• The Korean Journal of Applied Statistics
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• v.30 no.2
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• pp.243-257
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• 2017

In this paper, we compare several methods to approximate option prices: Edgeworth expansion, A-type and C-type Gram-Charlier expansions, a method using normal inverse gaussian (NIG) distribution, and an asymptotic method using nonlinear regression. We used two different types of approximation. The first (called the RNM method) approximates the risk neutral probability density function of the log return of the underlying asset and computes the option price. The second (called the OPTIM method) finds the approximate option pricing formula and then estimates parameters to compute the option price. For simulation experiments, we generated underlying asset data from the Heston model and NIG model, a well-known stochastic volatility model and a well-known Levy model, respectively. We also applied the above approximating methods to the KOSPI200 call option price as a real data application. We then found that the OPTIM method shows better performance on average than the RNM method. Among the OPTIM, A-type Gram-Charlier expansion and the asymptotic method that uses nonlinear regression showed relatively better performance; in addition, among RNM, the method of using NIG distribution was relatively better than others.

• Transactions of the Korean Society for Noise and Vibration Engineering
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• v.25 no.12
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• pp.888-894
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• 2015

A new method for the simulation of the vehicle's interior road noise is proposed in the present study. The road noise model can synthesize road noise of a vehicle for varying driving speed within a range. In the proposed method, interior road noise is considered as a stochastic time-series, and is modeled by a nonstationary parametric model via two steps. First, each interior road noise signal, obtained from constant speed driving tests performed within a range of speed, is modeled as an autoregressive model whose parameters are estimated by using a standard method. Finally, the parameters obtained for different driving speeds are interpolated based on the varying driving speed to yield a time-varying autoregressive model. To model a full band road noise, audible frequency range is divided into an octave band using a wavelet filter bank, and the road noise in each octave band is modeled.

• Journal of Korea Port Economic Association
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• v.23 no.4
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• pp.216-227
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• 2007

The aim of this paper is to find out the nature of causality between the two ocean freights employing the Granger method. That is because the Baltic freights tend to move very closely and seem to be behave like one time series. The Granger causality test, however, is very sensitive to the number of lags used in the analysis. This means that one has to be very careful in implementing the Granger causality test. This paper, hence, uses more rather than the lags which the Akaike Information Criterion and the Schwarz Information Criterion suggest. This study shows that BPI does not "Granger-cause" BCI and BSI, but BCI and BSI Granger-cause BPI. I also discover that BHSI does not "Granger-cause" BPI and BSI, but BPI and BSI Granger-cause BHSI. I, hence, model and estimate the ocean freight function and show that the Baltic ocean freight market is inefficient and the biased estimator of the other freight.

• Communications for Statistical Applications and Methods
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• v.16 no.4
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• pp.579-586
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• 2009

We have used multifactor dimensionality reduction(MDR) method to study interaction effect of statistical model in general. But MDR method cannot be applied in all cases. It can be applied to the only case-control data. So, two methods are suggested E-MDR and D-MDR method using regression tree algorithm and dummy variables. We applied the methods on the identify interaction effects of single nucleotide polymorphisms(SNPs) responsible for longissimus mulcle dorsi area(LMA), carcass cold weight(CWT) and average daily gain(ADG) in a Hanwoo beef cattle population. Finally, we compare the results using permutation test.

• Journal of the Korean Data and Information Science Society
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• v.21 no.6
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• pp.1271-1280
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• 2010

We have used multifactor dimensionality reduction (MDR) method to study genegene interaction effect of statistical model in general. But, MDR method could not be applied in the continuous data. In this paper, continuous-type data by the support vector machine (SVM) algorithm are proposed to the MDR method which provides an introduction to the technique. Also we apply the method on the identify major interaction effects of single nucleotide polymorphisms (SNPs) responsible for economic traits in a Korean cattle population.

• Journal of the Korean Data and Information Science Society
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• v.23 no.3
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• pp.467-474
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• 2012

Human diseases and livestock economic traits are not typically the result of variation of a single genetic locus, but are rather the result of interplay between interactions among multiple genes and a variety of environmental exposures. We have used linear regression model for adjusted environmental effects and multifactor dimensionality reduction (MDR) method to identify gene-gene interaction effect of statistical model in general. Of course, we use 5 SNPs (single uncleotide polymorphism) which were studied recently by Oh et al. (2011). We apply the MDR (multifactor demensionality reduction) method on the identify major interaction effects of single nucleotide polymorphisms responsible for economic traits in a Korean cattle population.

