• Communications for Statistical Applications and Methods
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• v.28 no.2
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• pp.189-204
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• 2021

In a regression analysis, a single best model is usually selected among several candidate models. However, it is often useful to combine several candidate models to achieve better performance, especially, in the prediction viewpoint. Model combining methods such as stacking and Bayesian model averaging (BMA) have been suggested from the perspective of averaging candidate models. When the candidate models include a true model, it is expected that BMA generally gives better performance than stacking. On the other hand, when candidate models do not include the true model, it is known that stacking outperforms BMA. Since stacking and BMA approaches have different properties, it is difficult to determine which method is more appropriate under other situations. In particular, it is not easy to find research papers that compare stacking and BMA when regression model assumptions are violated. Therefore, in the paper, we compare the performance among model averaging methods as well as a single best model in the linear regression analysis when standard linear regression assumptions are violated. Simulations were conducted to compare model averaging methods with the linear regression when data include outliers and data do not include them. We also compared them when data include errors from a non-normal distribution. The model averaging methods were applied to the water pollution data, which have a strong multicollinearity among variables. Simulation studies showed that the stacking method tends to give better performance than BMA or standard linear regression analysis (including the stepwise selection method) in the sense of risks (see (3.1)) or prediction error (see (3.2)) when typical linear regression assumptions are violated.

• Communications for Statistical Applications and Methods
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• v.24 no.1
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• pp.67-80
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• 2017

Over the last few decades, ensemble forecasts based on global climate models have become an important part of climate forecast due to the ability to reduce uncertainty in prediction. Moreover in ensemble forecast, assessing the prediction uncertainty is as important as estimating the optimal weights, and this is achieved through a probabilistic forecast which is based on the predictive distribution of future climate. The Bayesian model averaging has received much attention as a tool of probabilistic forecasting due to its simplicity and superior prediction. In this paper, we propose a new Bayesian model averaging method for probabilistic ensemble forecasting. The proposed method combines a deterministic ensemble forecast based on a multivariate regression approach with Bayesian model averaging. We demonstrate that the proposed method is better in prediction than the standard Bayesian model averaging approach by analyzing monthly average precipitations and temperatures for ten cities in Korea.

• Proceedings of the Korean Society of Computational and Applied Mathematics Conference
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• 2003.09a
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• pp.17.1-17
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• 2003

We study averaging properties in Banach spaces, First, we seek an averaging property equivalent to the reflexivity in Banach spaces. Second, we investigate averaging properties in Banach space using the Brunet-Sucheston's spreading model.

• Industrial Engineering and Management Systems
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• v.8 no.2
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• pp.93-100
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• 2009

In this paper, we review widely used methods to extract local volatility surfaces (LVSs) from implied volatility surfaces (IVSs) and suggest a model averaging method for constructing implied and local volatility surfaces weighted by trading volumes. It makes use of model averaging method by means of bandwidth priors, and then produces a robust LVS estimation. The method is shown to provide the information about the confidence interval of estimators as well as a rather less variable weighted mean value for the IVS and LVS. To show the merits of our proposed method, we conduct simulations on equity-linked warrants (ELWs) with reasonable and acceptable results.

• Journal of the Korean Statistical Society
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• v.36 no.1
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• pp.129-148
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• 2007

Frailty estimates from the proportional hazards frailty model often lead us to conjecture the heterogeneity in frailty such that the variance of the frailty varies over different covariate groups (e.g. male group versus female group). For such systematic heterogeneity in frailty, we consider a regression model for the variance components in the proportional hazards frailty model, denoted by the MLFM. However, in many cases, the observed data do not show any statistically significant preference between the homogeneous frailty model and the heterogeneous frailty model. In this paper, we propose a Bayesian model averaging procedure with the reversible jump Markov chain Monte Carlo which selects the appropriate model automatically. The resulting regression coefficient estimate ignores the model uncertainty from the frailty distribution in view of Bayesian model averaging (Hoeting et al., 1999). Finally, the proposed model and the estimation procedure are illustrated through the analysis of the kidney infection data in McGilchrist and Aisbett (1991) and a simulation study is implemented.

