• Journal of Korea Water Resources Association
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• v.48 no.7
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• pp.567-579
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• 2015

This study performed the non-stationary flood frequency analysis considering time-varying parameters of a probability density function. Also, return period and risk under non-stationary condition were estimated. A stationary model and three non-stationary models using Generalized Extreme Value(GEV) were developed. The only location parameter was assumed as time-varying parameter in the first model. In second model, the only scale parameter was assumed as time-varying parameter. Finally, the both parameters were assumed as time varying parameter in the last model. Relative likelihood ratio test and Akaike information criterion were used to select appropriate model. The suggested procedure in this study was applied to eight multipurpose dams in South Korea. Using relative likelihood ratio test and Akaike information criterion it is shown that the inflow into the Hapcheon dam and the Seomjingang dam were suitable for non-stationary GEV model but the other six dams were suitable for stationary GEV model. Also, it is shown that the estimated return period under non-stationary condition was shorter than those estimated under stationary condition.

• Journal of Korean Society of Transportation
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• v.35 no.6
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• pp.481-498
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• 2017

Travel time reduction benefit is the most important benefit item in the feasibility study of transportation infrastructure investment projects and calculated by using the value of travel time. The current feasibility study guideline (5th edition) calculate the value of non-business ravel time in a metropolitan area, using the ratio of the value of non-business travel time to business travel time calculated based on the nationwide inter-regional traffic survey data of 1999. The characteristics of metropolitan trips are different from those of nationwide regional trips. Metropolitan trips have frequent transfers between multiple public transits and long-time commuter trips. Therefore, this research aims to calculate the value of travel time reflecting traffic characteristics in a metropolitan area by improving the limitation of current calculation methods. To reflect these characteristics, this research extracts commuter trips from non-business trips and calculates the value of travel time for commuter trips. The results of the likelihood ratio test for the commuter trip model and the non-business trip model are found to be statistically significant. An integrated public transportation model was also estimated in this study to reflect the trip conditions of the Seoul metropolitan area integrated fare system. The results of comparing coefficients between bus and subway in the integrated public transit model indicated that there were no statistically significant differences between the two modes.

• Journal of the Korea Society for Simulation
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• v.18 no.3
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• pp.103-112
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• 2009

In a nuclear power plant (NPP), periodic sensor calibrations are required to assure sensors are operating correctly. However, only a few faulty sensors are found to be calibrated. For the safe operation of an NPP and the reduction of unnecessary calibration, on-line calibration monitoring is needed. In this paper, principal component-based Auto-Associative support vector regression (PCSVR) was proposed for the sensor signal validation of the NPP. It utilizes the attractive merits of principal component analysis (PCA) for extracting predominant feature vectors and AASVR because it easily represents complicated processes that are difficult to model with analytical and mechanistic models. With the use of real plant startup data from the Kori Nuclear Power Plant Unit 3, SVR hyperparameters were optimized by the response surface methodology (RSM). Moreover the statistical techniques are integrated with PCSVR for the failure detection. The residuals between the estimated signals and the measured signals are tested by the Shewhart Control Chart, Exponentially Weighted Moving Average (EWMA), Cumulative Sum (CUSUM) and generalized likelihood ratio test (GLRT) to detect whether the sensors are failed or not. This study shows the GLRT can be a candidate for the detection of sensor drift.

• Journal of the Korean Data and Information Science Society
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• v.24 no.1
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• pp.33-39
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• 2013

In the transformation of response variable in partial linear models outliers can cause a bad effect on estimating the transformation parameter, just as in the linear models. To solve this problem the processes of estimating transformation parameter and detecting outliers are needed, but have difficulties to be performed due to the arbitrariness of the nonparametric function included in the partial linear model. In this study, through the estimation of nonparametric function and outlier detection methods such as a sequential test and a maximum trimmed likelihood estimation, processes for transforming response variable robust to outliers in partial linear models are suggested. The proposed methods are verified and compared their effectiveness by simulation study and examples.

• The Korean Journal of Applied Statistics
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• v.18 no.2
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• pp.297-310
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• 2005

In this study we investigate the association between the haplotype block of 4 SNPs in ACE genes and hypertension with a case-control dataset of size of 277 and 40 families data collected from Kangwha studies. To this end we perform a haplotype-based case-control association study and a haplotype-based TDT study. We do the same analysis with tag-SNPs that can identify the haplotype block. Through a cladogram analysis we make the evolution-tree of haplotypes and then classify the haplotypes into a few clades by collecting haplotypes exposed to the disease to the same extent. We also discuss the association between these clades and hypertension.

• Journal of Global Scholars of Marketing Science
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• v.16 no.1
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• pp.13-26
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• 2006

In this research, we develope a procedure for detecting a random non-stationarity to the individual's purchasing rate in a stationary NED model. On this purpose, we derive the likelihood ratio statistic for a testing null and alternative hypotheses defined as whether there is no significant structural change in a stationary NED model or any. Where the structural change comes from a random non-stationarity(marketing mix activities or seasonality, for example) to the individual's purchasing rate. We also apply the developed method to a panel data for a frequently purchased good. This research could be a solution to include the non-stationarity in a stationary NED model. We also expect that the developed model could give a signal for an early detection of significant changes in marketing environment, and a mean for a measurement of the effects of marketing mix activities.

