• Communications for Statistical Applications and Methods
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• v.25 no.6
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• pp.659-671
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• 2018

In this study, we consider the extension of the heterogeneous autoregressive (HAR) model for realized volatility by incorporating a neural network (NN) structure. Since HAR is a linear model, we expect that adding a neural network term would explain the delicate nonlinearity of the realized volatility. Three neural network-based HAR models, namely HAR-NN, $HAR({\infty})-NN$, and HAR-AR(22)-NN are considered with performance measured by evaluating out-of-sample forecasting errors. The results of the study show that HAR-NN provides a slightly wider interval than traditional HAR as well as shows more peaks and valleys on the turning points. It implies that the HAR-NN model can capture sharper changes due to higher volatility than the traditional HAR model. The HAR-NN model for prediction interval is therefore recommended to account for higher volatility in the stock market. An empirical analysis on the multinational realized volatility of stock indexes shows that the HAR-NN that adds daily, weekly, and monthly volatility averages to the neural network model exhibits the best performance.

• Journal of the Korean Data and Information Science Society
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• v.8 no.2
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• pp.271-276
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• 1997

A dynamic discount approach is proposed for the estimation of the Poisson parameter and the forecasting of the Poisson random variable, where the parameter of the Poisson distribution varies over time intervals. The recursive estimation procedure of the Poisson parameter is provided. Also the forecasted distribution of the Poisson random variable in the next time interval based on the information gathered until the current time interval is provided.

• Journal of the Korean Data and Information Science Society
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• v.7 no.2
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• pp.227-234
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• 1996

The discount survival model is proposed for the application of the Cox model on the analysis of survival data with time-varying effects of covariates. Algorithms for the recursive estimation of the parameter vector and the retrospective estimation of the survival function are suggested. Also the algorithm of forecasting of the survival function of individuals of specific covariates in the next time interval based on the information gathered until the end of a certain time interval is suggested.

• Nuclear Engineering and Technology
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• v.53 no.12
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• pp.4042-4051
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• 2021

In this work, we applied a multilevel modeling technique to estimate the diametral creep in the pressure tubes of Korean Canada Deuterium Uranium (CANDU) units. Data accumulated from in-service inspections were used to develop the model. To confirm the strength of the multilevel models, a 2-level multilevel model considering the relationship between channels for a CANDU unit was compared with existing linear models. The multilevel model exhibited a very robust prediction accuracy compared to the linear models with different data pooling methods. A 3-level multilevel model, which considered individual bundles, channels, and units, was also implemented. The influence of the channel installation direction was incorporated into the three-stage multilevel model. For channels that were previously measured, the developed 3-level multilevel model exhibited a very good predictive power, and the prediction interval was very narrow. However, for channels that had never been measured before, the prediction interval widened considerably. This model can be sufficiently improved by the accumulation of more data and can be applied to other CANDU units.

• Proceedings of the Korean Institute of Information and Commucation Sciences Conference
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• 2016.05a
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• pp.178-180
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• 2016

TMDE(Test Measurement and Diagnostic Equipment) which is using in the military weapon system should perform the periodic calibration to maintain a measurement reliability during the life cycle, organizations are faced with increasing pressures to minimize costs while improving the reliability of test equipment. Previous studies suggest that reliability models are determined by considering simple size and characteristics of equipment, however an applying single Model may not be fit well maintenance data of many kinds of TMDEs. This paper presents that recommending an optimal calibration interval through the goodness of fit test with verifying statistical significance level among the several intervals which are computed with using major reliability models. According to the result of applying the actual proposed of calibration interval analysis method for various types of equipment, reliabilities are maintained for the end of calibration intervals.

• Journal of the Korean Data and Information Science Society
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• v.20 no.1
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• pp.203-209
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• 2009

Frailty models are useful for the analysis of correlated and/or heterogeneous survival data. However, the inferences of fixed parameters, rather than random effects, have been mainly studied. The prediction (or estimation) of random effects is also practically useful to investigate the heterogeneity of the hospital or patient effects. In this paper we propose how to extend the prediction method for random effects in HGLMs (hierarchical generalized linear models) to log-normal semiparametric frailty models with nonparametric baseline hazard. The proposed method is demonstrated by a simulation study.

• Journal of the Korea Safety Management & Science
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• v.9 no.3
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• pp.165-171
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• 2007

Dependent models in quality statistics are classified as serially autocorrelated model, multivariate model and dependent sample model. Dependent sample model is most efficient in time and cost to obtain samples among the above models. This paper proposes to implement parametric and nonparametric models into production system depended on demand pattern. Nonparametric models have distribution free and asymptotic distribution free techniques. Quality statistical models are classified into two categories ; the number of dependent sample and the type of data. The type of data consists of nominal, ordinal, interval and ratio data. The number of dependent sample divides into 2 samples and more than 3 samples.

• Management Science and Financial Engineering
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• v.4 no.2
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• pp.1-13
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• 1998

The Shortest Path Problem in Time-dependent Networks, where the travel time of each link depends on the time interval, is not realistic since the model and its solution violate the Non-passing Property (NPP:often referred to as FIFO) of real phenomena. Furthermore, solving the problem needs much more computational and memory complexity than the general shortest path problem. A new model for Time-dependent Networks where the flow speeds of each link depend on time interval, is suggested. The model is more realistic since its solution maintains the NPP. Solving the problem needs just a little more computational complexity, and the same memory complexity, as the general shortest path problem. A solution algorithm modified from Dijkstra's label setting algorithm is presented. We extend this model to the problem of Minimum Expected Time Path in Time-dependent Stochastic Networks where flow speeds of each link change statistically on each time interval. A solution method using the Kth-shortest Path algorithm is presented.

• Journal of the Korea Safety Management & Science
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• v.10 no.2
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• pp.205-210
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• 2008

The research interprets the principles of sampling error design for quality statistics models such as hypothesis test, interval estimation, control charts and acceptance sampling. Introducing the proper discussions of the design of significance level according to the use of hypothesis test, then it presents two methods to interpret significance by Neyman-Pearson and Fisher. Second point of the study proposes the design of confidence level for interval estimation by Bayesian confidence set, frequentist confidential set and fiducial interval. Third, the content also indicates the design of type I error and type II error considering both productivity and customer claim for control chart. Finally, the study reflects the design of producer's risk with operating charistictics curve, screening and switch rules for the purpose of purchasing and subcontraction.

• Proceedings of the KIEE Conference
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• 2004.11c
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• pp.328-330
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• 2004

In this paper, ECG based cardiac disease diagnosis models are developed. Conventionally, ECG monitoring equipments can only measure and store ECG signals and they always require medical doctor's diagnosis actions which are not desirable for continuous ambulatory monitoring and diagnosis healthcare systems. In this paper, two kinds of neural based self cardiac disease diagnosis engines are developed and tested for four kinds of diseases, sinus bradycardia, sinus tachycardia, left bundle branch block and right bundle branch block. For diagnosis engines, error backpropagation neural network (BP) and probabilistic neural network (PNN) were applied. Five signal features including heart rate, QRS interval, PR interval, QT interval, and T wave types were selected for diagnosis characteristics. To show the validity of proposed diagnosis engine, MIT-BIH database were used to test. Test results showed that BP based diagnosis engine has 71% of diagnosis accuracy which is superior to accuracy of PNN based diagnosis engine. However, PNN based diagnosis engine showed superior diagnosis accuracy for complex-disease diagnoses than BP based diagnosis engine.