• 응용통계연구
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• 제26권5호
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• pp.767-783
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• 2013

일반화적률추정법(GMM)은 금융자료에 대한 모형모수의 추정에 자주 이용되는 방법이다. 특히 GMM은 현대금융 공학 이론의 기본을 이루는 확산모형의 추정에도 매우 자주 사용된다. 그러나 최근의 연구에서 GMM은 확산모형의 모수, 특히 확산계수에 관계되는 모수의 추정에 있어서 그 성능이 좋지 못함이 지적되었다. 본 연구에서는 GMM의 이러한 단점을 개선하기 위한 대안적 방법들을 제시하고 그 통계적 성능을 시뮬레이션 연구를 통해서 비교하게 된다. 이런 과정을 통하여 제안되고 검토된 추정방법들 중, Shoji와 Ozaki (1998)가 제안한 국소선형근사법의 결과를 적용하여 GMM의 성능을 개선한 NGMM-Y 추정량이 매우 우수한 성질을 가지고 있음을 확인하게 된다. 특히 NGMM-Y 추정량은 확산계수에 관계된 모수의 추정에 있어서 비교대상이 된 다른 대안적 GMM 방법들에 비하여 우수한 성질을 가지고 있음을 확인하게 된다.

• Journal of Electrical Engineering and information Science
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• 제3권2호
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• pp.193-201
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• 1998

In this paper, the standard Dole, Glover, Khargoneker, and Francis (abbr. : DGKF 1989) H\ulcorner controller (H\ulcornerC) is extended to the nonlinear feedback linearization-H\ulcorner/sliding mode controller (NFL-H\ulcorner/SMC), to tackle the problem of the unmeasurable state variables as in the conventional SMC, to obtain smooth control as the linearized controller in a linear system, and to improve the time-domain performance under a worst scenario. The proposed controller is obtained by combining the H\ulcorner estimator with the nonlinear feedback linearization-sliding mode controller (NFL-SMC) and it does not need to measure all the state variables as in the traditional SMC. The proposed controller is applied as a nonlinear power system stabilizer (PSS) for the improvement of the power system damping characteristics of an single machine infinite bus system (SMIBS) connected through a double circuit line. The effectiveness of the proposed controller is verified by nonlinear time-domain simulation in case of a 3-cycle line-to-ground fault and in case of the parameter variations for the AVR gain K\ulcorner and for the inertia moment M.

• 응용통계연구
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• 제23권3호
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• pp.609-619
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• 2010

Geostatistical data among spatial data is analyzed in three stages: (1) variogram estimation, (2) model fitting for the estimated variograms and (3) spatial prediction using the fitted variogram model. It is very important to estimate the variograms properly as the first stage(i.e., variogram estimation) affects the next two stages. In general, the variogram is estimated with the moment estimator. To estimate the variogram, we have to decide the 'lag increment' or the 'number of lags'. However, there is no established rule for selecting the number of lags in estimating the variogram. The present paper proposes a method of choosing the optimal number of lags based on the PRESS statistic. To show the usefulness of the proposed method, we perform a small simulation study and show an empirical example with with air pollution data from Korea.

• Communications for Statistical Applications and Methods
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• 제14권3호
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• pp.609-621
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• 2007

Diagnostic test results, which are approximately normal with a few number of outliers, but non-normal probability distribution, are frequently observed in practice. In the evaluation of two diagnostic tests, Greenhouse and Mantel (1950) proposed a parametric test under the assumption of normality but this test is inappropriate for the above non-normal case. In this paper, we propose a computationally simple nonparametric test that is based on quantile estimators of mean and standard deviation, instead of the moment-based mean and standard deviation as in some parametric tests. Parametric and nonparametric tests are compared with simulations under the assumption of, respectively, normality and non-normality, and under various combinations of the probability distributions for the normal and diseased groups.

• 대한전기학회:학술대회논문집
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• 대한전기학회 2006년도 제37회 하계학술대회 논문집 B
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• pp.976-977
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• 2006

선형전동기와 같은 선형운동을 하는 기기에서 원형운동을 하는 경우 속도가 0 이되는 부분에서 비선형적인 마찰력이 작용하며 이로 인한 운동괘적의 외곡 현상이 발생한다. 본 연구에서는 이러한 마찰력을 비롯한 모든 외란을 하나의 비선형적인 외란으로 간주하여 실용적으로 사용할 수 있는 간단한 형태의 외란 관측기를 제시한다. 또한 모든 외란 관측기에서 피할수 없는 문제의 하나인 전동기 관성(모멘트)의 변동 문제를 해결하기 위하여 제한적이지만 매우 효과적으로 관성을 추정해낼 수 있는 새로운 방법을 제안한다.

