• Proceedings of the Korea Water Resources Association Conference
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• 2022.05a
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• pp.168-168
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• 2022

최근 인간의 인위적인 활동으로 인하여 대기 중 온실가스의 배출량이 급격히 증가하였고, 이에 따라 전 세계적인 지구온난화로 인한 이상기후가 발생하고 있다. 특히, 홍수, 가뭄, 태풍 등 극한 수문 현상들의 변화가 두드러지게 나타나고 있으며, 강우 특성의 변화는 극한 수문 현상의 직접적인 요인으로 작용한다. 현재 확률강우량을 추정하는 가장 보편적인 방법은 과거 강우 자료를 바탕으로 빈도해석을 수행하고 있으며, 지속기간별로 산정한 확률강우량은 강우강도-지속기간-빈도(Intensity-Duration-Frequency, IDF)곡선으로 유도하여 수공구조물 설계에 사용되고 있다. 그러나 기후변화의 영향으로 집중호우와 잦은 홍수로 인한 피해가 증가함에 따라 과거 강우자료를 바탕으로 확률강우강도를 활용하여 확률 강우량을 추정하는 것이 매우 어려워졌다. 따라서, 본 연구에서는 1975년도부터 2020년도까지의 현재기간 모의자료, 2021년도부터 2100년도까지의 미래 강우자료와 기후변화 시나리오인 RCP 4.5와 RCP 8.5를 활용한다. 또한, 부산지역을 대상으로 비정상성 GEV 모형을 활용하여 지역빈도해석을 수행하였고, 미래 설계강우량 산정을 위한 비정상성 IDF곡선을 유도하여 분석하고자 한다.

• Proceedings of the Korea Water Resources Association Conference
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• 2022.05a
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• pp.433-433
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• 2022

수자원 관리를 위한 설계수문량의 산정은 수문자료의 통계적 특성을 고려한 빈도해석을 통해 이루어지며, 대상 관측지점에 대해 개별적으로 수행되는 지점빈도해석과 수문학적으로 동질하다고 판단되는 지점들의 자료를 동시에 고려하는 지역빈도해석으로 분류된다. 기후변화에 의한 미래 수문량의 변동성을 고려하기 위해 비정상성 빈도해석이 요구되나 짧은 기록을 갖는 수문자료로부터 정확한 변화 추세를 평가하기 어렵다. 이에 따라 지역빈도해석을 통해 자료를 확충함으로써 자료에 대한 신뢰성을 확보하고 지역 전체에 대해 대표성을 갖는 확률수문량을 산정하는 것이 합리적이다. 본 연구에서는 극치강수량의 지역빈도해석에서 비정상성을 고려하기 위해 단순선형회귀 모형을 통해 시간항에 대한 강수량의 경향성을 탐지하였다. 계층적 Bayesian 모형을 통해 Partial Pooling 기법을 적용함으로써 기존 L-모멘트 방법(complete pooling)에서 고려하지 못하는 개별지역의 강수 특성을 고려하였으며 불확실성을 정량화하였다. 한강 유역 18개 지점의 극치강수량에 대해 비정상성 평가 결과 대부분 지점에서 양의 기울기를 확인하였으며 미래 빈도별 확률강수량의 증가율을 제시한다.

• The Korean Journal of Applied Statistics
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• v.35 no.1
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• pp.49-62
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• 2022

Realized volatility is well known to have long memory, strong association with other global financial markets and interdependences among macroeconomic indices such as exchange rate, oil price and interest rates. This paper proposes autoencoder factor-augmented heterogeneous autoregressive (AE-FAHAR) model for realized volatility forecasting. AE-FAHAR incorporates long memory using HAR structure, and exogenous variables into few factors summarized by autoencoder. Autoencoder requires intensive calculation due to its nonlinear structure, however, it is more suitable to summarize complex, possibly nonstationary high-dimensional time series. Our AE-FAHAR model is shown to have smaller out-of-sample forecasting error in empirical analysis. We also discuss pre-training, ensemble in autoencoder to reduce computational cost and estimation errors.

