• Journal of the Korea Academia-Industrial cooperation Society
• /
• v.20 no.8
• /
• pp.579-585
• /
• 2019

Increasing the detection probability of underwater targets necessitates securing the towing stability of the active towed SONAR. In this paper, to confirm the effects of tail wing fin on towing attitude and towing stability, two scale model experiments and one sea trials were conducted and the results were analyzed. The scale model tests measured the towing behavior of each of the tail fin shapes according to towing speed in a towing tank. The shape of the tail fin used in the scale model test was tested with an I-type tail fine and four Y-type tail fins, totaling five tail fins of the two kinds. The first scale model test confirmed that the Y-type tail fin was superior to the I-type tail fin in towing attitude and towing stability. The second scale model test confirmed the characteristics of the vertical tail fin height increase and the lower horizontal tail fin inclination angle application shape based on the Y-type tail fin. The shape of the application of the lower horizontal tail fin inclination angle showed the best performance. In order to verify the results of the scale model test, a full size model was constructed, sea trials were performed, and the towing attitude was measured. The results were similar to those of the scale model test.

• The Korean Journal of Financial Management
• /
• v.23 no.2
• /
• pp.189-208
• /
• 2006

In this paper we are concerned with estimation of tail related risk measures for heteroscedastic financial time series and VaR limits that VaR tells us nothing about the potential size of the loss given. So we use GARCH-EVT model describing the tail of the conditional distribution for heteroscedastic financial series and adopt Expected Shortfall to overcome VaR limits. The main results can be summarized as follows. First, the distribution of stock return series is not normal but fat tail and heteroscedastic. When we calculate VaR under normal distribution we can ignore the heavy tails of the innovations or the stochastic nature of the volatility. Second, GARCH-EVT model is vindicated by the very satisfying overall performance in various backtesting experiments. Third, we founded the expected shortfall as an alternative risk measures.

• The Korean Journal of Applied Statistics
• /
• v.35 no.4
• /
• pp.501-515
• /
• 2022

Despite the stylized statistical features of returns of financial returns such as fat-tailed distribution and leverage effect, no stochastic volatility models that can explicitly capture these features have been presented in the existing frequentist approach. we propose an approximate parameterization of stochastic volatility models that can explicitly capture the fat-tailed distribution and leverage effect of financial returns and a maximum likelihood estimation of the model using Langrock et al. (2012)'s hidden Markov model approximation in a frequentist approach. Through extensive simulation experiments and an empirical analysis, we present the statistical evidences validating the efficacy and accuracy of proposed parameterization.

• Environmental and Resource Economics Review
• /
• v.29 no.2
• /
• pp.145-170
• /
• 2020

This study analyzes the dependence structure between energy (crude oil, natural gas, coal) prices and economic (real and financial) uncertainty. Summary of the results of the dependence structure between energy prices and economic uncertainty analysis is as follows. First, the results of model selection show that the BB7 copula model for the pair of crude oil price and economic uncertainty, the Joe copula model for the pair of natural gas price and economic uncertainty, and the Clayton copula model for the pair of coal price and economic uncertainty were chosen. Second, looking at the dependency structure, it showed that the pair of energy (crude oil, natural gas, coal) prices and real market uncertainty show positive dependence. Whereas, the only pair of financial market uncertainty-crude oil price shows positive dependency. In particular, crude oil price was found to have the greatest dependence on economic uncertainty. Third, looking at the results of tail dependency, the pair of real market uncertainty-crude oil price and pair of real market uncertainty-natural gas price have an asymmetric relationship with the upper tail dependency. It can be seen that the only pair of financial market uncertainty-crude oil represents asymmetric relationships with the upper tail dependencies. In other words, combinations with asymmetric relationships have shown strong dependence when negative extreme events occur. On the other hand, tail dependence between economic uncertainty and coal price be not found.

