• Quantitative Bio-Science
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• v.37 no.2
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• pp.133-141
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• 2018

Graphical lasso is one of the most popular methods to estimate a sparse precision matrix, which is an inverse of a covariance matrix. The objective function of graphical lasso imposes an ${\ell}_1$-penalty on the (vectorized) precision matrix, where a tuning parameter controls the strength of the penalization. The selection of the tuning parameter is practically and theoretically important since the performance of the estimation depends on an appropriate choice of tuning parameter. While information criteria (e.g. AIC, BIC, or extended BIC) have been widely used, they require an asymptotically unbiased estimator to select optimal tuning parameter. Thus, the biasedness of the ${\ell}_1$-regularized estimate in the graphical lasso may lead to a suboptimal tuning. In this paper, we propose a two-staged bias-correction procedure for the graphical lasso, where the first stage runs the usual graphical lasso and the second stage reruns the procedure with an additional constraint that zero estimates at the first stage remain zero. Our simulation and real data example show that the proposed bias correction improved on both edge recovery and estimation error compared to the single-staged graphical lasso.

• Proceedings of the Korea Database Society Conference
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• 1999.06a
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• pp.175-186
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• 1999

Detecting the features of significant patterns from their own historical data is so much crucial to good performance specially in time-series forecasting. Recently, a new data filtering method (or multi-scale decomposition) such as wavelet analysis is considered more useful for handling the time-series that contain strong quasi-cyclical components than other methods. The reason is that wavelet analysis theoretically makes much better local information according to different time intervals from the filtered data. Wavelets can process information effectively at different scales. This implies inherent support fer multiresolution analysis, which correlates with time series that exhibit self-similar behavior across different time scales. The specific local properties of wavelets can for example be particularly useful to describe signals with sharp spiky, discontinuous or fractal structure in financial markets based on chaos theory and also allows the removal of noise-dependent high frequencies, while conserving the signal bearing high frequency terms of the signal. To date, the existing studies related to wavelet analysis are increasingly being applied to many different fields. In this study, we focus on several wavelet thresholding criteria or techniques to support multi-signal decomposition methods for financial time series forecasting and apply to forecast Korean Won / U.S. Dollar currency market as a case study. One of the most important problems that has to be solved with the application of the filtering is the correct choice of the filter types and the filter parameters. If the threshold is too small or too large then the wavelet shrinkage estimator will tend to overfit or underfit the data. It is often selected arbitrarily or by adopting a certain theoretical or statistical criteria. Recently, new and versatile techniques have been introduced related to that problem. Our study is to analyze thresholding or filtering methods based on wavelet analysis that use multi-signal decomposition algorithms within the neural network architectures specially in complex financial markets. Secondly, through the comparison with different filtering techniques' results we introduce the present different filtering criteria of wavelet analysis to support the neural network learning optimization and analyze the critical issues related to the optimal filter design problems in wavelet analysis. That is, those issues include finding the optimal filter parameter to extract significant input features for the forecasting model. Finally, from existing theory or experimental viewpoint concerning the criteria of wavelets thresholding parameters we propose the design of the optimal wavelet for representing a given signal useful in forecasting models, specially a well known neural network models.

• Journal of Intelligence and Information Systems
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• v.9 no.1
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• pp.227-249
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• 2003

Prediction of corporate failure using past financial data is a well-documented topic. Early studies of bankruptcy prediction used statistical techniques such as multiple discriminant analysis, logit and probit. Recently, however, numerous studies have demonstrated that artificial intelligence such as neural networks can be an alternative methodology for classification problems to which traditional statistical methods have long been applied. In building neural network model, the selection of independent and dependent variables should be approached with great care and should be treated as model construction process. Irrespective of the efficiency of a teaming procedure in terms of convergence, generalization and stability, the ultimate performance of the estimator will depend on the relevance of the selected input variables and the quality of the data used. Approaches developed in statistical methods such as correlation analysis and stepwise selection method are often very useful. These methods, however, may not be the optimal ones for the development of neural network model. In this paper, we propose a genetic algorithms approach to find an optimal or near optimal input variables fur neural network modeling. The proposed approach is demonstrated by applications to bankruptcy prediction modeling. Our experimental results show that this approach increases overall classification accuracy rate significantly.

