• 한국산업융합학회 논문집
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• 제12권1호
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• pp.35-42
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• 2009

In Taguchi's quadratic expected loss function used as robustness metric of performance characteristics, the mean and variance contributions are confounded. The consolidation of the mean and variance in the expected loss function may not always be the ideal approach. This paper presents a procedure for multi-attributes design optimization, where the mean and variance of performance characteristics are considered as separate attributes having designer's relative preferences for them and Technique for Order Preference by Similarity to Ideal Solution(TOPSIS) is introduced to attain robust optimal design. The effectiveness of proposed approach is shown with an example of a weld line minimization problem in the injection molding process.

• Journal of the Korean Data and Information Science Society
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• 제23권4호
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• pp.807-814
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• 2012

We know that the exponentially weighted moving average (EWMA) control charts are sensitive to detecting relatively small shifts. Multivariate EWMA control charts are considered for monitoring of variance-covariance matrix when the distribution of process variables is multivariate normal. The performances of the proposed EWMA control charts are evaluated in term of average run length (ARL). The performance is investigated in three types of shifts in the variance-covariance matrix, that is, the variances, covariances, and variances and covariances are changed respectively. Numerical results show that all multivariate EWMA control charts considered in this paper are effective in detecting several kinds of shifts in the variance-covariance matrix.

• Communications for Statistical Applications and Methods
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• 제19권1호
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• pp.177-182
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• 2012

A structural break in the level as well as in the innovation variance has often been exhibited in economic time series. In this paper we propose robust unit root tests based on a sign-type test statistic when a time series has a shift in its level and the corresponding volatility. The proposed tests are robust to a wide class of partially stationary processes with heavy-tailed errors, and have an exact binomial null distribution. Our tests are not affected by the size or location of the break. We set the structural break under the null and the alternative hypotheses to relieve a possible vagueness in interpreting test results in empirical work. The null hypothesis implies a unit root process with level shifts and the alternative connotes a stationary process with level shifts. The Monte Carlo simulation shows that our tests have stable size than the OLSE based tests.

• 한국경영과학회지
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• 제34권4호
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• pp.113-121
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• 2009

In this paper, we consider the departure process from the open and nested tandem Queueing network with population constraint and constant service times. It is known that the Queueing network can be transformed into a simple Queueing network which can be easy to analyze. Using this simple Queueing network, upper and lower bounds on the interdeparture time are obtained. We prove that the variance of the interdeparture time is bounded within these two bounds. Validation against simulation data is shown that how it works the variance of the interdeparture time within two bounds. These bounds can be applied to obtain the better variance of the interdeparture time using a suitable method.

• 대한수학회지
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• 제57권5호
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• pp.1167-1186
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• 2020

This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, and the stochastic interest rate is driven by the Cox-Ingersoll-Ross (CIR) process with full correlation structure imposed among the state variables. This full correlation structure possesses the limitation to have fully analytical pricing formula for hybrid models of variance swaps, due to the non-affinity property embedded in the model itself. We address this issue by obtaining an efficient semi-closed form pricing formula of variance swaps for an approximation of the hybrid model via the derivation of characteristic functions. Subsequently, we implement numerical experiments to evaluate the accuracy of our pricing formula. Our findings confirm that the impact of the correlation between the underlying and the interest rate is significant for pricing discretely-sampled variance swaps.

• 한국소음진동공학회논문집
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• 제19권7호
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• pp.726-735
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• 2009

이 논문에서는 신호 모델에 기반하여 유도전동기의 고장 검출 및 고장 진단을 위한 새로운 시스템을 제안한다. 산업현장에 적용하는 기존의 제품들은 신호가 문턱치를 넘어면 고장을 검출하는 단순한 알고리듬을 가지고 있어 고장의 유형이나 고장을 예측하는데 문제가 있다. 이 논문에서는 이러한 문제들을 해결하기 위한 시스템을 제안한다. 이 시스템은 고장 검출 과정과 고장 진단 과정으로 구성되며, 고장 검출 과정은 기계 신호음들이 웨이블렛 필터뱅크를 통과한 후 웨이블렛 계수들의 분산과 상관도를 분석하여 고장을 검출한다. 고장 진단 과정은 패턴분류기술을 적용하여 고장의 유형을 진단하게 된다. 대표적인 유도전동기 고장 유형들로서는 불평형, 미스얼라이먼트, 그리고 베어링 루스 등이 있으며, 이러한 유형들은 제안하는 시스템에서 분석되고 진단을 받게 된다. 제안하는 시스템에 적용한 결과 상관도를 이용한 방법은 78 %, 분산을 이용한 방법은 95 % 이상의 고장진단율을 보이는 우수한 결과를 나타내었다.

