• The Korean Journal of Applied Statistics
• /
• v.21 no.3
• /
• pp.537-546
• /
• 2008

One of main goals of time series analysis is to estimate prediction of future values. In this paper, we investigate the bias problem when the transformation and back- transformation approach is applied in ARMA models and introduce a modified smearing estimation to reduce the bias. An empirical study on the returns of KOSDAQ index via Yeo-Johnson transformation was executed to compare the performance of existing methods and proposed methods and showed that proposed approaches provide a bias-reduced estimation of the prediction value.

• Journal of Satellite, Information and Communications
• /
• v.5 no.1
• /
• pp.27-31
• /
• 2010

Recently, spectrum requirements are rapidly increasing in accordance with wireless communication development. For this reason, FCC(Federal communications commission) is considering cognitive radio system to increase spectral efficiency. In this paper, we present the performance analysis of signal detection by using RS(Reference signal) for LTE environments. Especially, we analyze the performance of detection probability in case of downlink LTE system. In the simulation, we generate OFDMA signal format which is specified in the LTE system. We assume additive white Gausssian noise channel environment. We estimate the performance by setting the threshold value of 5 % and 10 % based on CFAR(Constant false alarm rate) and false alarm rate, respectively. Finally, we discuss a future study plan on the applicability of CR to the LTE system.

• Journal of Distribution Science
• /
• v.11 no.10
• /
• pp.55-62
• /
• 2013

Purpose - The purpose of this study is to suggest a risk factor that significantly explains foreign currency risk premia. In recent years, some studies have found that the performance of the simultaneous consumption risk model improves considerably when tested on foreign currency portfolios, which are constructed based on the international interest rates differentials. However, this paper focuses on the long-run consumption risk factor. In our empirical research, we found that the real excess returns of high interest rate currency portfolios depreciate on average, when the future American long-run consumption growth rate appears low. This makes the high interest rate currency portfolios have relatively high risk premia. Meanwhile, the real excess returns of low interest rate currency portfolios appreciate on average, under the same conditions, which results in relatively low risk premia for these portfolios. Therefore, this long-run consumption risk factor might explain why low interest rate currencies do not appreciate as much as the interest rate differential, and why high interest rate currencies do not depreciate as much as the interest rate differential. Research design, data, methodology - In our explanation, we provide new evidence on the success of long-run consumption risks in currency risk premia by focusing on the long-run consumption risks borne by American representative investors. To uncover the hidden link between exchange rates and long-run consumption growth, we set the eight currency portfolios as our basic assets, which have been built based on the foreign interest rates of eighty countries. As these eight currency portfolios are rebalanced every year, the first group always contains the lowest interest rate currencies, and the last group contains the highest interest rate currencies. Against these basic eight currency portfolios, we estimate the long-run consumption risk model. We use recursive utility framework and the stochastic discount factor that depends on the present value of expected future consumption growth rates. We find that our model is optimized in the two-year period of constructing the durable consumption expectation factor. Our main results surprisingly surpass the performance of the existing benchmark simultaneous consumption model in terms of R², relatively risk aversion coefficient γ, and p-value of J-test. Results - The performance of our model is superior. R², relatively risk aversion coefficient γ, and p-value of J-test of our long-run durable consumption model are 90%, 93%, and 65.5%, respectively, while those of EZ-DCAPM are 87%, 113%, and 62.8%, respectively. Thus, we can speculate that the risk premia in foreign currency markets have been determined by the long-run consumption risk. Conclusions - The aggregate long-run consumption growth risk explains a large part of the average change in the real excess returns of foreign currency portfolios. The real excess returns of high interest rate currency portfolios depreciate on average when American long-run consumption growth rate is low, and the real excess returns of low interest rate currency portfolios appreciate under the same conditions. Thus, the low interest rate currency portfolios allow investors to hedge against aggregate long-run consumption growth risk.