• Journal of Animal Science and Technology
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• v.44 no.2
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• pp.165-170
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• 2002

Mature weight (A) and rate of maturing (k) estimated by nonlinear regression were studied to determine the optimum age range over which the estimate of growth curve parameters can be estimated. The weight-age data from 1,133 Hanwoo bulls at Hanwoo Improvement Center of N.A.C.F. were used to fit the growth curve using Gompertz model. All available weight data from birth to the specific age of months were used for the estimation of parameters: the six specific ages used were 12, 14, 16, 18, 20 22 and 24 months of age. The mean estimates of mature weight (A) were 966.5, 1,255.9, 1,126.2, 916.5, 842.2, 780.9 and 767.0kg for ages 12 through 24 months, respectively. The mean estimates of mature weight (A) to 22 and 24 months of age were not different from each other. However, they were different from the estimates based on the data to other ages. Mean estimates of rate of maturing (k) were 3.362, 3.595, 3.536, 3.421, 3.403, 3.409 and 3.411 for ages 12 through 24 months, respectively. The mean estimates of maturing rate (k) for ages 18 through 24 months of age were not significantly different from each other. However, they were different from the estimates based on the data to other ages. Correlations among estimates of A at various ages showed the highest value of 0.93 between 22 and 24 months. Correlations among estimates of k at various ages were highest ranging from 0.91 to 0.99 among 18 to 24 months. The correlations between A and k were positive and tended to decrease with the increase of the age from 0.84 for the age of 12 months to 0.10 for the age of 24 months. Thus, the estimates of growth curve parameters, A and k, suitable for genetic studies can be derived from accumulated Hanwoo bulls after 22 months of age.

• The Korean Journal of Financial Management
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• v.8 no.1
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• pp.179-197
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• 1991

선도환의 가격을 결정하는 접근방법에는 2차자산(derivative assets)이라는 선도계약의 기본특성에 기초한 재정거래(arbitrage)에 의한 방법이 가장 많이 이용되고 있다. 재정거래방식에는 선도환과 현물외환가격간의 상호관련성에 의하여 선도환가격을 이자율평가설(covered interest rate parity : CIRP), 즉 현물가격과 양국간의 이자율차이의 합으로 표시하고 있다. 특히 현물가격과 이자율은 모두 현재시점에서 의사결정자에게 알려져 있기때문에 선도환가격은 확실성하에서 결정되어 미래에 대한 예측이나 투자자의 위험회피도와는 관계없이 결정된다는 것이 특징이다. 이자율평가설에 관한 많은 실증연구는 거래 비용을 고려한 경우 현실적으로 적절하다고 보고 있다(Frenkel and Levich ; 1975, 1977). 다른 방법으로는 선도환의 미래예측기능에만 촛점을 맞추어 가격결정을 하는 투기, 예측접근방법(speculative efficiency approach : 이하에서는 SEA라 함)이 있다. 이 방법 중에서 가장 단순한 형태로 표시된 가설, 즉 '선도환가격은 미래기대현물가격과 같다'는 가설은 대부분의 실증분석에서 기각되고 있다. 이에 따라 SEA에서는 선도환가격이 미래에 대한 기대치뿐만 아니라 위험프리미엄까지 함께 포함하고 있다는 새로운 가설을 설정하고 이에 대한 실증분석을 진행한다. 이 가설은 이론적 모형에서 출발한 것이 아니기 때문에, 특히 기대치와 위험프레미엄 모두가 측정 불가능하다는 점으로 인하여 실증분석상 많은 어려움을 겪게 된다. 이러한 어려움을 피하기 위하여 많은 연구에서는 이자율평가설을 이용하여 선도환가격에 포함된 위험프레미엄에 대해 추론 내지 그 행태를 설명하려고 한다. 이자율평가설을 이용하여 분석모형을 설정하고 실증분석을 하는 것은 몇가지 근본적인 문제점을 내포하고 있다. 먼저, 앞서 지적한 바와 같이 이자율평가설을 가정한다는 것은 SEA에서 주된 관심이 되는 미래예측이나 위험프레미엄과는 관계없이 선도가격이 결정 된다는 것을 의미한다. 따라서 이자율평가설을 가정하여 설정된 분석모형은 선도환시장의 효율성이나 균형가격결정에 대한 시사점을 제공할 수 없다는 것을 의미한다. 즉, 가정한 시장효율성을 실증분석을 통하여 다시 검증하려는 것과 같다. 이러한 개념적 차원에서의 문제점 이외에도 실증분석에서의 추정상의 문제점 또한 존재한다. 대부분의 연구들이 현물자산의 균형가격결정모형에 이자율평가설을 추가로 결합하기 때문에 이러한 방법으로 설정한 분석모형은 그 기초가 되는 현물가격모형과는 달리 자의적 조작이 가능한 형태로 나타나며 이를 이용한 모수의 추정은 불필요한 편기(bias)를 가지게 된다. 본 연구에서는 이러한 실증분석상의 편기에 관한 문제점이 명확하고 구체적으로 나타나는 Mark(1985)의 실증연구를 재분석하고 실증자료를 통하여 위험회피도의 추정치에 편기가 발생하는 근본원인이 이자율평가설을 부적절하게 사용하는데 있다는 것을 확인 하고자 한다. 실증분석결과는 본문의 <표 1>에 제시되어 있으며 그 내용을 간략하게 요약하면 다음과 같다. (A) 실증분석모형 : 본 연구에서는 다기간 자산가격결정모형중에서 대표적인 Lucas (1978)모형을 직접 사용한다. $$1={\beta}\;E_t[\frac{U'(C_{t+1})\;P_t\;s_{t+1}}{U'(C_t)\;P_{t+1}\;s_t}]$$ (2) $U'(c_t)$와 $P_t$는 t시점에서의 소비에 대한 한계효용과 소비재의 가격을, $s_t$와 $f_t$는 외환의 현물과 선도가격을, $E_t$와 ${\beta}$는 조건부 기대치와 시간할인계수를 나타낸다. Mark는 위의 식 (2)를 이자율평가설과 결합한 다음의 모형 (4)를 사용한다. $$0=E_t[\frac{U'(C_{t+1})\;P_t\;(s_{t+1}-f_t)}{U'(C_t)\;P_{t+1}\;s_t}]$$ (4) (B) 실증분석의 결과 위험회피계수 ${\gamma}$의 추정치 : Mark의 경우에는 ${\gamma}$의 추정치의 값이 0에서 50.38까지 매우 큰 폭의 변화를 보이고 있다. 특히 비내구성제품의 소비량과 선도프레미엄을 사용한 경우 ${\gamma}$의 추정치의 값은 17.51로 비정상적으로 높게 나타난다. 반면에 본 연구에서는 추정치가 1.3으로 주식시장자료를 사용한 다른 연구결과와 비슷한 수준이다. ${\gamma}$추정치의 정확도 : Mark에서는 추정치의 표준오차가 최소 15.65에서 최대 42.43으로 매우 높은 반면 본 연구에서는 0.3에서 0.5수준으로 상대적으로 매우 정확한 추정 결과를 보여주고 있다. 모형의 정확도 : 모형 (4)에 대한 적합도 검증은 시용된 도구변수(instrumental variables)의 종류에 따라 크게 차이가 난다. 시차변수(lagged variables)를 사용하지 않고 현재소비와 선도프레미엄만을 사용할 경우 모형 (4)는 2.8% 또는 2.3% 유의수준에서 기각되는 반면 모형 (2)는 5% 유의수준에서 기각되지 않는다. 위와같은 실증분석의 결과는 앞서 논의한 바와 같이 이자율평가설을 사용하여 균형자산가격 결정모형을 변형시킴으로써 불필요한 편기를 발생시킨다는 것을 명확하게 보여주는 것이다.

