• Communications for Statistical Applications and Methods
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• v.9 no.1
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• pp.63-73
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• 2002

The one of analytic imputation technique involving conditional means was mentioned by Schafer and Schenker(2000). And their derivations are based on asymptotic expansions of point estimator and their associated variance estimator, and the result of imputation can be thought of as first-order approximations to the estimators. Specially in this paper, we are presenting the method of estimating a Binomial proportion with Bayesian approach of imputed conditional means. That is, instead of using maximum likelihood(ML) estimator to estimate a Binomial proportion, in general, we use the Bayesian estimators and will show the result of estimated Imputed conditional means.

• Bulletin of the Society of Naval Architects of Korea
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• v.26 no.4
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• pp.3-13
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• 1989

In recent towing tank experiments, it has been observed that a ship moving near the critical speed $\sqrt{gh}$(g=gravitational acceleration, h=water depth) radiates solitons upstream in an almost periodic manner. As a ,consequence, the ship experiences considerable changes in resistance, trim and sinkage, or better known as squat. Mei and Choi(1987) developed a nonlinear theory for a slender ship by using the method of matched asymptotic expansions. For a certain class of channel width and ship slenderness, they found that the waves generated can be described by an inhomogeneous Korteweg-de Vries(KdV) equation. The leading-order solution properly predicts solitons propagating upstream, but it fails to render three-dimensional waves in the wake. In this paper a new approach has been made by choosing a different class of channel width and ship slenderness. The wave equation in the farfield turns out to be a homogeneous Kadomtsev-Petviashvili(KP) equation, which predicts solitons upstream and three-dimensional waves in the wake. Numerical results for the wave resistance, sinkage and trim reflect the experimentally identified phenomena.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.181-192
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• 2016

We consider several methods to approximate option prices with correction terms to the Black-Scholes option price. These methods are able to compute option prices from various risk-neutral distributions using relatively small data and simple computation. In this paper, we compare the performance of Edgeworth expansion, A-type and C-type Gram-Charlier expansions, a method of using Normal inverse gaussian distribution, and an asymptotic method of using nonlinear regression through simulation experiments and real KOSPI200 option data. We assume the variance gamma model in the simulation experiment, which has a closed-form solution for the option price among the pure jump $L{\acute{e}}vy$ processes. As a result, we found that methods to approximate an option price directly from the approximate price formula are better than methods to approximate option prices through the approximate risk-neutral density function. The method to approximate option prices by nonlinear regression showed relatively better performance among those compared.

• Structural Engineering and Mechanics
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• v.44 no.4
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• pp.521-538
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• 2012

In this study, the transverse vibrations of an axially moving flexible beams resting on multiple supports are investigated. The time-dependent velocity is assumed to vary harmonically about a constant mean velocity. Simple-simple, fixed-fixed, simple-simple-simple and fixed-simple-fixed boundary conditions are considered. The equation of motion becomes independent from geometry and material properties and boundary conditions, since equation is expressed in terms of dimensionless quantities. Then the equation is obtained by assuming small flexural rigidity. For this case, the fourth order spatial derivative multiplies a small parameter; the mathematical model converts to a boundary layer type of problem. Perturbation techniques (The Method of Multiple Scales and The Method of Matched Asymptotic Expansions) are applied to the equation of motion to obtain approximate analytical solutions. Outer expansion solution is obtained by using MMS (The Method of Multiple Scales) and it is observed that this solution does not satisfy the boundary conditions for moment and incline. In order to eliminate this problem, inner solutions are obtained by employing a second expansion near the both ends of the flexible beam. Then the outer and the inner expansion solutions are combined to obtain composite solution which approximately satisfying all the boundary conditions. Effects of axial speed and flexural rigidity on first and second natural frequency of system are investigated. And obtained results are compared with older studies.

• Wind and Structures
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• v.17 no.3
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• pp.275-298
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• 2013

This paper presents a number of approximated analytical formulations for the flutter analysis of long-span bridges using the so-called uncoupled flutter derivatives. The formulae have been developed from the simplified framework of a bimodal coupled flutter problem. As a result, the proposed method represents an extension of Selberg's empirical formula to generic bridge sections, which may be prone to one of the aeroelastic instability such as coupled-mode or single-mode (either dominated by torsion or heaving mode) flutter. Two approximated expressions for the flutter derivatives are required so that only the experimental flutter derivatives of ($H_1^*$, $A_2^*$) are measured to calculate the onset flutter. Based on asymptotic expansions of the flutter derivatives, a further simplified formula was derived to predict the critical wind speed of the cross section, which is prone to the coupled-mode flutter at large reduced wind speeds. The numerical results produced by the proposed formulas have been compared with results obtained by complex eigenvalue analysis and available approximated methods show that they seem to give satisfactory results for a wide range of study cases. Thus, these formulas can be used in the assessment of bridge flutter performance at the preliminary design stage.

• 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.