalues for getting the coefficients of variance components in the expression of the expectations of the mean squares. The suggested method shows easier and faster than the method of Harley's synthesis.

• The Korean Journal of Applied Statistics
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• v.26 no.6
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• pp.1033-1041
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• 2013

In this paper, we investigate several variance estimators for pps systematic sampling. Unfortunately, there is no unbiased variance estimators for a systematic sample because systematic sampling can be regarded as a random selection of one cluster. This study provides guidance on which variance estimator may be more appropriate than others in several circumstances. We judge the efficiency of variance estimators for systematic sampling based on of their relative biases and relative mean square error. Also, we investigate variance estimation problems for two-stage systematic sampling applied for the Food Raw Material Consumption Survey and the Establishment Labor Force Survey simulation study, in order to consider the popular two-stage pps systematic sample design for establishment and household survey in Korea.

• Transactions of the Korean Society of Mechanical Engineers A
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• v.34 no.5
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• pp.541-547
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• 2010

The rigorous validation of the accuracy of metamodels is an important topic in research on metamodel techniques. Although a leave-k-out cross-validation technique involves a considerably high computational cost, it cannot be used to measure the fidelity of metamodels. Recently, the mean$_0$ validation technique has been proposed to quantitatively determine the accuracy of metamodels. However, the use of mean$_0$ validation criterion may lead to premature termination of a sampling process even if the kriging model is inaccurate. In this study, we propose a new validation technique based on the mean and variance of the response evaluated when sequential sampling method, such as maximum entropy sampling, is used. The proposed validation technique is more efficient and accurate than the leave-k-out cross-validation technique, because instead of performing numerical integration, the kriging model is explicitly integrated to accurately evaluate the mean and variance of the response evaluated. The error in the proposed validation technique resembles a root mean squared error, thus it can be used to determine a stop criterion for sequential sampling of metamodels.

• The Korean Journal of Applied Statistics
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• v.22 no.2
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• pp.387-402
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• 2009

In this paper we have considered the problem of estimating the population mean $\bar{Y}$ of the study variable y using auxiliary information in presence of non-response. Classes of estimators for $\bar{Y}$ in the presence of non-response on the study variable y only and complete response on the auxiliary variable x is available, have been proposed in different situations viz., (i) population mean $\bar{X}$ is known, (ii) when population mean $\bar{X}$ and variance $S^2_x$ are known; (iii) when population mean $\bar{X}$ is not known: and (iv) when both population mean $\bar{X}$ and variance $S^2_x$ are not known: single and two-phase (or double) sampling. It has been shown that various estimators including usual unbiased estimator and the estimators reported by Rao (1986), Khare and Srivastava (1993, 1995) and Tabasum and Khan (2006) are members of the proposed classes of estimators. The optimum values of the first phase sample size n', second phase sample size n and the sub sampling fraction 1/k have been obtained for the fixed cost and the fixed precision. To illustrate foregoing, we have carried out an empirical investigation to reflect the relative performance of all the potentially competing estimators including the one due to Hansen and Hurwitz (1946) estimator, Rao (1986) estimator, Khare and Srivastava (1993, 1995) and Tabasum and Khan (2006) estimator.

• Korean Journal of Cognitive Science
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• v.10 no.3
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• pp.39-49
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• 1999

The space of IID([ndependently, Identically Distributed) textures was built with axes of mean luminance and contrast, and studied on what kind of mechanisms were required to mediate texture segregation in this space. The conjecture was tested that one of these mechanisms is sensitive to the differences between the means of textures to be discriminated, whereas the other is sensitive to the differences between variances. The probability of discrimination was measured for various pairs of textures in the lID space The data were well fit by a model in which discrimination depends on two mechanisms whose responses are combined by probability summation. The conjecture was rejected that two mechanisms respectively tuned to mean and variance of texture function in segregation. Discrimination within space is mediated by 2 independent channels however: the 2 independent channels are not exactly tuned to texture mean and variance. One m mechanism was primarily sensitive to texture mean, whereas the other was sensitive to b both texture mean and variance.