• Title/Summary/Keyword: 평균분산모형

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A Real Options Analysis on Fuel Cell Power Plant considering Mean Reverting Process of Electricity Price (전력가격 평균회귀성을 고려한 연료전지 발전의 실물옵션 분석)

  • Park, Hojeong;Nam, Youngsik
    • Environmental and Resource Economics Review
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    • v.27 no.4
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    • pp.613-637
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    • 2018
  • Fuel cell power plant which has advantages as a distributed generation is influenced by high cost of investment and uncertainty of electricity price. This study suggests the model of real options which considers the irreversibility of investment in the fuel cell plant and the uncertainty of electricity price. Most models of real options assume the geometric Brownian motion for convenience, but this study develops the model for the feasibility analysis considering the mean reverting process of electricity price, with the closed form solution on the value of investment option. The result of the empirical analysis considering the data related to the fuel cell generation with the scale of 20MW and the domestic RPS circumstance represents that the investment is feasible without the uncertainty, and is not feasible with the uncertainty. This result implies that the political support as well as the improvement of profit system including revenue and cost are necessary for the activation of the fuel cell power plant.

Design of the GLR Chart in Integrated Process Control (통합공정관리에서 일반화가능도비 관리도의 설계)

  • Chun, Ga-Young;Lee, Jae-Heon
    • Communications for Statistical Applications and Methods
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    • v.17 no.3
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    • pp.357-365
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    • 2010
  • This paper considers the integrated process control procedure for detecting special causes in an IMA(1,1) noise process that is being adjusted using a minimum mean squared error adjustment. As a SPC procedure, we use a GLR chart for detecting special causes whose effects are the sustained shift or the sustained drift in the process mean, and the sustained shift in the process variance. For the design of the GLR chart, we derive expressions for the control limit which accurately satisfies the given in-control ARL.

A Brief Efficiency and Clustering Measurement Way of Containerport by Using the Game Cross-efficiency Model (게임교차효율성모형을 이용한 컨테이너항만의 효율성 및 클러스터링 측정방법 소고)

  • Park, Rokyung
    • Journal of Korea Port Economic Association
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    • v.30 no.4
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    • pp.151-168
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    • 2014
  • The purpose of this paper is to show the brief efficiency and clustering measurement way by using the game cross-efficiency model which is newly introduced in this paper for 13 container ports during 3 years(2009, 2010, and 2013) with 3 input variables(depth, total area, and number of crane) and 1 output variable(container TEU). The main empirical results are as follows. First, the average rankings of game cross-efficiency model are Ningbo, Hongkong, Shanghai, Dubai, Singapore, Qingdao, Kaosiung, Busan, Tokyo, Incheon, Nagoya, Manila, Gwangyang ports in order. Second, according to ANOVA analysis, three models show the similar results in terms of the efficiency rankings. Third, in the clustering analysis using dendrogram, group A(Shangahi and Busan), group B(Ningbo and Nagoya), and group C(Incheon and Manila) show the common clustering ports during 3 or 2 years. The policy implication of this paper is that Korean port policy planner should introduce the game cross-efficiency method when measuring the individual port efficiency. Also port authority should consider the merits of the clustering ports for improving the port management and operations.

Application of a Statistical Disclosure Control Techniques Based on Multiplicative Noise (승법잡음모형을 이용한 통계적 노출조절기법의 적용)

  • Kim, Young-Won;Kim, Tae-Yeon;Ki, Kye-Nam
    • The Korean Journal of Applied Statistics
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    • v.24 no.1
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    • pp.127-136
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    • 2011
  • Multiplicative noise model is the one of popular method for masking continuous variables. In this paper, we propose the transformation on the variable to which random noise was multiplied. An advantage of the masking method using proposed transformation is that the masking data users can obtain the unbiased values of mean and variance of original (unmasked) data. We also consider the data utility and correlation structure of variables when we apply the proposed multiplicative noise scheme. To investigate the properties of the method of masking based on multiplicative noise, a simulation study has been conducted using the 2008 Householder Income and Expenditure Survey data.