• Journal of Korean Society of Steel Construction
• /
• v.19 no.2
• /
• pp.223-231
• /
• 2007

Considering wind speed uncertainty, reliability analysis of the LNG unloading arm at Tongyoung Production Site was performed. Extreme distribution of wind speed was estimated from the data collected at the weather center and wind load was calculated using wind velocities and coefficients of wind pressure. The unloading arm was modeled with plate and solid elements. Contact elements were used to describe the interface between base of structure andground. Response surface for maximum effective stress was found for reliability analysis and then reliability functions was defined and used to determine exceeding probability of allowable and yield stresses. In addition, sensitivity analysis was also performed to estimate the effect of possible material deterioration in the future.

• Journal of Korea Port Economic Association
• /
• v.25 no.4
• /
• pp.251-280
• /
• 2009

The value of Environment is so high and important that no one can estimate it correctly. In the area of Logistics, Environment protection is very important and keen subject for the present and for the future of this country and people. Environmental logistics, similarly used as Green logistics, means the protection of Nature and Environment and reduces all kinds of factors and behaviors that may destroy and deteriorate current Environment. It also include the preservation of Nature and sustainable development. Environmental logistics aims to save natural resources and to promote reuse of all kinds of materials and to increase the utilization of Environment friendly substitute goods. In this paper the concept and characteristics of Environmental logistics were summarized and described. Also the main previous studies were surveyed. Some of important cases and experiences which were introduced and applied in major countries such as Japan, Hongkong, USA and the case of PHILIPS were summarized and analyzed. With these cases and analysis, this paper suggested some alternatives and countermeasures for the improvement of Environmental logistics in terms of 3 dimensions such as Country, Company and Individual level. And a strategy model for enhancement of the Environmental logistics was suggested and limitations of this paper and future research directions were described.

• Journal of The Korean Society of Agricultural Engineers
• /
• v.57 no.5
• /
• pp.139-152
• /
• 2015

Along with climate change, it is reported that the scale and frequency of extreme climate events show unstable tendency of increase. Thus, to comprehend the change characteristics of precipitation data, it is needed to consider non-stationary. The main objectives of this study were to estimate future design floods for Wonpyeongcheon watershed based on RCP (Representative Concentration Pathways) scenario. Wonpyeongcheon located in the Keum River watershed was selected as the study area. Historical precipitation data of the past 35 years (1976~2010) were collected from the Jeonju meteorological station. Future precipitation data based on RCP4.5 were also obtained for the period of 2011~2100. Systematic bias between observed and simulated data were corrected using the quantile mapping (QM) method. The parameters for the bias-correction were estimated by non-parametric method. A non-stationary frequency analysis was conducted with moving average method which derives change characteristics of generalized extreme value (GEV) distribution parameters. Design floods for different durations and frequencies were estimated using rational formula. As the result, the GEV parameters (location and scale) showed an upward tendency indicating the increase of quantity and fluctuation of an extreme precipitation in the future. The probable rainfall and design flood based on non-stationarity showed higher values than those of stationarity assumption by 1.2%~54.9% and 3.6%~54.9%, respectively, thus empathizing the necessity of non-stationary frequency analysis. The study findings are expected to be used as a basis to analyze the impacts of climate change and to reconsider the future design criteria of Wonpyeongcheon watershed.

• Journal of Korea Technology Innovation Society
• /
• v.20 no.3
• /
• pp.732-753
• /
• 2017

Recently, when evaluating the technology values in the fields of biotechnology, pharmaceuticals and medicine, we have needed more to estimate those values in consideration of the period and cost for the commercialization to be put into in future. The existing discounted cash flow (DCF) method has limitations in that it can not consider consecutive investment or does not reflect the probabilistic property of commercialized input cost of technology-applied products. However, since the value of technology and investment should be considered as opportunity value and the information of decision-making for resource allocation should be taken into account, it is regarded desirable to apply the concept of real options, and in order to reflect the characteristics of business model for the target technology into the concept of volatility in terms of stock price which we usually apply to in evaluation of a firm's value, we need to consider 'the continuity of stock price (relatively minor change)' and 'positive condition'. Thus, as discussed in a lot of literature, it is necessary to investigate the relationship among volatility, underlying asset values, and cost of commercialization in the Black-Scholes model for estimating the technology value based on real options. This study is expected to provide more elaborated real options model, by mathematically deriving whether the ratio of the present value of the underlying asset to the present value of the commercialization cost, which reflects the uncertainty in the option pricing model (OPM), is divided into the "no action taken" (NAT) area under certain threshold conditions or not, and also presenting the estimation logic for option values according to the observation variables (or input values).

