• 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.

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.2 no.3
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• pp.119-127
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• 1990

Wave directional spectrum estimation methods for irregular waves were considered in this study. Until now, the Longuet-Higgins Method (LHM) initiated by Longuet-Higgins et al. (1963) has been widely used, but resolutions of the estimation were found to be low. Kobune's Maximum Entropy Method (MEM) for the estimation of wave directional spectrum, bas-ed on the entropy Principle showed higher resolutions comparing with the LHM . If the wave directional spectrum is of Delta functions, the MEM is exact in its estimation. It was also found that for a unimodal spectrum, if the Mitsuyasu's spreading coefficient is above 5, the estimation resolutions were high. In bimodal spectrum, as the angle difference between the two peaks increased, the resolution improved. The energy seems to transfer to the smoother peak in the smoothing of peak's peakedness. LHM has a tendency to estimate bimodal spectrum as a unimodal spectrum ； thus, except for its computational speed, the resolution of LHM falls far below that of MEM.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.157-169
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• 2016

We compare four methods to estimate a regression coefficient under linear regression models with serially correlated errors. We assume that regression errors are generated with nonlinear autoregressive models. The four methods are: ordinary least square estimator, general least square estimator, parametric regression error correction method, and nonparametric regression error correction method. We also discuss some properties of nonlinear autoregressive models by presenting numerical studies with typical examples. Our numerical study suggests that no method dominates; however, the nonparametric regression error correction method works quite well.

• Journal of the Korean Geotechnical Society
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• v.18 no.4
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• pp.167-177
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• 2002

A test method has been attempted to estimate the soil stiffness by measuring and analyzing dynamic signals of stress waves reflected at the bottom end of the SPT rod contacting a soil deposit. Before conducting a real size testing, a series of parametric studies were conducted in this paper to examine the applicability and the theoretical adequacy of the test method. As a result of these studies, it has been shown that the most significant influence factor affecting the amplitude ratio of the reflected wave to the incident wave at the rod-soil interface was the variation of soil stiffness. Also, the variation of the amplitude ratio was found to be closely related with the variation of impedance ratio of the soil deposit to the SPT rod. As a result, a potential of the test method could be proved to estimate the impedance and the elastic modulus of the soil deposit interfaced with the SPT rod using the test method.

• Journal of the Institute of Electronics Engineers of Korea SP
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• v.41 no.5
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• pp.53-62
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• 2004

In this study, an improved post-processing technique for correcting MRI artifact due to the unknown respiratory motion in the imaging plane is presented. Respiratory motion is modeled by a two-Dimensional linear expending-shrinking movement. Assuming that the body tissues are incompressible fluid like materials, the proton density per unit volume of the imaging object is kept constant. According to the introduced model, respiratory motion imposes phase error, non-uniform sampling and amplitude modulation distortions on the acquired MRI data. When the motion parameters are known or can be estimatead a reconstruction algorithm based on biliner superposition method was used to correct the MRI artifact. In the case of motion parameters are unknown, first, the spectrum shift method is applied to find the respiratory fluctuation function, x directional expansion coefficient and x directional expansion center. Next, y directional expansion coefficient and y directional expansion center are estimated by using the minimum energy method. Finally, the validity of this proposed method is shown to be effective by using the simulated motion images.

• Computational Structural Engineering
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• v.6 no.2
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• pp.71-78
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• 1993

A method to estimate damage of bridge structures is developed using system identification approach. Dynamic behavior of damaged structures is represented by a non-linear hysteretic moment model. Structural properties can be evaluated through system identification. To incorporate variability of the structural properties and uncertainties of structural response, damage is represented as random quantities. Numerical example is shown for the bridge structure under different ground excitation.

• Journal of Korea Water Resources Association
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• v.30 no.6
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• pp.641-648
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• 1997

Mutual information is useful for analyzing nonlinear dependence in time series in much the same way as correlation is used to characterize linear dependence. We use multivariate kernel density estimators for the estimation of mutual information at different time lags for single and multiple time series. This approach is tested on a variety of hydrologic data sets, and suggested an appropriate delay time $ au$ at which the mutual information is almost zerothen multi-dimensional phase portraits could be constructed from measurements of a single scalar time series.

• Proceedings of the Korea Water Resources Association Conference
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• 1986.07a
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• pp.23-33
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• 1986

일강우를 여러가지 성분들이 포함된 백색잡음으로 가정하면, 이로부터 기저유출 성분을 분리하기 위하여 선형론이 적용될 수 있다. 선형론에는 단위충격응답이 요구 되어지므로, 본 연구에서는 이를 추계학적 자기회귀모형에 의하여 추정한다. 자기회귀계수는 기지의 기저유출성분과 이에 해당되는 강우의 지하침투량으로부터 모멘트법에 의하여 결정한다. 기지의 기저유출성분은 주 지하수감수곡선에 의하여 추정되어지며, 지하침투량은 $\Phi$-지수 개념하에 전 강우기간에 걸쳐 일정 침투율의 방법으로부터 구한다. 본 연구방법을 금강유역내 용담집수면적(937$\textrm{km}^2$)에 적용한 결과 상당히 미끈한 수문곡선을 얻을 수 있었으며, 각 호우-유출 사상별 회귀계수의 차수는 공히 2차로 나타났다.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2006.05a
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• pp.117-123
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• 2006

최근 들어 전통적인 (가속)수명시험으로도 고 신뢰도 제품의 신뢰도 평가가 힘들므로 제품의 성능열화를 관측하여 수명 정보를 추정하는 열화 시험에 대한 관심이 증대되고 있다. 본 논문은 대수정규분포를 따르는 확률계수 열화율 모형 하에서 분포 모수 및 수명분포의 분위수를 추정하는 세 가지 통계적 분석법(근사적, 해석적, 수치적 방법)의 통계적 성능을 비교하였다. 즉, 다양한 수치실험상황 하에서 모형에 포함되는 (측정)오차의 영향을 고려하여 세 방법의 우월성을 조사하였다.

• Journal of the Institute of Electronics Engineers of Korea SP
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• v.41 no.3
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• pp.17-24
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• 2004

In this paper, the wavelet video coding using Low-Band-Shift(LBS) method and multiresolution motion estimation(MRME) is proposed. To overcome shift- variant property on wavelet coefficients, the LBS was proposed. LBS method previously has superior performance in terms of rate-distortion characteristic. However, this method needs more memory and computational complexity. Therefore to reduce computational complexity of video coding using LBS, we combine MRME with LBS. When mm is applied only, it has 7 times as much as existing method's motion vector because each subband has different motion vector using property of LBS, number of motion vector decreases. Proposed method decreases motion vector, and it decreases motion compensated Prediction error by detailed motion estimation. And then it shows better coding performance. Also this method reduces computational amount by smaller search area in higher resolution. The computational complexity of the proposed method is 12.1% of that of existing method at 3-level wavelet transform. The experimental results with the proposed method show about 0.2∼9.7% improvement of MAD performance in case of lossless coding, and 0.1∼2.0㏈ improvement of PSNR performance at 4he same bit rate in case of lossy coding.