• The Korean Journal of Applied Statistics
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• v.25 no.1
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• pp.55-66
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• 2012

Option pricing models using L$\acute{e}$evy processes are suggested as an alternative to the Black-Scholes model since empirical studies showed that the Black-Sholes model could not reflect the movement of underlying assets. In this paper, we investigate whether the Variance Gamma model can reflect the movement of underlying assets in the Korean stock market better than the Black-Scholes model. For this purpose, we estimate parameters and perform likelihood ratio tests using KOSPI 200 data based on the density for the log return and the option pricing formula proposed in Madan et al. (1998). We also calculate some statistics to compare the models and examine if the volatility smile is corrected through regression analysis. The results show that the option price estimated under the Variance Gamma process is closer to the market price than the Black-Scholes price; however, the Variance Gamma model still cannot solve the volatility smile phenomenon.

• Journal of Korean Society of Transportation
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• v.21 no.3
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• pp.15-22
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• 2003

In general, the linear regression model has been used to estimate trip generation in the travel demand forecasting procedure. However, the model suffers from several methodological limitations. First, trips as a dependent variable with non-negative integer show discrete distribution but the model assumes that the dependent variable is continuously distributed between -$\infty$ and +$\infty$. Second, the model may produce negative estimates. Third, even if estimated trips are within the valid range, the model offers only forecasted trips without discrete probability distribution of them. To overcome these limitations, a poisson model with a assumption of equidispersion has frequently been used to analyze count data such as trip frequencies. However, if the variance of data is greater than the mean. the poisson model tends to underestimate errors, resulting in unreliable estimates. Using overdispersion test, this study proved that the poisson model is not appropriate and by using Vuong test, zero inflated negative binomial model is optimal. Model reliability was checked by likelihood test and the accuracy of model by Theil inequality coefficient as well. Finally, marginal effect of the change of socio-demographic characteristics of households on trips was analyzed.

• Proceedings of the Korea Water Resources Association Conference
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• 2017.05a
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• pp.46-46
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• 2017

지역가뭄빈도분석의 분위산정에 대한 신뢰성은 수문학적으로 균일한 지역으로 구분하기 위해 사용된 장기간의 과거 자료와 분석절차에 의해 결정된다. 그러나 극심한 가뭄은 매우 드물게 발생하며 신뢰 할 수 있는 지역빈도분석을 위한 지속기간이 충분치 않는 경우가 많이 발생한다. 이 외에도 우리나라의 복잡한 지형적 및 기후적 특징은 동질한 지역으로 구분하기 위한 통계적인 처리방법이 필요하였다. 본 연구에서 적용한 지역빈도분석은 여러 지역의 다양한 변수인 수문기상 특성을 분석하여 동질한 지역을 확인하고, 주요 가뭄변수(지속 시간 및 심각도)를 통합 적용하여 각각의 동질한 지역 분위를 추정함으로써 동질한 지역을 구분하는 해결책을 제시하였다. 본 연구에서는 가우시안 혼합 모형(Gaussian Mixture Model)을 기반으로 기반 군집분석 방법을 적용하여 최적의 동질한 지역을 구분하고 그 결과를 우도비검정 및 다른 유효성 검사 지수를 이용해서 확인하였다. 가우시안 혼합 모델에서 산정했던 매개변수를 방향저감 공간으로 표현하기 위해서 가우시안 혼합 모델방향 저감(GMMDR)방법을 적용하였다. 이 변수는 가뭄빈도분석을 위해 다양한 분포와 코풀라(copula) 적합도를 이용하여 추정 비교하였다. 그 결과 우리나라를 4개의 동질한 지역으로 나누게 되었다. 가우시안과 Frank copula를 이용한 Pearson type III(PE3) 분포는 우리나라의 가뭄 기간과 심각도의 공동 분포를 추정하는데 적합한 것으로 나타났다.

• Journal of Korean Society of Transportation
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• v.17 no.1
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• pp.113-129
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• 1999

It is widely recognized that the value of travel time (VOT) plays an important role both in choosing the transportation alternatives on an individual level, and in analyzing and evaluating transportation plans and other public policy makings on a collective level. There is, however, a great deal of difficulties to correctly estimate the VOT. In addition, although there are lots of methods to estimate the VOT so for, not many recommendations have been presented to reflect the localities associated with the VOT derivation in Korea. This study aims at deriving the VOT for different trip purposes and travel modes with their significances tested. To accomplish this purposes, a logit-based travel mode choice model based on revealed preference (RP) data has been formulated, calibrated using the discrete choice model of LIMDEP package for various trip purpose models. For each trip purpose and travel mode, the VOT has been calculated along with the significance testing of the derived VOTs. From the results given in this research, the VOTs for different purposes and modes are identified different, and they are statistically significant. The updated results here in this paper may be a yardstick in evaluating the transportation plans and policies by providing more detailed VOT information for different categories, especially in urban context.