• Korean Journal of Remote Sensing
• /
• v.36 no.5_1
• /
• pp.653-666
• /
• 2020

Understanding the vegetation structure is important to manage forest resources for sustainable forest development. With the recent development of technology, it is possible to apply new technologies such as drones and deep learning to forests and use it to estimate the vegetation structure. In this study, the vegetation structure of Gongju, Samchuk, and Seoguipo area was identified by fusion of drone-optical images and LiDAR data using Artificial Neural Networks(ANNs) with the accuracy of 92.62% (Kappa value: 0.59), 91.57% (Kappa value: 0.53), and 86.00% (Kappa value: 0.63), respectively. The vegetation structure analysis technology using deep learning is expected to increase the performance of the model as the amount of information in the optical and LiDAR increases. In the future, if the model is developed with a high-complexity that can reflect various characteristics of vegetation and sufficient sampling, it would be a material that can be used as a reference data to Korea's policies and regulations by constructing a country-level vegetation structure map.

• Smart Structures and Systems
• /
• v.17 no.3
• /
• pp.471-489
• /
• 2016

Modal identification based on ambient vibration data has attracted extensive attention in the past few decades. Since the excitation for ambient vibration tests is mainly from the environmental effects such as wind and traffic loading and no artificial excitation is applied, the signal to noise (s/n) ratio of the data acquired plays an important role in mode identifiability. Under ambient vibration conditions, certain modes may not be identifiable due to a low s/n ratio. This paper presents a study on the mode identifiability of an instrumented cable-stayed bridge with the use of acceleration response data measured by a long-term structural health monitoring system. A recently developed fast Bayesian FFT method is utilized to perform output-only modal identification. In addition to identifying the most probable values (MPVs) of modal parameters, the associated posterior uncertainties can be obtained by this method. Likewise, the power spectral density of modal force can be identified, and thus it is possible to obtain the modal s/n ratio. This provides an efficient way to investigate the mode identifiability. Three groups of data are utilized in this study: the first one is 10 data sets including six collected under normal wind conditions and four collected during typhoons; the second one is three data sets with wind speeds of about 7.5 m/s; and the third one is some blind data. The first two groups of data are used to perform ambient modal identification and help to estimate a critical value of the s/n ratio above which the deficient mode is identifiable, while the third group of data is used to perform verification. A couple of fundamental modes are identified, including the ones in the vertical and transverse directions respectively and coupled in both directions. The uncertainty and s/n ratio of the deficient mode are investigated and discussed. A critical value of the modal s/n ratio is suggested to evaluate the mode identifiability of the deficient mode. The work presented in this paper could provide a base for the vibration-based condition assessment in future.

• Water for future
• /
• v.27 no.2
• /
• pp.147-154
• /
• 1994

The occurrence condition of debris fiow due to rainfall is given by solving the equations for fiow on a slope. The solution shows that a debris fiow will occur on a slope when the accumulated rainfall within the time of concentration exceeds a certain value determined by the properties of the slope. To estimate this critical value, the system analysis technique would be commendable. In this study, a procedure to fine the critical rainfall from the rainfall data whith and without debris flows is proposed. Reliability of this method is verified by applying to the debris flows in Unzen Volcano which recently began to erupt. Discharge of debris flow in a stream is obtained by solving the equation of continuity using the kinematic wave theory and assuming the cross sectional area to be a function of discharge. The computed hydrographs agree weel with the ones observed at the rivers in Sakurajima and Unzen Volcanos. It is found from the derived equation that the runoff intensity of debris flow is in proportion to the rainfall intensity and accumulated rainfall, jointly. This gives a theoretical basis to the conventional method which has been widely used.