• The Korean Journal of Applied Statistics
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• v.23 no.5
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• pp.871-882
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• 2010

In animal tumorigenicity data, the occurrence time of tumor is not observed because the existence of a tumor is examined only at either time of natural death or time of sacrifice for the animal. A three-state model (Health-Tumor onset-Death) is widely used to model the incomplete data. In this paper, we employed a frailty effect into the three-state model to incorporate the dependency of death on tumor occurrence when the time of natural death works as an informative censoring against the tumor onset time. For the inference of parameters, then the EM algorithm is considered in order to deal with missing quantities of tumor onset time and random frailty. The proposed method is applied to the bladder tumor data taken from Lindsey and Ryan (1993, 1994) and a simulation study is performed to show the behavior of the proposed estimators.

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.25 no.6
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• pp.365-373
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• 2013

Representative tidal gauging (TG) stations are selected to cover the tidal characteristics of the Korean peninsula coastal seas, and the statistical parameters of the data are analysed from the perspective of the probability distribution at that TG station. The shape of the distribution in the Incheon and Gunsan TG stations, which are tide-dominated areas, shows two clear modes at HWONT and LWONT in the distributions, and in the Mokpo station, shows an asymmetric double peak distribution. In contrast, the frequency distribution shape shows a smoothed flat peak in the Jeju, Yeosu and Busan TG stations, and a single peak in the Pohang and Sokcho TG stations. The emersion and submersion equations suggested as the 6-parameter Gaussian mixture models in this study are accurate, and well fitted to the observed tidal elevation data. The ${\mu}_1$, ${\mu}_2$ parameters are highly correlated to the LWONT and HWONT, and the ${\sigma}_1$ and ${\sigma}_2$ parameters are also closely correlated to the mean tidal range. The ${\mu}_1$ and ${\mu}_2$ parameters coincide with the modes of the suggested probability distribution of the hourly tidal level data.

• Journal of the Korean Association of Geographic Information Studies
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• v.24 no.1
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• pp.92-111
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• 2021

As fine dust negatively affects disease, industry and economy, the people are sensitive to fine dust. Therefore, if the occurrence of fine dust can be predicted, countermeasures can be prepared in advance, which can be helpful for life and economy. Fine dust is affected by the weather and the degree of concentration of fine dust emission sources. The industrial sector has the largest amount of fine dust emissions, and in industrial complexes, factories emit a lot of fine dust as fine dust emission sources. This study targets regions with old industrial complexes in local cities. The purpose of this study is to explore the factors that cause fine dust and develop a predictive model that can predict the occurrence of fine dust. weather data and fine dust data were used, and variables that influence the generation of fine dust were extracted through multiple regression analysis. Based on the results of multiple regression analysis, a model with high predictive power was extracted by learning with a machine learning regression learner model. The performance of the model was confirmed using test data. As a result, the models with high predictive power were linear regression model, Gaussian process regression model, and support vector machine. The proportion of training data and predictive power were not proportional. In addition, the average value of the difference between the predicted value and the measured value was not large, but when the measured value was high, the predictive power was decreased. The results of this study can be developed as a more systematic and precise fine dust prediction service by combining meteorological data and urban big data through local government data hubs. Lastly, it will be an opportunity to promote the development of smart industrial complexes.

• The Korean Journal of Applied Statistics
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• v.34 no.5
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• pp.697-710
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• 2021

Relative error prediction is preferred over ordinary prediction methods when relative/percentile errors are regarded as important, especially in econometrics, software engineering and government official statistics. The relative error prediction techniques have been developed in linear/nonlinear regression, nonparametric regression using kernel regression smoother, and stationary time series models. However, random effect models have not been used in relative error prediction. The purpose of this article is to extend relative error prediction to some of generalized linear mixed model (GLMM) with panel data, which is the random effect models based on gamma, lognormal, or inverse gaussian distribution. For better understanding, the real auto insurance data is used to predict the claim size, and the best predictor and the best relative error predictor are comparatively illustrated.

