• Journal of Korean Society for Quality Management
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• v.25 no.4
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• pp.99-105
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• 1997

We consider a nonparametric estimation of the renewal function. In this paper, we suggest modified methods for Frees's estimator to enhance the efficiency. The methods are based on a piecewise linearization and on the fact that the bounded monotonic functions converging pointwise to the bounded monotonic continuous function converge uniformly. In a simulation study, we show that the modified methods have the better efficiency than that introduced by Frees.

• Journal of the Society of Naval Architects of Korea
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• v.31 no.1
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• pp.102-110
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• 1994

The roll response of ships to the narrow band random exciting moment is investigated based on the multiple time scale technique. The results are compared with those calculated from statistical equivalent linearization method. The calculation results have shown that the results calculated from multiple time scale technique eve wider range of multiple values. Numerical simulations of rolling motion of ship are performed to confirm the results.

• Communications for Statistical Applications and Methods
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• v.30 no.4
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• pp.403-410
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• 2023

Two-Phase sampling, which was first introduced by Neyman (1938), has various applications in different forms. Variance estimation for two-phase sampling has been an important research topic because conventional variance estimators used in most softwares are not working. In this paper, we considered a variance estimation for two-phase sampling in which stratified two-stage cluster sampling designs are used in both phases. By defining a conditionally unbiased estimator of an approximate variance estimator, which is calculable when all elements in the first phase sample are observed, we propose an explicit form of variance estimator of the double expanded estimator for a two-phase sample. A small simulation study shows the proposed variance estimator has a negligible bias with small variance. The suggested variance estimator is also applicable to other linear estimators of the population total or mean if appropriate residuals are defined.

• International Journal of Control, Automation, and Systems
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• v.1 no.4
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• pp.520-526
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• 2003

In the case of a strapdown inertial navigation system (SDINS) with sizeable attitude errors, the uncertainty caused by linearization of the system degrades the performance of the filter. In this paper, a robust filter and various error models for the uncertainty are presented. The analytical characteristics of the proposed filter are also investigated. The results show that the filter does not require the statistical property of the system disturbance and that the region of the estimation error depends on a freedom parameter in the worst case. Then, the uncertainty of the SDINS is derived. Depending on the choice of the reference frame and the attitude error state, several error models are presented. Finally, various in-flight alignment methods are proposed by combining the robust filter with the error models. Simulation results demonstrate that the proposed filter effectively improves the performance.

• Journal of the Korean Society for Precision Engineering
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• v.6 no.1
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• pp.33-44
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• 1989

A controller disign method is proposed for multivariable nonlinear stochastic systems with hard nonlinearities such as Coulomb friction, backlash and saturation. In order to take the nonlinearities into account statistical linearization techniques are used. And multi- variable pole placement techniques are applied to design controller for the statistically linearized multivariable systems. The basic concept of the controller design method is to solve two coupled equations, characteristic equation and Lyapunov equation, simultaneously and iteratively for statistically linearized multivariable stochastic systems. An aircraft with saturation serves as a design example. The design example illustrates the influence of nonlinear effects. The results of the analysis are compared to Monte Carlo simulation to test their accuracy.

• Earthquakes and Structures
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• v.10 no.6
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• pp.1451-1465
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• 2016

The effectiveness of base isolation (BI) systems for mitigation of seismic vibration of bridges have been extensively studied in the past. It is well established in those studies that the performance of BI system is largely dependent on the characteristics of isolator yield strength. For optimum design of such systems, normally a standard nonlinear optimization problem is formulated to minimize the maximum response of the structure, referred as Stochastic Structural Optimization (SSO). The SSO of BI system is usually performed with reference to a problem of unconstrained optimization without imposing any restriction on the maximum isolator displacement. In this regard it is important to note that the isolator displacement should not be arbitrarily large to fulfil the serviceability requirements and to avoid the possibility of pounding to the adjacent units. The present study is intended to incorporate the effect of excessive isolator displacement in optimizing BI system to control seismic vibration effect of bridges. In doing so, the necessary stochastic response of the isolated bridge needs to be optimized is obtained in the framework of statistical linearization of the related nonlinear random vibration problem. A simply supported bridge is taken up to elucidate the effect of constraint condition on optimum design and overall performance of the isolated bridge compared to that of obtained by the conventional unconstrained optimization approach.