• ETRI Journal
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• 제45권1호
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• pp.131-137
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• 2023

The phase reconstruction process in digital holographic microscopy involves a trade-off between the phase error and the high-spatial-frequency components. In this reconstruction process, if the narrow region of the sideband is windowed in the Fourier domain, the phase error from the DC component will be reduced, but the high-spatial-frequency components will be lost. However, if the wide region is windowed, the 3D profile will include the high-spatial-frequency components, but the phase error will increase. To solve this trade-off, we propose the high-variance pixel averaging method, which uses the variance map of the reconstructed depth profiles of the windowed sidebands of different sizes in the Fourier domain to classify the phase error and the high-spatial-frequency components. Our proposed method calculates the average of the high-variance pixels because they include the noise from the DC component. In addition, for the nonaveraged pixels, the reconstructed phase data created by the spatial frequency components of the widest window are used to include the high-spatialfrequency components. We explain the mathematical algorithm of our proposed method and compare it with conventional methods to verify its advantages.

• International Journal of Quality Innovation
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• 제1권1호
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• pp.89-96
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• 2000

Evolutionary operation (EVOP) is a continuous improvement system which explores a region of process operating conditions by deliberately creating some systematic changes to the process variable levels without jeopardizing the product. It is aimed at securing a satisfactory operating condition in full-scale manufacturing processes, which is generally different from that obtained in laboratory or pilot plant experiments. Information on how to improve the process is generated from a simple experimental design. Traditional EVOP procedures are established on the assumption that the variance of the response variable should be small and stable in the region of the process operation. However, it is often the case that process noises have an influence on the stability of the process. This process instability is due to many factors such as raw materials, ambient temperature, and equipment wear. Therefore, process variables should be optimized continuously not only to meet the target value but also to keep the variance of the response variables as low as possible. We propose a scheme to achieve robust process improvement. As a process performance measure, we adopted the mean square error (MSE) of the replicate response values on a specific operating condition, and used the Kruskal-Wallis test to identify significant differences between the process operating conditions.

• Journal of the Korean Statistical Society
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• 제26권1호
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• pp.31-46
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• 1997

Let $X_{t}$ = .beta. $X_{{t-1}}$ + .epsilon.$_{t}$ be an autoregressive process where $\mid$.beta.$\mid$ < 1 and {.epsilon.$_{t}$} is independent and identically distriubted with regularly varying tail probabilities. This process is called the asymptotically stationary first-order autoregressive process (AR(1)) with infinite variance. In this paper, we obtain a host of weak convergences of some point processes based on bootstrapping of { $X_{t}$}. These kinds of results can be generalized under the infinite variance assumption to ensure the asymptotic validity of the bootstrap method for various functionals of { $X_{t}$} such as partial sums, sample covariance and sample correlation functions, etc.ions, etc.

• 동력기계공학회지
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• 제17권6호
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• pp.108-114
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• 2013

This paper describes process optimization for thermal-sprayed Co-based self-flux alloy coating by Taguchi method. Co-based self-flux alloy coatings were fabricated according to $L_9(3^4)$ orthogonal array using flame spray process. Hardness test and wear test were performed, the results were analyzed by analysis of variance(ANOVA) considering a multi response signal to noise ratio(MRSN). From the results of ANOVA, the optimal combination of the flame spray parameters on Co-based self-flux alloy coating could be predicted. The calculated hardness and wear rate of the coatings by ANOVA were found to be close to that of confirmation experimental result.