• Journal of the Korean Society for Aeronautical & Space Sciences
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• v.49 no.2
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• pp.95-106
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• 2021

Side-jets enable the immediate maneuver of a missile compared to control surfaces; however, they may cause adverse effects on aerodynamic coefficients, for they interfere with freestream. To find out the impact of side-jets on aerodynamic coefficients, we simulate side-jets as air gas and utilize multi-fidelity models to evaluate differences between aerodynamic coefficients obtained with and without side-jets. We computed differences in aerodynamic coefficients to investigate side-jet effects for the changes of a Mach number, a bank angle, and an angle of attack. As a result, asymmetrically developed side-jets affect the longitudinal force and moment coefficients, and the lateral force and moment coefficients drastically change in-between -30 and 30 degrees of bank angles. In contrast, side-jets hardly influence the axial force coefficients. As for the axial moment coefficient, we could not determine the side-jet effect due to a lack of aerodynamic coefficient samples in the Mach number. All in all, we confirm that side-jets lead to the change of a missile attitude as they considerably vary the longitudinal and lateral aerodynamic coefficients.

• Economic and Environmental Geology
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• v.40 no.6
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• pp.739-749
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• 2007

The seismic velocity at the formation varies widely with physical properties in the layers. These features on seismic shot gathers are not capable of reproducing normally by numerical modeling of homogeneous medium, so that we need that of random inhomogeneous medium instead. In this study, we conducted Gaussian autocorrelation function (ACF), exponential autocorrelation function and von Karman autocorrelation function for getting inhomogeneous velocity model and applied a simple geological model. According to the results, von Karman autocorrelation function showed short wavelength to the inhomogeneous velocity medium. For numerical modeling for a gas hydrate, we determined a geological model based on field data set gathered in the East sea. The numerical modeling results showed that the von Karman autocorrelation function could properly describe scattering phenomena in the gas hydrate velocity model which contains an inhomogeneous layer. Besides, bottom-simulating-reflectors and scattered waves which appear at seismic shot gather of the field data showed properly in the inhomogeneous numerical modeling.

• Journal of Intelligence and Information Systems
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• v.23 no.2
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• pp.107-122
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• 2017

Volatility in the stock market returns is a measure of investment risk. It plays a central role in portfolio optimization, asset pricing and risk management as well as most theoretical financial models. Engle(1982) presented a pioneering paper on the stock market volatility that explains the time-variant characteristics embedded in the stock market return volatility. His model, Autoregressive Conditional Heteroscedasticity (ARCH), was generalized by Bollerslev(1986) as GARCH models. Empirical studies have shown that GARCH models describes well the fat-tailed return distributions and volatility clustering phenomenon appearing in stock prices. The parameters of the GARCH models are generally estimated by the maximum likelihood estimation (MLE) based on the standard normal density. But, since 1987 Black Monday, the stock market prices have become very complex and shown a lot of noisy terms. Recent studies start to apply artificial intelligent approach in estimating the GARCH parameters as a substitute for the MLE. The paper presents SVR-based GARCH process and compares with MLE-based GARCH process to estimate the parameters of GARCH models which are known to well forecast stock market volatility. Kernel functions used in SVR estimation process are linear, polynomial and radial. We analyzed the suggested models with KOSPI 200 Index. This index is constituted by 200 blue chip stocks listed in the Korea Exchange. We sampled KOSPI 200 daily closing values from 2010 to 2015. Sample observations are 1487 days. We used 1187 days to train the suggested GARCH models and the remaining 300 days were used as testing data. First, symmetric and asymmetric GARCH models are estimated by MLE. We forecasted KOSPI 200 Index return volatility and the statistical metric MSE shows better results for the asymmetric GARCH models such as E-GARCH or GJR-GARCH. This is consistent with the documented non-normal return distribution characteristics with fat-tail and leptokurtosis. Compared with MLE estimation process, SVR-based GARCH models outperform the MLE methodology in KOSPI 200 Index return volatility forecasting. Polynomial kernel function shows exceptionally lower forecasting accuracy. We suggested Intelligent Volatility Trading System (IVTS) that utilizes the forecasted volatility results. IVTS entry rules are as follows. If forecasted tomorrow volatility will increase then buy volatility today. If forecasted tomorrow volatility will decrease then sell volatility today. If forecasted volatility direction does not change we hold the existing buy or sell positions. IVTS is assumed to buy and sell historical volatility values. This is somewhat unreal because we cannot trade historical volatility values themselves. But our simulation results are meaningful since the Korea Exchange introduced volatility futures contract that traders can trade since November 2014. The trading systems with SVR-based GARCH models show higher returns than MLE-based GARCH in the testing period. And trading profitable percentages of MLE-based GARCH IVTS models range from 47.5% to 50.0%, trading profitable percentages of SVR-based GARCH IVTS models range from 51.8% to 59.7%. MLE-based symmetric S-GARCH shows +150.2% return and SVR-based symmetric S-GARCH shows +526.4% return. MLE-based asymmetric E-GARCH shows -72% return and SVR-based asymmetric E-GARCH shows +245.6% return. MLE-based asymmetric GJR-GARCH shows -98.7% return and SVR-based asymmetric GJR-GARCH shows +126.3% return. Linear kernel function shows higher trading returns than radial kernel function. Best performance of SVR-based IVTS is +526.4% and that of MLE-based IVTS is +150.2%. SVR-based GARCH IVTS shows higher trading frequency. This study has some limitations. Our models are solely based on SVR. Other artificial intelligence models are needed to search for better performance. We do not consider costs incurred in the trading process including brokerage commissions and slippage costs. IVTS trading performance is unreal since we use historical volatility values as trading objects. The exact forecasting of stock market volatility is essential in the real trading as well as asset pricing models. Further studies on other machine learning-based GARCH models can give better information for the stock market investors.

