• The Korean Journal of Applied Statistics
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• v.28 no.5
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• pp.895-906
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• 2015

Diffusion is a mathematical tool to explain the fluctuation of financial assets and the movement of particles in a micro time scale. There are ongoing statistical trials to develop an estimation method for diffusion models based on likelihood. When we estimate diffusion models by applying the maximum likelihood estimation method on data observed at discrete time points, we need to know the transition density of the diffusion. In order to approximate the transition densities of diffusion models, we suggests the method to approximate the path integral of the random process with normal random variables, and compare the numerical properties of the method with other approximation methods.

• Journal of Integrative Natural Science
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• v.5 no.3
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• pp.182-185
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• 2012

In this paper, For 4th generation wireless communication systems, we propose a method to predict FH patterns in FH-OFDMA systems. OFDM is recognized as a promising modulation technique. Multi-user allocation in OFDM system can use FH that provides the spectrum-spread techniques. If one can generate more predictable FH sequences, then performance of the system can be easily improved. Current random FH and simple adaptive FH methods, however, are not considering predicting FH sequences. In this paper we show that the sampling of the wireless faded signal is not realized as a certain probability nature. With this regard, the proposed predictive FH allocation method is designed to embed the unknown probability models. Simulation study shows that the predictive FH method is more accurately predict FH sequences than the random or simple adaptive FH methods. We will further improve this proposed method to apply QoS control and MAC function development in OFDMA based wireless physical structures, especially maritime wireless data communications.

• Proceedings of the IEEK Conference
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• 2002.06d
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• pp.319-322
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• 2002

In this paper, we present a digital authentication technique using content-based watermarking in digital images. To digest the image contents, Hopfield network is employed on the block-based edge image. The Hopfield function extracts the same tit fur similarly looking blocks so that the values are unlikely to change to the innocuous manipulations while being changed far malicious manipulations. By inputting the extracted bit sequence with secret key to the cryptographic hash function, we generate a watermark for each block by seeding a pseudo random number generator with a hash output Therefore, the proposed authentication technique can distinguish between malicious attacks and innocuous attacks. Watermark embedding is based on the block-based spread spectrum method in DCT domain and the strength of watermark is adjusted according to the local statistics of DCT coefficients in a zig-zag scan line in AC subband. The numerical experiments show that the proposed technique is very efficient in the performance of robust authentication.

• Journal of the Korean Statistical Society
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• v.21 no.2
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• pp.139-151
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• 1992

Simultaneous confidence intervals for the parameters in the logistic regression models with random regressors are considered. A method based on the bootstrap and its stochastic approximation will be developed. A key idea in using the bootstrap method to construct simultaneous confidence intervals is the concept of prepivoting which uses the transformation of a root by its estimated cumulative distribution function. Repeated use of prepivoting makes the overall coverage probability asymptotically correct and the coverage probabilities of the individual confidence statement asymptotically equal. This method is compared with ordinary asymptotic methods based on Scheffe's and Bonferroni's through Monte Carlo simulation.

• Journal of the Korean Data and Information Science Society
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• v.18 no.1
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• pp.97-105
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• 2007

We consider a nonparametric additive risk model that is based on splines. This model consists of both purely and smoothly nonparametric components. As an estimation method of this model, we use the weighted least square estimation by Huller and Mckeague (1991). We provide an illustrative example as well as a simulation study that compares the performance of our method with the ordinary least square method.

• Journal of the Korean Institute of Intelligent Systems
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• v.16 no.4
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• pp.499-505
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• 2006

Regularlization approach to regression can be easily found in Statistics and Information Science literature. The technique of regularlization was introduced as a way of controlling the smoothness properties of regression function. In this paper, we have presented a new method to evaluate linear and non-linear fuzzy regression model based on Tanaka's model using the idea of regularlization technique. Especially this method is a very attractive approach to model non -linear fuzzy data.

• Communications for Statistical Applications and Methods
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• v.16 no.6
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• pp.1047-1054
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• 2009

Local smoothing jump detection procedure is a popular method for detecting jump locations and the performance of the jump detector heavily depends on the choice of the bandwidth. However, little work has been done on this issue. In this paper, we propose the bootstrap bandwidth selection method which can be used for any kernel-based or local polynomial-based jump detector. The proposed bandwidth selection method is fully data-adaptive and its performance is evaluated through a simulation study and a real data example.

• 한국데이터정보과학회:학술대회논문집
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• 2006.11a
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• pp.49-50
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• 2006

We consider a nonparametric additive risk model that are based on splines. This model consists of both purely and smoothly nonparametric components. As an estimation method of this model, we use the weighted least square estimation by Huffer and McKeague (1991). We provide an illustrative example as well as a simulation study that compares the performance of our method with the ordinary least square method.

• Journal of the Korean Statistical Society
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• v.29 no.3
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• pp.285-294
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• 2000

In analyzing bivariate date the sample correlation coefficient is often used, and it is quite sensitive to one or few isolated cases. In this article we derive a formula for the effect of $textsc{k}$ observations on the samples correlation coefficient by the deletion method. To give a reference value for the isolated cases the asymptotic distribution fo the formula is derived. Also, we give some interpretations on several types of isolated cases and an example based on a real data set.

• Communications for Statistical Applications and Methods
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• v.20 no.2
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• pp.115-127
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• 2013

This paper provides an effective stock portfolio screening tool for socially responsible investment (SRI) based upon corporate social responsibility (CSR) and financial performance. The proposed approach utilizes nonparametric frontier models. Data envelopment analysis (DEA) has been used to build SRI portfolios in a few previous works; however, we show that free disposal hull (FDH), a similar model that does not assume the convexity of the technology, yields superior results when applied to a stock universe of 253 Korean companies. Over a four-year time span (from 2006 to 2009) the portfolios selected by the proposed method consistently outperform those selected by DEA as well as the benchmark.