• Journal of Korea Port Economic Association
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• v.31 no.1
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• pp.1-14
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• 2015

The standard GARCH model imposing symmetry on the conditional variance, tends to fail in capturing some important features of the data. This paper, hence, introduces the models capturing asymmetric effect. They are the EGARCH model and the GJR model. We provide the systematic comparison of volatility models focusing on the asymmetric effect of news on volatility. Specifically, three diagnostic tests are provided: the sign bias test, the negative size bias test, and the positive size bias test. This paper shows that there is significant evidence of GARCH-type process in the data, as shown by the test for the Ljung-Box Q statistic on the squared residual data. The estimated unconditional density function for squared residual is clearly skewed to the left and markedly leptokurtic when compared with the standard normal distribution. The observation of volatility clustering is also clearly reinforced by the plot of the squared value of residuals of export volume and values. The unconditional variance of both export volumes and export value indicates that large shocks of either sign tend to be followed by large shocks, and small shocks of either sign tend to follow small shocks. The estimated export volume news impact curve for the GARCH also suggests that $h_t$ is overestimated for large negative and positive shocks. The conditional variance equation of the GARCH model for export volumes contains two parameters ${\alpha}$ and ${\beta}$ that are insignificant, indicating that the GARCH model is a poor characterization of the conditional variance of export volumes. The conditional variance equation of the EGARCH model for export value, however, shows a positive sign of parameter ${\delta}$, which is contrary to our expectation, while the GJR model exhibits that parameters ${\alpha}$ and ${\beta}$ are insignificant, and ${\delta}$ is marginally significant. That indicates that the asymmetric volatility models are poor characterization of the conditional variance of export value. It is concluded that the asymmetric EGARCH and GJR model are appropriate in explaining the volatility of export volume, while the symmetric standard GARCH model is good for capturing the volatility.

• The Journal of Korea Institute of Information, Electronics, and Communication Technology
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• v.9 no.3
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• pp.306-311
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• 2016

Software reliability in the software development process is an important issue. Infinite failure NHPP software reliability models presented in the literature exhibit either constant, monotonic increasing or monotonic decreasing failure occurrence rates per fault. In this paper, reliability software cost model considering logarithmic and exponential fault detection rate based on observations from the process of software product testing was studied. Adding new fault probability using the Goel-Okumoto model that is widely used in the field of reliability problems presented. When correcting or modifying the software, finite failure non-homogeneous Poisson process model. For analysis of software reliability model considering the time-dependent fault detection rate, the parameters estimation using maximum likelihood estimation of inter-failure time data was made. The logarithmic and exponential fault detection model is also efficient in terms of reliability because it (the coefficient of determination is 80% or more) in the field of the conventional model can be used as an alternative could be confirmed. From this paper, the software developers have to consider life distribution by prior knowledge of the software to identify failure modes which can be able to help.

• The Journal of the Institute of Internet, Broadcasting and Communication
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• v.22 no.3
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• pp.193-200
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• 2022

In this study, the finite-failure NHPP software reliability model was applied to the software development model based on the Weibull lifetime distribution (Goel-Okumoto, Rayleigh, Type-2 Gumbe), which is widely used in the software reliability field, and then the cost attributes were compared and evaluated. For this study, failure time data detected during normal operation of the software system were collected and used, the most-likelihood estimation (MLE) method was applied to the parameter estimation of the proposed model, and the calculation of the nonlinear equation was solved using the binary method. As a result, first, in the software development model, when the cost of testing per unit time and the cost of removing a single defect increased, the cost increased but the release time did not change, and when the cost of repairing failures detected during normal system operation increased, the cost increased and the release time was also delayed. Second, as a result of comprehensive comparative analysis of the proposed models, it was found that the Type-2 Gumble model was the most efficient model because the development cost was lower and the release time point was relatively faster than the Rayleigh model and the Goel-Okumoto basic model. Third, through this study, the development cost properties of the Weibull distribution model were newly evaluated, and the analyzed data is expected to be utilized as design data that enables software developers to explore the attributes of development cost and release time.