• Journal of the Korean Institute of Telematics and Electronics
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• v.12 no.2
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• pp.1-10
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• 1975

This paper presents an adaptive data compression algorithm for video data. The coling complexity due to the high correlation in the given data sequence is alleviated by coding the difference data, sequence rather than the data sequence itself. The adaptation to the nonstationary statistics of the data is confined within a code set, which consists of two constant length cades and six modified Shannon.Fano codes. lt is assumed that the probability distributions of tile difference data sequence and of the data entropy are Laplacian and Gaussion, respectively. The adaptive coding performance is compared for two code selection criteria: entropy and $P_r$[difference value=0]=$P_0$. It is shown that data compression ratio 2 : 1 is achievable with the adaptive coding. The gain by the adaptive coding over the fixed coding is shown to be about 10% in compression ratio and 15% in code efficiency. In addition, $P_0$ is found to he not only a convenient criterion for code selection, but also such efficient a parameter as to perform almost like entropy.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.22 no.6
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• pp.453-459
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• 2021

The system marginal price of electricity is the amount paid to all the generating units, which is an important decision-making factor for the construction and maintenance of an electrical power unit. In this paper, we suggest a long-term forecasting model for calculating the system marginal price based on prices of natural gas and oil. As most variables used in the analysis are nonstationary time series, the long run relationship among the variables should be examined by cointegration tests. The forecasting model is similar to an error correction model which consists of a long run cointegrating equation and another equation for short run dynamics. To mitigate the robustness issue arising from the relatively small data sample, this study employs various testing and estimating methods. Compared to previous studies, this paper considers multiple fuel prices in the forecasting model of system marginal price, and provides greater emphasis on the robustness of analysis. As none of the cointegrating relations associated with system marginal price, natural gas price and oil price are excluded, three error correction models are estimated. Considering the root mean squared error and mean absolute error, the model based on the cointegrating relation between system marginal price and natural gas price performs best in the out-of-sample forecast.

• The Korean Journal of Financial Management
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• v.7 no.1
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• pp.1-20
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• 1990

In most of studies on market efficiency, the stability of risk measures and the normality of residuals unexplained by the pricing model are presumed. This paper re-examines stock splits, taking the possible violation of two assumptions into accounts. The results does not change the previous studies. But, the size of excess returns during the 2-week period before announcements decreases by 43%. The results also support that betas change around announcements and the serial autocorrelation of residuals is caused by events. Based on the results, the existing excess returns are most likely explained as a compensation to old shareholders for unwanted risk increases in their portfolio, or by uses of incorrect betas in testing models. In addition, the model suggested in the paper provides a measure for the speed of adjustment of the market to the new information arrival and the intensity of information contents.

• Journal of Korean Society of Transportation
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• v.22 no.5
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• pp.111-122
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• 2004

The driver's decision making (e.g. route choice) is a typical decision making with an uncertainty. In this paper, we investigate the effect of route guidance information on driver's route choice and learning behavior and analyse the potential of information system in a road network in which traffic flows follow random walk. A Simulation performed focuses on the relationship among the network wide performance, message receiving rates and driver's learning mechanism. We know that at high levels of message receiving rates, the network-wide performance may get worse. However, at low levels of receiving rates, we found that the travel time when guidance information is provided decrease compared to the cases when no pubic information is provided. Also, we found that the learning parameter of the learning mechanism model always changes under nonstationary traffic condition. In addition, learning process of drivers does not converge on any specific value. More investigation is needed to enlarge the scope of the study and to explore more deeply driver's behavior.

• Journal of the Korea Institute of Information and Communication Engineering
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• v.19 no.1
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• pp.61-68
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• 2015

Noise reduction is necessary to compensate for the degradation of recognition performance by various types of noises. Among many noise reduction techniques using microphone array, generalized sidelobe canceller (GSC) has been widely applied to reduce nonstationary noises. The performance of GSC is directly affected by its adaptation mode controller (AMC). That is, accurate target speech detection is essential to guarantee the sufficient noise reduction in pure noise intervals and the less distortion in target speech intervals. Thus, this paper proposes an improved AMC design technique in which the power ratio of the output of fixed beamforming to that of blocking matrix is calculated frequency bandwise and probabilistically modeled by mixture Gaussians for each class. Experimental results show that the proposed algorithm outperforms conventional AMCs in receiver operating curves (ROC) and output SNRs.