• Journal of Korean Institute of Industrial Engineers
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• v.25 no.4
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• pp.500-509
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• 1999

In this paper, we consider an optimal routing problem when point-to-point and point-to-multipoint connection traffics are offered in an ATM network. We propose a mathematical model for cost-minimizing configuration of a logical network for a given ATM-based BISDN. Our model is essentially identical to the previous one proposed by Kim(Kim, 1996) which finds a virtual-path configuration where the relevant gains obtainable from the ATM technology such as the statistical multiplexing gain and the switching/control cost-saving gain are optimally traded-off. Unlike the Kim's model, however, ours explicitly considers the VP's QoS(Quality of Service) for more efficient utilization of bandwidth. The problem is a large-scale, nonlinear, and mixed-integer problem. The proposed algorithm is based on the local linearization of equivalent-capacity functions and the relaxation of link capacity constraints. As a result, the problem can be decomposed into moderate-sized shortest path problems, Steiner arborescence problems, and LPs. This fact renders our algorithm a lot faster than the previous nonlinear programming algorithm while the solution quality is maintained, hence application to large-scale network problems.

• The Korean Journal of Applied Statistics
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• v.26 no.5
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• pp.767-783
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• 2013

Generalized Method of Moment(GMM) is a popular estimation method to estimate model parameters in empirical financial studies. GMM is frequently applied to estimate diffusion models that are basic techniques of modern financial engineering. However, recent research showed that GMM had poor properties to estimate the parameters that pertain to the diffusion coefficient in diffusion models. This research corrects the weakness of GMM and suggests alternatives to improve the statistical properties of GMM estimators. In this study, a simulation method is adopted to compare estimation methods. Out of compared alternatives, NGMM-Y, a version of improved GMM that adopts the NLL idea of Shoji and Ozaki (1998), showed the best properties. Especially NGMM-Y estimator is superior to other versions of GMM estimators for the estimation of diffusion coefficient parameters.

• The Korean Journal of Applied Statistics
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• v.24 no.6
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• pp.1007-1020
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• 2011

Since the research of Black and Scholes (1973), modeling methods using diffusion processes have performed principal roles in financial engineering. In modern financial theories, various types of diffusion processes were suggested and applied in real situations. An estimation of the model parameters is an indispensible step to analyze financial data using diffusion process models. Many estimation methods were suggested and their properties were investigated. This paper reviews the statistical properties of the, Euler approximation method, New Local Linearization(NLL) method, and Generalized Methods of Moment(GMM) that are known as the most practical methods. From the simulation study, we found the NLL and Euler methods performed better than GMM. GMM is frequently used to estimate the parameters because of its simplicity; however this paper shows the performance of GMM is poorer than the Euler approximation method or the NLL method that are even simpler than GMM. This paper shows the performance of the GMM is extremely poor especially when the parameters in diffusion coefficient are to be estimated.

• The Korean Journal of Applied Statistics
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• v.20 no.2
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• pp.281-290
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• 2007

Linear estimator, a weighted sum of the sample observation, is commonly adopted to estimate the finite population parameters such as population totals in survey sampling. The weight for a sampled unit is often constructed by multiplying the base weight, which is the inverse of the first-order inclusion probability, by an adjustment term that takes into account of the auxiliary information obtained throughout the population. The linear estimator using the weight adjustment is often more efficient than the one using only the bare weight, but its valiance estimation is more complicated. We discuss variance estimation for a general class of weight-adjusted estimator. By identifying that the weight-adjusted estimator can be viewed as a function of estimated nuisance parameters, where the nuisance parameters were used to incorporate the auxiliary information, we derive a linearization of the weight-adjusted estimator using a Taylor expansion. The method proposed here is quite general and can be applied to wide class of the weight-adjusted estimators. Some examples and results from a simulation study are presented.