• The Journal of Korea Institute of Information, Electronics, and Communication Technology
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• v.10 no.5
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• pp.372-379
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• 2017

Software reliability factor during the software development process is elementary. Case of the infinite failure NHPP for identifying software failure, the occurrence rates per fault (hazard function) have the characteristic point that is constant, increases and decreases. In this paper, we propose a reliability model using the chi - square distribution which depends on the degree of freedom that represents the application efficiency of software reliability. Algorithm to estimate the parameters used to the maximum likelihood estimator and bisection method, a model selection based on the mean square error (MSE) and coefficient of determination($R^2$), for the sake of the efficient model, were employed. For the reliability model using the proposed degree of freedom of the chi - square distribution, the failure analysis using the actual failure interval data was applied. Fault data analysis is compared with the intensity function using the degree of freedom of the chi - square distribution. For the insurance about the reliability of a data, the Laplace trend test was employed. In this study, the chi-square distribution model depends on the degree of freedom, is also efficient about reliability because have the coefficient of determination is 90% or more, in the ground of the basic model, can used as a applied model. From this paper, the software development designer must be applied life distribution by the applied basic knowledge of the software to confirm failure modes which may be applied.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.38 no.4
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• pp.579-586
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• 2018

Short-term prediction of travel speed has been widely studied using data-driven non-parametric techniques. There is, however, a lack of research on the prediction aimed at urban areas due to their complex dynamics stemming from traffic signals and intersections. The purpose of this study is to develop a hybrid approach combining ensemble empirical mode decomposition (EEMD) and artificial neural network (ANN) for predicting urban travel speed. The EEMD decomposes the time-series data of travel speed into intrinsic mode functions (IMFs) and residue. The decomposed IMFs represent local characteristics of time-scale components and they are predicted using an ANN, respectively. The IMFs can be predicted more accurately than their original travel speed since they mitigate the complexity of the original data such as non-linearity, non-stationarity, and oscillation. The predicted IMFs are summed up to represent the predicted travel speed. To evaluate the proposed method, the travel speed data from the dedicated short range communication (DSRC) in Daegu City are used. Performance evaluations are conducted targeting on the links that are particularly hard to predict. The results show the developed model has the mean absolute error rate of 10.41% in the normal condition and 25.35% in the break down for the 15-min-ahead prediction, respectively, and it outperforms the simple ANN model. The developed model contributes to the provision of the reliable traffic information in urban transportation management systems.