• Journal of the Korean Statistical Society
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• v.18 no.1
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• pp.13-25
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• 1989

This paper suggests a classification rule with unequal covariance matrices when a patterned incomplete data are involved in the discriminant analysis. This is an extension of Geisser's (1966) result to the case of missing observations. For the calssificaiton rule, we introduce an algorithm which contains data augmentation step and Monte Carlo integration step and show that the algorithm yields a consistant estimator of true classification probability. The proposed method is compared to the complete observation vector method through a Monte Carlo study. The results show that the suggested method, in general, performs better than the complete observation vector method which ignores those vectors of observation with one or more missing values from the analysis. The results also verify the consistency of the algorithm.

• Steel and Composite Structures
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• v.11 no.2
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• pp.115-130
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• 2011

Considering the randomness of material parameters in the laminated composite plate, a scheme of stochastic finite element method to analyze the displacement response variability is suggested. In the formulation we adopted the concept of the weighted integral where the random variable is defined as integration of stochastic field function multiplied by a deterministic function over a finite element. In general the elastic modulus of composite materials has distinct value along an individual axis. Accordingly, we need to assume 5 material parameters as random. The correlations between these random parameters are modeled by means of correlation functions, and the degree of correlation is defined in terms of correlation coefficients. For the verification of the proposed scheme, we employ an independent analysis of Monte Carlo simulation with which statistical results can be obtained. Comparison is made between the proposed scheme and Monte Carlo simulation.

• Proceedings of the Korean Society for Noise and Vibration Engineering Conference
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• 2014.10a
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• pp.830-832
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• 2014

In this study, friction stick-slip vibration're interpretation of the phenomenon, we used a statistical model of friction. In a previous study using a definite friction factor, but to a dynamic simulation using a constantly changing during the integration time by a Monte Carlo simulation method, not the average coefficient of friction and the dynamic friction coefficient and a constant value in this study.

• Journal of the Korean Data and Information Science Society
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• v.13 no.2
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• pp.227-234
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• 2002

In this paper, we consider hierarchical Bayes generalized linear models for the analysis of longitudinal count data. Specifically we introduce the hierarchical Bayes random effects models. We discuss implementation of the Bayes procedures via Markov chain Monte Carlo (MCMC) integration techniques. The hierarchical Baye method is illustrated with a real dataset and is compared with other statistical methods.

• Communications for Statistical Applications and Methods
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• v.23 no.1
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• pp.21-32
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• 2016

We study asymptotic expansion formulae for numerical computation of Greeks (i.e. sensitivity) in finance. Our approach is based on the integration-by-parts formula of the Malliavin calculus. We propose asymptotic expansion of Greeks for a stochastic volatility model using the Greeks formula of the Black-Scholes model. A singular perturbation method is applied to derive asymptotic Greeks formulae. We also provide numerical simulation of our method and compare it to the Monte Carlo finite difference approach.

• Proceedings of the Korean Nuclear Society Conference
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• 1997.05b
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• pp.566-570
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• 1997

The effect of average gamma energy on the external radiation dose has been analyzed. Cloud- and groundshine have been calculated according to the average gamma energy. Monte Carlo integration method was used for the calculation of cloudshine and Romberg quadrature method was adopted for groundshine. The analysis shows that the external gamma exposure is strong]y dependent on the gamma energy and the distribution of radiation sources.

• Communications for Statistical Applications and Methods
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• v.12 no.1
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• pp.101-115
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• 2005

We propose in this article a procedure for testing unit and fractional orders of integration, with the roots simultaneously occurring in the trend, the seasonal and the cyclical component of the time series. The tests have standard null and local limit distributions. However, finite sample critical values are computed, and several Monte Carlo experiments conducted across the paper show that the rejection frequencies against unit (and fractional) orders of integration are relatively high in all cases. The tests are applied to the UK consumption and income series, the results showing the importance of the roots corresponding to the trend and the seasonal components and, though the unit roots are found to be fairly suitable models, we show that fractional processes (including one for the cyclical component) may also be plausible alternatives in some cases.

• Proceedings of the KIEE Conference
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• 2000.07d
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• pp.2433-2435
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• 2000

Inertial Navigation System(INS) provides short-term accurate navigation solution but its error grows with time due to integration characteristics. Meanwhile, Global Positioning System(GPS) provides long-term stable solution but it has poor error characteristics in high dynamic region. So for its synergistic relationship, an integrated INS/GPS systems has been widely used as an advanced navigation system. Generally, two kinds of integration method are used. One is loosely coupled mode which uses GPS-derived position and velocity as measurements in an integrated Kalman filter. The other is tightly coupled one which uses pseudorange and pseudorange rate as Kalman filter measurements. In this paper the system error models and observation models for two kinds of integrated systems are derived, respectively, and their performance are compared through Monte-Carlo simulations.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.21 no.6
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• pp.1510-1521
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• 1996

This paper presents acquisition algorithm and an improved detection technique for the DS/CDMA (direction sequence code division multiple access) RAKE receiver in multipath fading channel. The DS/CDMA systems use the RAKE receiver, an accurate code acquisition is required for the RAKE branches. The algorithmis able to findthe pseudonoise (PN) code delay estimates for the RAKE branches in a multipath fading channel. In this paper a numerical method and computer simulation simulation have been developed for the acquisition system. The detection probability and mean acquisition time are investigated asa performance measure of the system using the Monte Carlo method. And also in order to analyze the effect of the acquisition on the RAKE receiver this paper bring out the effect of integration time, doppler frequency, processing gain and the number of users on the acquired code phase.

• Structural Engineering and Mechanics
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• v.21 no.3
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• pp.255-273
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• 2005

Based on the random vibration theory, a response spectrum method is developed for seismic response analysis of linear, multi-degree-of-freedom structures under multi-support excitations is developed. Various response quantities, including the mean and variance of the peak response, the response mean frequency, are obtained from proposed combination rules in terms of the mean response spectrum. This method makes it possible to apply the response spectrum to the seismic reliability analysis of structures subjected to multi-support excitations. Considering that the tedious numerical integration is required to compute the spectral parameters and correlation coefficients in above combination rules, this paper further offers simplified procedures for their computation, which enhance dramatically the computational efficiency of the suggested method. The proposed procedure is demonstrated for tow numerical examples: (1) two-span continuous beam; (2) two-tower cabled-stayed bridge by using Monte Carlo simulation (MC). For this purpose, this paper also presents an approach to simulation of ground motions, which can take into account both mean and variation properties of response spectrum. Computed results based on the response spectrum method are in good agreement with Monte Carlo simulation results. And compared with the MSRS method, a well-developed multi-support response spectrum method, the proposed method has an incomparable computational efficiency.