• The Korean Journal of Applied Statistics
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• v.31 no.5
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• pp.555-572
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• 2018

Noise reduction processes that reduce or eliminate noise (caused by a variety of reasons) in noise contaminated image is an important theme in image processing fields. Many studies are being conducted on noise removal processes due to the importance of distinguishing between noise added to a pure image and the unique characteristics of original images. Adaptive filter and sigma filter are typical noise reduction filters used to reduce or eliminate noise; however, their effectiveness is affected by accurate noise estimation. This study generates a distribution of noise contaminating image based on a Dirichlet normal mixture model and presents a Bayesian approach to distinguish the characteristics of an image against the noise. In particular, to distinguish the distribution of noise from the distribution of characteristics, we suggest algorithms to develop a Bayesian inference and remove noise included in an image.

• KIISE Transactions on Computing Practices
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• v.21 no.1
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• pp.94-99
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• 2015

With the recent machine learning paradigm of using nonparametric Bayesian statistics and statistical inference based on random sampling, the Dirichlet distribution finds many uses in a variety of graphical models. It is a multivariate generalization of the gamma distribution and is defined on a continuous (K-1)-simplex. This paper presents a sampling method for a Dirichlet distribution for the problem of dividing an integer X into a sequence of K integers which sum to X. The target samples in our problem are all positive integer vectors when multiplied by a given X. They must be sampled from the correspondingly gridded simplex. In this paper we develop a Markov Chain Monte Carlo (MCMC) proposal distribution for the neighborhood grid points on the simplex and then present the complete algorithm based on the Metropolis-Hastings algorithm. The proposed algorithm can be used for the Markov model, HMM, and Semi-Markov model for accurate state-duration modeling. It can also be used for the Gamma-Dirichlet HMM to model q the global-local duration distributions.

• Journal of the Institute of Electronics Engineers of Korea CI
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• v.49 no.2
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• pp.83-89
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• 2012

Natural Vegetation cover, which is very important earth resource, has been significantly altered by humans in some manner. Since this has currently resulted in a significant effect on global climate, various studies on vegetation environment including forest have been performed and the results are utilized in policy decision making. Remotely sensed data can detect, identify and map vegetation cover change based on the analysis of spectral characteristics and thus are vigorously utilized for monitoring vegetation resources. Among various vegetation indices extracted from spectral reponses of remotely sensed data, NDVI is the most popular index which provides a measure of how much photosynthetically active vegetation is present in the scene. In this study, for change detection in vegetation cover, a Multi-layer Perceptron Network (MLPN) as a nonparametric approach has been designed and applied to MODIS/Aqua vegetation indices 16-day L3 global 250m SIN Grid(v005) (MYD13Q1) data. The feature vector for change detection is constructed with the direct NDVI diffenrence at a pixel as well as the differences in some subset of NDVI series data. The research covered 5 years (2006-20110) over Korean peninsular.

• The Journal of the Korea Contents Association
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• v.21 no.6
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• pp.552-560
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• 2021

With the recent development of the art distribution system, interest in art investment is increasing rather than seeing art as an object of aesthetic utility. Unlike stocks and bonds, the price of artworks has a heterogeneous characteristic that is determined by reflecting both objective and subjective factors, so the uncertainty in price prediction is high. In this study, we used LSTM Recurrent Neural Network deep learning model to predict the auction winning price by inputting the artist, physical and sales charateristics of the Korean artist. According to the result, the RMSE value, which explains the difference between the predicted and actual price by model, was 0.064. Painter Lee Dae Won had the highest predictive power, and Lee Joong Seop had the lowest. The results suggest the art market becomes more active as investment goods and demand for auction winning price increases.