• Proceedings of the Korea Inteligent Information System Society Conference
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• 1999.03a
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• pp.175-186
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• 1999

Detecting the features of significant patterns from their own historical data is so much crucial to good performance specially in time-series forecasting. Recently, a new data filtering method (or multi-scale decomposition) such as wavelet analysis is considered more useful for handling the time-series that contain strong quasi-cyclical components than other methods. The reason is that wavelet analysis theoretically makes much better local information according to different time intervals from the filtered data. Wavelets can process information effectively at different scales. This implies inherent support for multiresolution analysis, which correlates with time series that exhibit self-similar behavior across different time scales. The specific local properties of wavelets can for example be particularly useful to describe signals with sharp spiky, discontinuous or fractal structure in financial markets based on chaos theory and also allows the removal of noise-dependent high frequencies, while conserving the signal bearing high frequency terms of the signal. To data, the existing studies related to wavelet analysis are increasingly being applied to many different fields. In this study, we focus on several wavelet thresholding criteria or techniques to support multi-signal decomposition methods for financial time series forecasting and apply to forecast Korean Won / U.S. Dollar currency market as a case study. One of the most important problems that has to be solved with the application of the filtering is the correct choice of the filter types and the filter parameters. If the threshold is too small or too large then the wavelet shrinkage estimator will tend to overfit or underfit the data. It is often selected arbitrarily or by adopting a certain theoretical or statistical criteria. Recently, new and versatile techniques have been introduced related to that problem. Our study is to analyze thresholding or filtering methods based on wavelet analysis that use multi-signal decomposition algorithms within the neural network architectures specially in complex financial markets. Secondly, through the comparison with different filtering techniques results we introduce the present different filtering criteria of wavelet analysis to support the neural network learning optimization and analyze the critical issues related to the optimal filter design problems in wavelet analysis. That is, those issues include finding the optimal filter parameter to extract significant input features for the forecasting model. Finally, from existing theory or experimental viewpoint concerning the criteria of wavelets thresholding parameters we propose the design of the optimal wavelet for representing a given signal useful in forecasting models, specially a well known neural network models.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.32 no.3C
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• pp.338-347
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• 2007

In this paper, a weighted block adaptive channel estimation (WBA-CE) for a space-time block-coded (STBC) single-carrier transmission with a cyclic-prefix is proposed. In operation of the WBA-CE, a STBC matrix-wise block for filter input symbols is first formulated. Applying a weighted a posteriori error vector-based least-square (LS) criterion for this block, the coefficient correction terms of the WBA-CE are then computed. An approximate steady-state excess mean-square error (EMSE) of the WBA-CE for the stationary optimal coefficient is also analyzed. Simulation results show in a time-varying typical urban (TU) channel that the proposed channel estimator provides better bit-error-rate (BER) performances than conventional algorithms such as the NLMS and RLS channel estimators.

• The Korean Journal of Applied Statistics
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• v.23 no.3
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• pp.533-543
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• 2010

Asking sensitive questions by a direct survey method causes non-response bias and response bias. Non-response bias arises from interviewees refusal to respond and response bias arises from giving incorrect responses. To rectify these biases, Warner (1965) introduced a randomized response model which is an alternative survey method for socially undesirable or incriminating behavior questions. The randomized response model is a procedure for collecting the information on sensitive characteristics without exposing the identity of the respondent. Many survey researchers have proposed diverse variants of the Warner randomized response model and applied their model to collect the information of sensitive questions. Using an optimal allocation, we proposed three-stage stratified randomized response technique which is an extension of the Kim and Elam (2005) two-stage stratified randomized response technique. In this study, we showed that the estimator based on the proposed response model is more efficient than Kim and Elam (2005). But by adding one more survey step to the Kim and Elam (2005), our proposed model may have relatively less privacy protection compared to the Kim and Elam (2005) model.