• The Journal of the Korea Contents Association
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• v.20 no.11
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• pp.281-291
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• 2020

This study used Gauss-Poisson jump diffusion process on standard assets to estimate the statutory reserves of Variable Annuity (VA) guarantees specified in Korean bylaw of insurance supervision and calculated guarantee fees and risks based on the model to see the effect of considering the jumps. Financial assets, except KOSPI 200, have fat-tailed return distributions, which is an indirect evidence of discontinuous jumps. In the case of a domestic stock index and foreign stock indexes(Korean Won), guarantee fees and risks decrease when jumps are considered in models of underlying assets. This is explained by decreases in standard deviations after the jump diffusion is considered. On the other hand, in the case of domestic bond indexes and a foreign bond index(Korean Won), guarantee fees and risks tend to increase when jumps are considered. Results from a foreign stock index(US Dollar) and a foreign bond index(US Dollar) were opposite to those from the same kinds of Korean Won indexes. We conclude that VA guarantee fees and risks may be under or over estimated when jumps are not considered in models of underlying assets.

• Geophysics and Geophysical Exploration
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• v.8 no.1
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• pp.41-49
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• 2005

We have developed a random heterogeneous velocity model with bimodal distribution in methane hydrate-bearing Bones. The P-wave well-log data have a von Karman type autocorrelation function and non-Gaussian distribution. The velocity histogram has two peaks separated by several hundred metres per second. A random heterogeneous medium with bimodal distribution is generated by mapping of a medium with a Gaussian probability distribution, yielded by the normal spectral-based generation method. By using an ellipsoidal autocorrelation function, the random medium also incorporates anisotropy of autocorrelation lengths. A simulated P-wave velocity log reproduces well the features of the field data. This model is applied to two simulations of elastic wane propagation. Synthetic reflection sections with source signals in two different frequency bands imply that the velocity fluctuation of the random model with bimodal distribution causes the frequency dependence of the Bottom Simulating Reflector (BSR) by affecting wave field scattering. A synthetic cross-well section suggests that the strong attenuation observed in field data might be caused by the extrinsic attenuation in scattering. We conclude that random heterogeneity with bimodal distribution is a key issue in modelling hydrate-bearing Bones, and that it can explain the frequency dependence and scattering observed in seismic sections in such areas.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.26 no.6B
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• pp.641-649
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• 2006

The behavior of a three-dimensional pure rectangular water jet with aspect ratio of 10 was experimentally investigated based on the results of the mean velocity field obtained by PIV. The saddle back distribution was observed in the lateral distribution along the major axis. The theoretical centerline velocity equation derived from the point source concept using the spreading rate for the axisymmetric jet was in good agreement with the measured centerline velocity and gave the division of the potential core region, two-dimensional region, and axisymmetric region. The range of the two-dimensional region divided by the criterion of the theoretical centerline velocity decay for the aspect ratio of 10 was observed to be smaller than that of the transition region. The applicability of the two-dimensional model to the behavior of the rectangular jet with low aspect ratio or the wastewater discharged from a multiport diffuser in the deep water of real ocean may result in significant error in the transition and axisymmetric regions after the two-dimensional region. In the two-dimensional region, the Gaussian constant tended to be conserved, and the spreading rate slightly decreased at the end of the two-dimensional region. The normalized turbulent intensity along the centerline of the jet initially abruptly increased and showed relatively higher intensity for higher Reynolds number.