• 제어로봇시스템학회논문지
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• 제10권8호
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• pp.696-702
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• 2004

An optimal trajectory generation algorithm for capturing a moving object by a mobile robot in real-time is proposed in this paper. The linear and rotational velocities of the moving object are estimated using the Kalman filter, as a state estimator. For the estimation, the moving object is tracked by a 2-DOF active camera mounted on the mobile robot, which enables a mobile manipulator to track the mobile robot until the capturing moment. The optimal trajectory for capturing the moving object is dependent on the initial conditions of the mobile robot as well as the moving object. Therefore, real-time trajectory planning for the mobile robot is definitely required for the successful capturing of the moving object. The performance of proposed algorithm is verified through the real experiments and the superiority is demonstrated by comparing to other algorithms.

• Journal of the Korean Data and Information Science Society
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• 제1권
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• pp.67-76
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• 1990

For a two-parameter Pareto distribution, the uniformly minimum variance unbiased estimateors(UMVUE) for the function of the two parameters are expressed in terms of confluent hypergeometric function. The variance of the UMVUE is also expressed in terms of hypergeometric function of several variables. UMVUE's for the ${\gamma}th$ moment about zero and several useful parametric functions, and their variances are obtained as special cases. The estimators of Baxter(1980) and Saksena and Johnson(1984) are special cases of our estimator.

• 한국지반공학회지:지반
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• 제4권3호
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• pp.19-26
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• 1988

본 논문에서는 기초지반의 부등침하를 해석하기 위하여 추계론적 수치해석 방법을 사용하였다. 부등침하는 토질탄성계수의 공간적 변화와 밀접한 관계를 갖고 있다. Kriging 이론은 탄성계수의 공간적 변화를 설명하기 위하여 사용되었다. 이 방법은 선형최적불편추정기법으로 제한된 자료로 부터 최소의 분산을 가진 추정값을 구할 수 있다. 추계론적 유한요소법을 이용하여 일차근사 2차모멘트 기법으로 변위의 평균값과 분산값 그리고 공분산값을 구한다. 최종적으로 부등침하의 신뢰도모델이 제시되었다. 해석결과 두 기초사이의 거리와 탄성계수의 수평방향 변동거리가 거의 같을 때 최대부 등침하량이 일어난다는 것과 이 때 부등침하량이 허용간을 넋을 확률이 상당히 크다는 것이 밝혀 졌다.

• 전기학회논문지
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• 제56권4호
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• pp.730-738
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• 2007

As well known when the linear machine is operated between two points repeatedly under positioning control, there are various positioning error at the moment of zero speed owing to the non-linear disturbance like as unpredictable friction force. To remove this positioning error, a simple least order disturbance observer is introduced and is actually implemented in this study. Due to this simple algorithm the over-all machine system can be modified to simple arbitrary given one-mass load without any disturbance. So, the total construction process for positioning control system is much easier than old one. Moreover, to generate a proper effective position profile with the limited actual machine force, a very powerful on-line mass identification algorithm using the load force estimator is presented. In the proposed mass identification algorithm, the exact load mass can be calculated during only one moving stage under a normally generated position profile. All presented algorithm is verified with experimental result with commercial linear servo machine system.

• Journal of the Korean Data and Information Science Society
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• 제24권3호
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• pp.651-658
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• 2013

For the marginal model and generalized estimating equations (GEE) method there is important full covariates conditional mean (FCCM) assumption which is pointed out by Pepe and Anderson (1994). With longitudinal data with time-varying stochastic covariates, this assumption may not necessarily hold. If this assumption is violated, the biased estimates of regression coefficients may result. But if a diagonal working correlation matrix is used, irrespective of whether the assumption is violated, the resulting estimates are (nearly) unbiased (Pan et al., 2000).The quadratic inference functions (QIF) method proposed by Qu et al. (2000) is the method based on generalized method of moment (GMM) using GEE. The QIF yields a substantial improvement in efficiency for the estimator of ${\beta}$ when the working correlation is misspecified, and equal efficiency to the GEE when the working correlation is correct (Qu et al., 2000).In this paper, we interest in whether the QIF can improve the results of the GEE method in the case of FCCM is violated. We show that the QIF with exchangeable and AR(1) working correlation matrix cannot be consistent and asymptotically normal in this case. Also it may not be efficient than GEE with independence working correlation. Our simulation studies verify the result.