• Journal of Institute of Control, Robotics and Systems
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• v.18 no.5
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• pp.487-495
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• 2012

In this paper, a Smart Home Service Robot, McBot II, which performs mess-cleanup function etc. in house, is designed much more optimally than other service robots. It is newly developed in much more practical system than McBot I which we had developed two years ago. One characteristic attribute of mobile platforms equipped with a set of dependent wheels is their omni- directionality and the ability to realize complex translational and rotational trajectories for agile navigation in door. An accurate coordination of steering angle and spinning rate of each wheel is necessary for a consistent motion. This paper develops trajectory controller of 3-wheels omni-directional mobile robot using fuzzy azimuth estimator. A specialized anthropomorphic robot manipulator which can be attached to the housemaid robot McBot II, is developed in this paper. This built-in type manipulator consists of both arms with 4 DOF (Degree of Freedom) each and both hands with 3 DOF each. The robotic arm is optimally designed to satisfy both the minimum mechanical size and the maximum workspace. Minimum mass and length are required for the built-in cooperated-arms system. But that makes the workspace so small. This paper proposes optimal design method to overcome the problem by using neck joint to move the arms horizontally forward/backward and waist joint to move them vertically up/down. The robotic hand, which has two fingers and a thumb, is also optimally designed in task-based concept. Finally, the good performance of the developed McBot II is confirmed through live tests of the mess-cleanup task.

• 한국태양에너지학회:학술대회논문집
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• 2012.03a
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• pp.419-424
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• 2012

This paper discusses the state-of-the-art techniques in real-time state estimation for the Smart Microgrids. The most popular method used in traditional power system state estimation is a Weighted Least Square(WLS) algorithm which is based on Maximum Likelihood(ML) estimation under the assumption of static system state being a set of deterministic variables. In this paper, we present a survey of dynamic state estimation techniques for Smart Microgrids based on Belief Propagation (BP) when the system state is a set of stochastic variables. The measurements are often too sparse to fulfill the system observability in the distribution network of microgrids. The BP algorithm calculates posterior distributions of the state variables for real-time sparse measurements. Smart Microgrids are modeled as a factor graph suitable for characterizing the linear correlations among the state variables. The state estimator performs the BP algorithm on the factor graph based the stochastic model. The factor graph model can integrate new models for solar and wind correlation. It provides the Smart Microgrids with a way of integrating the distributed renewable energy generation. Our study on Smart Microgrid state estimation can be extended to the estimation of unbalanced three phase distribution systems as well as the optimal placement of smart meters.

• The Korean Journal of Applied Statistics
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• v.26 no.3
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• pp.441-452
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• 2013

This study analyzed the relationship between key film and a box office record success factors based on movies released in the first quarter of 2013 in Korea. An over-fitting problem can happen if there are too many explanatory variables inserted to regression model; in addition, there is a risk that the estimator is instable when there is multi-collinearity among the explanatory variables. For this reason, optimal variable selection based on high explanatory variables in box-office performance is of importance. Among the numerous ways to select variables, LASSO estimation applied by a generalized linear model has the smallest prediction error that can efficiently and quickly find variables with the highest explanatory power to box-office performance in order.

• Journal of Korea Water Resources Association
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• v.33 no.3
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• pp.331-340
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• 2000

This study aims to develop a methodology of real time forecasting of mundation risk based on DAMBRK model and Kalman filter. The model is based on implicit, nonlinear finite difference approximatIons of the one-dimensional dynamic wave equations. The stochastic estimator uses on extended Kalman filter to provide optimal updating estimates. These are accomplished by combining the predictions of the determurustic model with real time observauons modified by the Kalman filter gain ractor. Inundation risks are also estimated by applying Monte Carlo simulation to consider the variability in cross section geometry and Manning's roughness coefficient. The model calibrated by applying to the floods ot South Han River on September, 1990 and August, 1995. The Kalman tilter model indicates that significant improvement compared to deteriministic analysis in flood routing predictions in the river. Overtopping risk of levee is also presented by comparing levee height with simulated flood level. level.