• Communications for Statistical Applications and Methods
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• v.4 no.1
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• pp.185-191
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• 1997

Bayesian estimation of multinomial and Poisson parameters under starshped restriction is considered. Most Bayesian estimations in order restricted statistical inference require the high-dimensional integration which is very difficult to evaluate. Monte Carlo integration and Gibbs sampling are among alternative methods. The Bayesian estimation considered in this paper requires only evaluation of incomplete beta functions which are extensively tabulated.

• The Korean Journal of Applied Statistics
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• v.13 no.2
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• pp.477-488
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• 2000

A distance measure between two Latin-hypercube designs is defined and its expected value is computed. It was computed by using mathematical statistics, numerical analysis (multidimensional numerical integration), Monte-carlo method, and the theory of asymptotic normal distribution. For the comparison of two Latin-hypercube designs with same structure but different randomness, the difference of expected values of response function and information mass of experimental designs are considered. These methods may be useful in comparison between two general experimental designs.

• Journal of Institute of Control, Robotics and Systems
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• v.8 no.10
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• pp.847-850
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• 2002

Stochastic process analysis is often based on Monte Carlo simulations. As a more rigorous alternative, a deterministic algorithm based on numerical integration is proposed in this paper. which calculates the probability distributions of dependent random variables using the results of simulation with grid points of independent random variables. For performance evaluation, the proposed algorithm is applied to an example problem which can be analytically solved. and the result is compared with that of Monte Carlo simulation. The proposed algorithm is suitable for general process simulation problems with a few independent random variables, and expected to be applicable to areas such as safety analysis and quality control.

• Communications for Statistical Applications and Methods
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• v.26 no.3
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• pp.315-323
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• 2019

Panel data sets have recently been developed in various areas, and many recent studies have analyzed panel, or longitudinal data sets. Often a dichotomous dependent variable occur in survival analysis, biomedical and epidemiological studies that is analyzed by a generalized linear mixed effects model (GLMM). The most common estimation method for the binary panel data may be the maximum likelihood (ML). Many statistical packages provide ML estimates; however, the estimates are computed from numerically approximated likelihood function. For instance, R packages, pglm (Croissant, 2017) approximate the likelihood function by the Gauss-Hermite quadratures, while Rchoice (Sarrias, Journal of Statistical Software, 74, 1-31, 2016) use a Monte Carlo integration method for the approximation. As a result, it can be observed that different packages give different results because of different numerical computation methods. In this note, we discuss the pros and cons of numerical methods compared with the exact computation method.

• Communications for Statistical Applications and Methods
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• v.13 no.3
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• pp.587-605
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• 2006

Recent results in applied statistics have shown that the presence of periodicities in time series may influence the estimation and testing of the fractional differencing parameter. In this article, we provide further evidence on the issue by using several procedures of fractional integration. The results show that in the presence of periodicities, the order of integration can be erroneously detected. An empirical application in the context of seasonal data is also carried out at the end of the article.

• Magazine of the Korean Society of Agricultural Engineers
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• v.36 no.1
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• pp.54-62
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• 1994

The expanding technique of the Stochastic Finite Element Method(SFEM) is proposed in this paper for adapting direct integration methods in stochastical dynamic analysis of structures. Grafting the direct integration methods and the SFEM together, one can deal with nonlinear structures and nonstationary process problems without any restriction. The stochastical central diffrence and stochastic Houbolt methods are introduced to show the expanding technique, and their adaptabilities are discussed. Results computed by the proposed method (the Stochastic Finite Element Method in Dynamics: SFEMD) for two degree-of-free- dom system are compared with those obtained by Monte Carlo Simulation.

• Communications for Statistical Applications and Methods
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• v.11 no.2
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• pp.313-321
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• 2004

In this article we show that the tests of Robinson (1994) may have serious problems in distinguishing between fractionally integrated processes in the context of deterministic trends. The results are obtained via Monte Carlo experiments. A simple procedure, based on the t-values of the coefficients from the differenced regression, is presented to correctly specify the time series of interest and, an empirical application, using data of the US GNP is also carried out at the end of the article.

• Earthquakes and Structures
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• v.7 no.2
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• pp.119-139
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• 2014

A new method is proposed for random vibration anaylsis of hysteretic systems subjected to non-stationary random excitations. With the Bouc-Wen model, motion equations of hysteretic systems are first transformed into quasi-linear equations by applying the concept of equivalent excitations and decoupling of the real and hysteretic displacements, and the derived equation system can be solved by either the precise time integration or the Newmark-${\beta}$ integration method. Combining the numerical solution of the auxiliary differential equation for hysteretic displacements, an explicit iteration algorithm is then developed for the dynamic response analysis of hysteretic systems. Because the computational cost for a large number of deterministic analyses of hysteretic systems can be significantly reduced, Monte-Carlo simulation using the explicit iteration algorithm is now viable, and statistical characteristics of the non-stationary random responses of a hysteretic system can be obtained. Numerical examples are presented to show the accuracy and efficiency of the present approach.

• Journal of Electrical Engineering and Technology
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• v.8 no.3
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• pp.453-463
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• 2013

The probabilistic nature of renewable energy, especially wind energy, increases the needs for new forms of planning and operating with electrical power. This paper presents a novel approach for determining the short-term generation schedule for optimal operations of wind energy-integrated power systems. The proposed probabilistic security-constrained optimal power flow (P-SCOPF) considers dispatch, network, and security constraints in pre- and post-contingency states. The method considers two sources of uncertainty: power demand and wind speed. The power demand is assumed to follow a normal distribution, while the correlated wind speed is modeled by the Weibull distribution. A Monte Carlo simulation is used to choose input variables of power demand and wind speed from their probability distribution functions. Then, P-SCOPF can be applied to the input variables. This approach was tested on a modified IEEE 30-bus system with two wind farms. The results show that the proposed approach provides information on power system economics, security, and environmental parameters to enable better decision-making by system operators.

• Wind and Structures
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• v.21 no.5
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• pp.461-487
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• 2015

In recent years, the Graphics Processing Unit (GPU) has become a competitive computing technology in comparison with the standard Central Processing Unit (CPU) technology due to reduced unit cost, energy and computing time. This paper describes the derivation and implementation of GPU-based algorithms for the analysis of wind loading uncertainty on high-rise systems, in line with the research field of probability-based wind engineering. The study begins by presenting an application of the GPU technology to basic linear algebra problems to demonstrate advantages and limitations. Subsequently, Monte-Carlo integration and synthetic generation of wind turbulence are examined. Finally, the GPU architecture is used for the dynamic analysis of three high-rise structural systems under uncertain wind loads. In the first example the fragility analysis of a single degree-of-freedom structure is illustrated. Since fragility analysis employs sampling-based Monte Carlo simulation, it is feasible to distribute the evaluation of different random parameters among different GPU threads and to compute the results in parallel. In the second case the fragility analysis is carried out on a continuum structure, i.e., a tall building, in which double integration is required to evaluate the generalized turbulent wind load and the dynamic response in the frequency domain. The third example examines the computation of the generalized coupled wind load and response on a tall building in both along-wind and cross-wind directions. It is concluded that the GPU can perform computational tasks on average 10 times faster than the CPU.