준분산을 이용한 투자분석모형에 대한 연구

  • 임병동;김지수
    • Proceedings of the Korean Operations and Management Science Society Conference
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    • 1993.04a
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    • pp.505-514
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    • 1993
  • 일반적으로 투자자들은 높은 수익을 얻기를 바라는 성향 그리고 위험기피적 성향을 가지고 있는 것으로 받아들여진다. 그러나 투자자들이 갖는 이러한 대표적인 두가지 성향은 현실에서 직면하는 투자대안의 경우에 서로 상층(trade-off)하는 것이 일반적이며, 따라서 그러한 상충관계를 서로 다른 수준으로 포함하고 있는 대안들 중에서 어떤 것을 선택하는 때에 투자자의 선호체계가 중요하게 작용한다. 그런데 많은 경우 투자자들은 그러한 상충관계에 직면했을 때, 커다란 손실의 가능성을 포함하는 대안이 아니라면 약간 낮은 평균수익이 에상되더라도 높은 수익의 가능성이 상대적으로 높은 대안을 선호하는 것으로 나타났다. 따라서 본 연구에서는 약간 낮은 평균수익이 예상되더라도 높은 수익의 가능성이 상대적으로 높은 대안 즉, 대안 수익의 분포가 우향왜곡된(skewed positively)대안을 선호하는 투자자의 성향을 포함시킬 수 있는 방법을 모색하였다.

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Development of Growth Model Using Ecological Momentary Assessment: Based on Senior Vitality Quotient (생태순간평가를 이용한 성장모형개발: 노년 활력 지수를 활용하여)

  • Jeon, Hee Jin;Song, Hye Sun;Lee, Ji Hyun;Park, Kiho;Choi, Kee-Hong;Seo, Dong Gi
    • Journal of the Korea Convergence Society
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    • v.12 no.5
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    • pp.313-326
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    • 2021
  • This study was to introduce ecological momentary assessment and show how to apply it to real-world research. As preliminary study for sustainable development, the result explained growth model using senior's longitudinal data and suitability of multi-level model in EMA data with regression analysis. The total variance of dependent variable was determined through a base model with only intercept and approximately 47% of total variance was caused by individual differences and 53% by time point differences. Second model was used to verified that each individual has a different effect on the senior vitality and effect on time was not significant. This is because it is the result of a preliminary stage where treatment is not involved and there is no significant change in process of collecting EMA data without external intervention. Third model that add gender as an independent variable showed significant change in both time and gender. Finally compared the PRD for each model and found models that without gender variables fit the data more effectively. This suggests that studies dealing with longitudinal data such as EMA data should adopt multi-level model that can measure individual characteristics, taking into account respondents' time and context.

A Study on the Cross Hedge Performance of KOSPI 200 Stock Index Futures (코스피 200 주가지수선물을 이용한 교차헤지 (cross-hedge))

  • Hong, Chung-Hyo;Moon, Gyu-Hyun
    • The Korean Journal of Financial Management
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    • v.23 no.1
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    • pp.243-266
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    • 2006
  • This paper tests cross hedging performance of the KOSPI 200 stock index futures to hedge the downside risk of the KOSPI, KOSPI 200 and KOSDAQ50 spot market. For this purpose we introduce the minimum variance hedge model, bivariate GARCH(1,1) and EGARCH(1,1) model as hedge models. The main results are as follows; First, we find that the direct hedge performance of KOSPI 200 index futures is better than those of indirect hedge performance. second, in case or cross hedge performance the hedge effect of KOSPI 200 stock index futures market against KOSPI 200 stock index spot market is relatively better than those of KOSPI 200 index futures against KOSPI and KOSDAQ spot position. Third, for the out-sample, hedging effectiveness of the risk-minimization with constant hedge ratios is higher than those of the time varying bivariate GARCH(1,1) and EGARCH(1,1) model. In conclusion, investors are encouraged to use simple risk-minimization model rather than the time varying hedge models like GARCH and EGARCH model to hedge the position of the Korean stock index cash markets.

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Development of Daily Rainfall Simulation Model Based on Homogeneous Hidden Markov Chain (동질성 Hidden Markov Chain 모형을 이용한 일강수량 모의기법 개발)

  • Kwon, Hyun-Han;Kim, Tae Jeong;Hwang, Seok-Hwan;Kim, Tae-Woong
    • KSCE Journal of Civil and Environmental Engineering Research
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    • v.33 no.5
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    • pp.1861-1870
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    • 2013
  • A climate change-driven increased hydrological variability has been widely acknowledged over the past decades. In this regards, rainfall simulation techniques are being applied in many countries to consider the increased variability. This study proposed a Homogeneous Hidden Markov Chain(HMM) designed to recognize rather complex patterns of rainfall with discrete hidden states and underlying distribution characteristics via mixture probability density function. The proposed approach was applied to Seoul and Jeonju station to verify model's performance. Statistical moments(e.g. mean, variance, skewness and kurtosis) derived by daily and seasonal rainfall were compared with observation. It was found that the proposed HMM showed better performance in terms of reproducing underlying distribution characteristics. Especially, the HMM was much better than the existing Markov Chain model in reproducing extremes. In this regard, the proposed HMM could be used to evaluate a long-term runoff and design flood as inputs.