• Journal of Animal Science and Technology
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• v.48 no.2
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• pp.151-160
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• 2006

This study was conducted to investigate the genetic characteristics of growth stages in Hanwoo, to provide useful information in farm management decisions. Data were taken from the nucleus herds of three farms, Namwon, Daegwalyong and Seosan, comprising 27,647 cows, 14,744 bulls, and 1,290 steers in between 1980 and 2004. According to the growth curve by year, the residuals for cows and bulls were 68.49 and 54.29, respectively, under the Gompertz model. The values were lower than in other years. Parameters, A, b and k were estimated as 423.6±5.8, 2.387±0.064 and 0.0908±0.0033 in cows and 823.3±15.3, 3.584±0.070, 0.1139±0.0032 in bulls, respectively. The fitness was higher under the Gompertz model than under the logistic model: monthly and daily estimation for cows were 379.3±7.509, 2.499±0.057, 0.114±0.0045 and 367.1±1.9003, 2.3983±0.012, 0.004±0.00003, respectively. Estimated residual mean squares were 31.85 and 998.4 in their respective models. Monthly and daily estimation of bulls were 834.6±22.00, 3.319±0.062, 0.104±0.0037 and 796.0±6.128, 3.184±0.014, 0.003±0.00003, respectively. Estimated residual mean square were 66.18 and 2106.5. Monthly and daily estimation of steers were 1049.1±144.2, 3.024±0.008, 0.067±0.0096 and 1505.1±176.6, 2.997±0.067, 0.001±0.0001, relatively. Squares, 186.0 and 1119.1. In terms of growth characteristic estimated by Gompertz model, body weight for cows and bulls were 139.53kg and 307.03kg, and the daily gains were 0.52kg and 1.04kg, respectively. Body weight for steers was 385.94kg at the inflection point. Body weight gain was 0.84kg in both models. Our results showed that cows had lower mature weight and daily weight gain, and reached the inflection point earlier than bulls or steers.

• Journal of Korea Water Resources Association
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• v.45 no.8
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• pp.827-837
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• 2012

The estimation of the rainfall quantile is of great importance in designing hydrologic structures. Conventionally, the rainfall quantile is estimated by univariate frequency analysis with an appropriate probability distribution. There is a limitation in which duration of rainfall is restrictive. To overcome this limitation, bivariate frequency analysis by using 3 copula models is performed in this study. Annual maximum rainfall events in 5 stations are used for frequency analysis and rainfall depth and duration are used as random variables. Gumbel (GUM), generalized logistic (GLO) distributions are applied for rainfall depth and generalized extreme value (GEV), GUM, GLO distributions are applied for rainfall duration. Copula models used in this study are Frank, Joe, and Gumbel-Hougaard models. Maximum pseudo-likelihood estimation method is used to estimate the parameter of copula, and the method of probability weighted moments is used to estimate the parameters of marginal distributions. Rainfall quantile from this procedure is compared with various marginal distributions and copula models. As a result, in change of marginal distribution, distribution of duration does not significantly affect on rainfall quantile. There are slight differences depending on the distribution of rainfall depth. In the case which the marginal distribution of rainfall depth is GUM, there is more significantly increasing along the return period than GLO. Comparing with rainfall quantiles from each copula model, Joe and Gumbel-Hougaard models show similar trend while Frank model shows rapidly increasing trend with increment of return period.

• The Korean Journal of Financial Management
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• v.22 no.1
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• pp.119-146
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• 2005

This study applies extreme value theory to get extreme value-VAR for Korean Stock market and showed the usefulness of the approach. Block maxima model and POT model were used as extreme value models and tested which model was more appropriate through back testing. It was shown that the block maxima model was unstable as the variation of the estimate was very large depending on the confidence level and the magnitude of the estimates depended largely on the block size. This shows that block maxima model was not appropriate for Korean Stock market. On the other hand POT model was relatively stable even though extreme value VAR depended on the selection of the critical value. Back test also showed VAR showed a better result than delta VAR above 97.5% confidence level. POT model performs better the higher the confidence level, which suggests that POT model is useful as a risk management tool especially for VAR estimates with a confidence level higher than 99%. This study picks up the right tail and left tail of the return distribution and estimates the EVT-VAR for each, which reflects the asymmetry of the return distribution of the Korean Stock market.