• The Transactions of the Korean Institute of Power Electronics
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• v.5 no.4
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• pp.327-334
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• 2000

In this paper, the circuit model using circuit averaging method for full bridge for full bridge converter is suggested. This model can represent the physical characteristics of converter circuits appropriately. At most of high capacity DC-DC converter application parts, full bridge converter is adapted for main circuit of power supply. Design and analysis of full bridge converter is no trouble with circuit model. The validity of circuit model is verified through computer simulation and practical welding experiment of welding machine with full bridge converted model.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.16 no.2
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• pp.742-756
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• 2022

A flood of information has occurred with the rise of the internet and digital devices in the fourth industrial revolution era. Every millisecond, massive amounts of structured and unstructured data are generated; smartphones, wearable devices, sensors, and self-driving cars are just a few examples of devices that currently generate massive amounts of data in our daily. Machine learning has been considered an approach to support and recognize patterns in data in many areas to provide a convenient way to other sectors, including the healthcare sector, government sector, banks, military sector, and more. However, the conventional machine learning model requires the data owner to upload their information to train the model in one central location to perform the model training. This classical model has caused data owners to worry about the risks of transferring private information because traditional machine learning is required to push their data to the cloud to process the model training. Furthermore, the training of machine learning and deep learning models requires massive computing resources. Thus, many researchers have jumped to a new model known as "Federated Learning". Federated learning is emerging to train Artificial Intelligence models over distributed clients, and it provides secure privacy information to the data owner. Hence, this paper implements Federated Averaging with a Deep Neural Network to classify the handwriting image and protect the sensitive data. Moreover, we compare the centralized machine learning model with federated averaging. The result shows the centralized machine learning model outperforms federated learning in terms of accuracy, but this classical model produces another risk, like privacy concern, due to the data being stored in the data center. The MNIST dataset was used in this experiment.

• Journal of Power Electronics
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• v.10 no.1
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• pp.1-8
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• 2010

A new scheme for sliding-mode control (SMC) of DC-DC converters with a constant switching frequency is proposed. The scheme is based on the averaging model and the output signal of the controller is $d^+$ or $d^-$ instead of the on or off signal of a direct sliding-mode (SM) controller or the continuous signal d = $u_{eq}$ of an indirect SM controller. Two approaches using the new scheme are also proposed and the design procedures for a buck converter are given in detail. The first approach called constant $d^+$ and $d^-$ SMC is simple, cost effective and dynamically fast. In order to improve the dynamic characteristics of the reaching phase and to alleviate chattering, the second approach called reaching law SMC is also presented. Analyses and simulation results demonstrate the feasibility of the proposed scheme.

• Journal of the Korean Mathematical Society
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• v.42 no.5
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• pp.1017-1030
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• 2005

In this paper, we study averaging properties in Banach spaces using the Brunel-Sucheston's spreading model. We show that the Schlumprecht space S does not have the Banach­Saks property and II is finitely representable in the Schlumprecht space S using the spreading model properties.

• Industrial Engineering and Management Systems
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• v.10 no.1
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• pp.84-94
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• 2011

In this paper, we propose a method to provide the distribution of option price under local volatility model when market-provided implied volatility data are given. The local volatility model is one of the most widely used smile-consistent models. In local volatility model, the volatility is a deterministic function of the random stock price. Before estimating local volatility surface (LVS), we need to estimate implied volatility surfaces (IVS) from market data. To do this we use local polynomial smoothing method. Then we apply the Dupire formula to estimate the resulting LVS. However, the result is dependent on the bandwidth of kernel function employed in local polynomial smoothing method and to solve this problem, the proposed method in this paper makes use of model averaging approach by means of bandwidth priors, and then produces a robust local volatility surface estimation with a confidence interval. After constructing LVS, we price barrier option with the LVS estimation through Monte Carlo simulation. To show the merits of our proposed method, we have conducted experiments on simulated and market data which are relevant to KOSPI200 call equity linked warrants (ELWs.) We could show by these experiments that the results of the proposed method are quite reasonable and acceptable when compared to the previous works.