• Proceedings of the Korean Statistical Society Conference
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• 2005.05a
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• pp.233-238
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• 2005

S${\"{a}}$rndal (1996) and Knottnerus (2003) had a critical look at the well known variance estimator of Sen (1953) and Yates and Grundy (1953) in probability proportional to size sampling. In this paper, we point out that although their approaches can avoid the difficulties in variance estimation with respect to the joint probabilities, there exist the disadvantages in practice. Also, we describe a sampling procedure available in statistical software that are useful for the variance estimation.

• Management Science and Financial Engineering
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• v.19 no.1
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• pp.49-52
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• 2013

In this paper we provide a valuation formula for a variance swap with regime switching. A variance swap is a forward contract on variance, the square of realized volatility of the underlying asset. We assume that the volatility of underlying asset is governed by Markov regime-switching process with finite states. We find that the proposed model can provide ease of calculation and be superior to the models currently available.

• Communications for Statistical Applications and Methods
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• v.17 no.2
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• pp.223-229
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• 2010

We consider the asymptotic results of the variance ratio statistic when the underlying processes have moving average(MA) unit roots. This degenerate situation of zero spectral density near the origin cause the limit of the variance ratio to become zero. Its asymptotic behaviors are different from non-degenerating case, where the convergence rate of the variance ratio statistic is formally derived.

• Communications for Statistical Applications and Methods
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• v.10 no.1
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• pp.79-88
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• 2003

In this paper, we study the efficiency of the stratified estimator in related with the variance lower bound of Horvitz-Thompson estimator subject to the superpopulation model. Especially, we compare the variance lower bound of optimum allocation with that of power allocation subject to Dalenius-Hedges stratification.

• Management & Information Systems Review
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• v.26
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• pp.293-309
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• 2008

This study examined the market efficiency of korea stock market by comparing variance ratios(VR) of stock groups which is sorted by market capitalization. We compute variance ratios of KOSPI large capitalization, midium capitalization, and small capitalization for 546 trading days from 2006/01/02 to 2008/04/15. For our study, we also use high frequency data that is; intra-day 1 minute data. The characteristics of variance ratios of stock groups by market capitalization as follows: From 1 to 5 minute interval, variance ratios of three stock group increase far from zero(0). The longer time interval, the more variance ratios decrease, but only large capitalization converge on around zero. This means that the market of large capitalization is more efficient compare to other stock groups. The entire sample period can be divided two sub-period because the impact of sub prime crisis arised from U.S.A. influences Korea stock market. Before sub prime crisis, the VRs of mid cap and small cap do not converge on around zero except large cap although the time interval is longer. After sub prime crisis, the VRs of three stock groups decrease when time interval is longer, but only large cap converge on around zero. We conclude that large cap is more efficient than other stock groups in Korea Stock Market.

• Earthquakes and Structures
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• v.23 no.2
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• pp.115-128
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• 2022

One common method to select input ground motions to predict dynamic behavior of structures subjected to seismic excitation requires spectral acceleration (S_a) match target mean response spectrum. However, dispersion of ground motions, which explicitly affects the structural response, is rarely discussed in this method. Generally, selecting ground motions matching target mean and variance has been utilized as an appropriate method to predict reliable seismic response. The goal of this paper is to investigate the impact of target spectra variance of ground motions on structural seismic response. Two sets of ground motions with different target variances (zero variance and minimum variance larger than inherent variance of the target spectrum) are selected as input to two different structures. Structural responses at different heights are compared, in terms of peak, mean and dispersion. Results show that increase of target spectra variance tends to increase peak floor acceleration, peak deformation and dispersions of response of interest remarkably. To short-period structures, dispersion increase ratios of seismic response are close to that of S_a of input ground motions at the first period. To long-period structures, dispersions of floor acceleration and floor response spectra increase more significantly at the bottom, while dispersion increase ratios of IDR and deformation are close to that of S_a of input ground motions at the first period. This study could further provide useful information on selecting appropriate ground motion to predict seismic behavior of different types of structures.

• The Korean Journal of Applied Statistics
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• v.30 no.2
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• pp.259-269
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• 2017

Due to the nonnegativity of variance, most of nonparametric estimations of discontinuous variance function have used the Nadaraya-Watson estimation with residuals. By the modification of Chen et al. (2009) and Yu and Jones (2004), Huh (2014, 2016a) proposed the estimators of the log-variance function instead of the variance function using the local linear estimator which has no boundary effect. Huh (2016b) estimated the variance function using the adjusted squared residuals by the estimated jump size in the discontinuous variance function. In this paper, we propose an estimator of the discontinuous log-variance function using the local linear estimator with the adjusted log-squared residuals by the estimated jump size of log-variance function like Huh (2016b). The numerical work demonstrates the performance of the proposed method with simulated and real examples.

• Asian-Australasian Journal of Animal Sciences
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• v.11 no.4
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• pp.441-444
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• 1998

The negative direct-maternal genetic correlation $(r_{dm})$ for weaning weight is inflated when data are analyzed with model ignoring sire-by-year interactions (SY). An analytical study investigating the consequences of ignoring SY was undertaken. The inflation of negative correlation could be due to a functional relationship of design matrices for additive direct and maternal genetic effects to that for sire effects within which SY effects were nested. It was proven that the maternal genetic variance was inflated by the amount of reduction for sire variance; the direct genetic variance was inflated by four times the change for maternal genetic variance; and the direct-maternal genetic covariance was deflated by twice the change for maternal genetic variance. The findings were agreed to the results in previous studies.

• Journal of Korean Society for Quality Management
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• v.33 no.3
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• pp.149-155
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• 2005

Cusum control chart is used for the purpose of controling the process mean. We consider the problem related to cusum chart for controling process variance. Previous researches have considered the same problem. The main difficulty shown in the related researches was to derive the ARL function which characterizes the properties of the chart. Sample variance, differently with sample mean, follows chi-squared type distribution, even when the quality characteristics are assumed to be normally distributed. The ARL function of cusum is described by a type of integral equation. Since the solution of the integral equation for non-normal distribution is not known well, people used simulation method instead of solving the integral equation directly, or approximation method by taking logarithm of the sample variance. Recently a new method to solve the integral equation for Erlang distribution was published. Here we consider the steps to apply the solution to the problem of controling process variance.

• Proceedings of the KSRS Conference
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• 2004.10a
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• pp.574-576
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• 2004

Since variance of noise is important parameter for a noise filter to reduce noise in image and the performance of noise filter is dependent on estimated variance. In this paper, we apply additive noise variance estimation method to estimate variance of speckle noise of synthetic aperture radar (SAR) imagery. Generally, speckle noise is in multiplicative model, logarithmic transformation is then used to transform multiplicative model into additive model. Here, speckle noise is generally modeled as Gamma distribution function with different looks. The additive noise variance estimation is processed in log domain. The synthesis image and real image of SAR are implemented to test and confirm results and show that more accurate estimation can be achieved.