A Robust Design of Response Surface Methods (반응표면방법론에서의 강건한 실험계획)

  • 임용빈;오만숙
    • The Korean Journal of Applied Statistics
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    • v.15 no.2
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    • pp.395-403
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    • 2002
  • In the third phase of the response surface methods, the first-order model is assumed and the curvature of the response surface is checked with a fractional factorial design augmented by centre runs. We further assume that a true model is a quadratic polynomial. To choose an optimal design, Box and Draper(1959) suggested the use of an average mean squared error (AMSE), an average of MSE of y(x) over the region of interest R. The AMSE can be partitioned into the average prediction variance (APV) and average squared bias (ASB). Since AMSE is a function of design moments, region moments and a standardized vector of parameters, it is not possible to select the design that minimizes AMSE. As a practical alternative, Box and Draper(1959) proposed minimum bias design which minimize ASB and showed that factorial design points are shrunk toward the origin for a minimum bias design. In this paper we propose a robust AMSE design which maximizes the minimum efficiency of the design with respect to a standardized vector of parameters.

Application Examples of Daecheong Dam for Efficient Water Management Based on Integrated Water Management (통합물관리 기반 효율적 물관리를 위한 대청댐 실무적용 사례)

  • Kang, Kwon-Su;Heo, Jun-Haeng
    • Proceedings of the Korea Water Resources Association Conference
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    • 2017.05a
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    • pp.85-85
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    • 2017
  • 효율적 물관리란 거대한 물순환 과정에서 인간이 편안한 삶을 사는데 필요한 물의 이용효율을 극대화하는 것이다. 과거의 물관리는 이원화된 수량과 수질관리, 수량중심에서는 용수공급과 홍수조절이 주요한 관심사였다. 현재는 과거의 물관리에 친수와 환경을 더한 복잡한 분야로 확대되고 있다. 통합물관리란 물을 최적으로 관리하기 위해 물관리 이해당사자간의 소통과 물 기술의 고도화를 기반으로 기존에 분산된 물관리 구성요소들(시설 정보, 수량 수질 등)을 권역적으로 관리하는 것을 말한다. 본 연구에서는 대청댐 방류에 따른 금강 하류부의 홍수추적을 위해 수행한 댐하류 소유역별 강우량 빈도분석 과정, 용담댐 방류를 고려한 대청댐 홍수도달시간 검토, Poincare Section과 신경망기법을 이용한 수문자료 예측, 추계학적 다변량 해석과 다변량 신경망해석에 의한 대청댐 유입량 산정과정, 보조여수로 건설에 따른 주여수로와 보조여수로간의 연계운영방안, 단계(관심, 주의, 경계, 심각)를 고려한 대청댐 확보수위 산정, 저수지 중장기 운영계획 수립과 댐 운영 기준수위를 결정하기 위해 누가차분방식으로 적용되는 갈수기 유입량 빈도분석에 대한 실무적용 사례를 소개하고자 한다. 강우량 빈도분석 과정은 L-모멘트방법(Hosking과 Wallis, 1993)을 적용하였고, 홍수도달시간 검토는 평균유속, 하류 수위상승 기점 영향검토, 수리학적 모형(FLDWAV, Progressive lag method 등)을 활용하였다. 카오스 이론을 도입하여 대청댐 수문자료의 상관성 검토 및 추계학적 모형을 이용한 모의발생을 유도하여 수문자료 예측을 시행하였다. 추계학적 모형과 신경망모형 연구의 대상은 대청댐으로, 시계열 자료는 댐의 월강우량, 월유입량, 최고기온, 평균기온, 최소기온, 습도, 증발량 등의 자료를 기반으로 하였다. 적용기간은 1981~2009년의 자료를 이용하여 2010년 1월부터 12월까지 12개월 동안의 월유입량을 예측하였다. 수문자료 해석의 기본이 되는 약 30년간의 자료를 이용하여 분석을 실시하였다. 대청댐의 유입량 예측을 위해 적용된 모형으로는 추계학적 모형인 ARMA모형, TF모형, TFN 모형 등이 적용되었고, 또한 신경망 모형의 종류인 다층 퍼셉트론, PCA모형 등을 활용하여 실측치와 가장 가깝게 근사화시키는 방법론을 찾고자 하였다. 또한, 기존여수로와 보조여수로 연계운영을 위해 3차원 수치해석을 통한 댐하류 안정성 검토 및 확보수위 산정을 통해 단계(관심, 주의, 경계, 심각)별로 대처가 가능한 수위를 산정하였다.

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