• Proceedings of the Korea Water Resources Association Conference
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• 2015.05a
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• pp.451-451
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• 2015

최근 1900년부터 1990년 사이 해수면은 매년 평균 1.2mm 상승했지만 1990년부터는 매년 평균 3mm씩 높아지고 있으며, 이에 1990년부터 현재까지 해수면 수위의 상승속도가 이전 90년 동안 측정된 수치보다 2.5배 빠르다는 연구결과가 발표되었다. 해수면 상승으로 인한 피해는 범람과 침식을 야기할 수 있으며 해일 및 폭풍으로 인한 피해를 증가시킴으로 물질적 피해와 인명 피해를 유발할 수 있다. 이러한 이유로 해수면 상승에 따른 과학적인 분석과 신뢰성 있는 전망을 통하여 해수면 상승에 따른 대응과 대비가 필요하다. 이에 본 연구에서는 비정상성 빈도해석 방법을 통하여 미래의 해수면 상승을 고려할 수 있는 비정상성 빈도해석 기법을 개발하였다. 본 연구에서는 극치사상을 추출하기 위해 국립해양조사원 (Korea Hydrographic and Oceanographic Administration, KHOA)에서 관리한 45개 조위관측소의 시 조위 자료를 이용하였다. 45개 조위관측소의 한 시간 단위 자료로부터 연최대 및 연평균 조위계열 (annual average and annual maximum sea level series)을 추출하였다. 본 연구에서는 한반도 해안을 동해안, 서해안, 남해안, 제주 권역으로 구분하고 빈도 해석의 신뢰성을 만족하기 위해 자료 구축기간이 20년 이상이며, 각 해안을 나타낼 수 있는 지점을 선정하였다. 비정상성 빈도해석은 Gumbel 극치분포를 적용하였으며, 계층적 Bayesian 기법을 결합하여 매개변수들에 대한 사후분포를 추정하였다. 본 연구에서는 대부분의 지점에서 비정상성 빈도해석 결과와 정상성 빈도해석 결과와 상당한 차이를 보여주고 있으며, 이는 주로 정상성 가정에 기인하는 문제점으로 판단된다. 향후 기후변화에 따른 연안지역의 홍수 및 사회기반시설의 위험도를 평가하기 위해서는 비정상성을 고려한 빈도해석 절차의 수립과 적용이 필요할 것으로 판단된다.

• Journal of Korea Water Resources Association
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• v.31 no.3
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• pp.317-326
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• 1998

Water consumption characteristics on the northern part of Seoul were analyzed using wavelet transform with a base function of Coiflets 5. It turns out that long term evolution mode detected at 212 scale in 1995 was in a shape of hyperbolic tangent over the entire period due to the development of Sanggae resident site. Furthermore, there was seasonal water demand having something to do with economic cycle which reached its peak at the ends of June and December. The amount of this additional consumption was about $1,700\;\textrm{cm}^3/hr$ on June and $500\;\textrm{cm}^3/hr$ on December. It was also shown that the periods of energy containing sinusoidal component were 3.13 day, 33.33 hr, 23.98 hr and 12 hr, respectively, and the amplitude of 23.98 hr component was the most humongous. The components of relatively short frequency detected at $2^i$[i = 1,2,…12] scale were following Gaussian PDF. The most reliable predictive models are multiple AR[32,16,23] and ARMA[20, 16, 10, 23] which the input of temperature from the view point of minimized predictive error, mutual independence or residuals and the availableness of reliable meteorological data. The predicted values of water supply were quite consistent with the measured data which cast a possibility of the deployment of the predictive model developed in this study for the optimal management of water supply facilities.