• The Korean Journal of Applied Statistics
• /
• v.14 no.2
• /
• pp.333-344
• /
• 2001

통계적 추론에 사용되는 많은 통계량들은 평균벡터의 평활함수의 형태로 표현이 가능하다. 본 연구에서는 이들 통계량들의 분포함수에 대한 안부점근사법을 제시하였다. 이 방법은 Na(1998)에서 제시된 일반적 통계량의 분포함수에 대한 안부점근사법이 평균벡터의 평활함수모형에 특히 유용하게 사용될 수 있음을 보인 것이다. 이 근사법은 정규근사에 비해 근사의 정도가 뛰어나며, 특히 통계량의 꼬리부분의 확률에 대해서도 정확도가 그대로 유지되는 장점이 있어 정밀한 추론이 요구되는 많은 문제에 효과적으로 사용될 수 있다. 모의 실험에 사용할 평균벡터의 평활함수 모형으로는 스튜던트화 분산을 고려하였다.

• The Korean Journal of Financial Management
• /
• v.20 no.2
• /
• pp.95-126
• /
• 2003

This paper introduces multifractal processes and presents the empirical investigation of the multifractal asset pricing. The multifractal stock price process contains long-tails which focus on Levy-Stable distributions. The process also contains long-dependence, which is the characteristic feature of fractional Brownian motion. Multifractality introduces a new source of heterogeneity through time-varying local reqularity in the price path. This paper investigates multifractality in stock prices. After finding evidence of multifractal scaling, the multifractal spectrum is estimated via the Legendre transform. The distinguishing feature of the multifractal process is multiscaling of the return distribution's moments under time-resealing. More intensive study is required of estimation techniques and inference procedures.

• Transactions of the Korean Society of Mechanical Engineers A
• /
• v.39 no.2
• /
• pp.163-168
• /
• 2015

In order to perform estimations with high reliability, it is necessary to deal with the tail part of the cumulative distribution function (CDF) in greater detail compared to an overall CDF. The use of a generalized Pareto distribution (GPD) to model the tail part of a CDF is receiving more research attention with the goal of performing estimations with high reliability. Current studies on GPDs focus on ways to determine the appropriate number of sample points and their parameters. However, even if a proper estimation is made, it can be inaccurate as a result of an incorrect threshold value. Therefore, in this paper, a GPD based on the Akaike information criterion (AIC) is proposed to improve the accuracy of the tail model. The proposed method determines an accurate threshold value using the AIC with the overall samples before estimating the GPD over the threshold. To validate the accuracy of the method, its reliability is compared with that obtained using a general GPD model with an empirical CDF.

• The Korean Journal of Applied Statistics
• /
• v.28 no.2
• /
• pp.361-369
• /
• 2015

A general linear mixed-effects model is often used to analyze repeated measurement experiment data of a continuous response variable. However, a general linear mixed-effects model can give improper analysis results when simultaneously detecting heteroscedasticity and the non-normality of population distribution. To achieve a more robust estimation, we used a heavy-tailed linear mixed-effects model for a more exact and reliable analysis conclusion than a general linear mixed-effects model. We also provide reliability analysis results for further research.

• Journal of Korea Water Resources Association
• /
• v.54 no.5
• /
• pp.335-345
• /
• 2021

The one-dimensional solute transport models have been developed for recent decades to predict behavior and fate of solutes in rivers. Transient storage model (TSM) is the most popular model because of its simple conceptualization to consider the complexity of natural rivers. However, the TSM is highly dependent on its parameters which cannot be directly measured. In addition, the TSM interprets the late-time behavior of concentration curves in the shape of an exponential function, which has been evaluated as not suitable for actual solute behavior in natural rivers. In this study, we suggested a stochastic approach to the solute transport analysis. We delineated the model development and model application to a natural river, and compared the results of the proposed model to those of the TSM. To validate the proposed model, a tracer test was carried out in the 4.85 km reach of Gam Creek, one of the first-order tributaries of Nakdong River, South Korea. As a result of comparing the power-law slope of the tail of breakthrough curves, the simulation results from the stochastic storage model yielded the average error rate of 0.24, which is more accurate than the 14.03 and 1.87 from advection-dispersion model and TSM, respectively. This study demonstrated the appropriateness of the power-law residence time distribution to the hyporheic zone of the Gam Creek.

• KSCE Journal of Civil and Environmental Engineering Research
• /
• v.28 no.1B
• /
• pp.137-147
• /
• 2008

Soil Vapor Extraction (SVE) has been extensively used to remove volatile organic compounds (VOCs) from the vadoze zone. In order to investigate the removal mechanism during SVE operation, laboratory modeling experiments were carried out and tailing effect could be observed in later stage of the experiment. Tailing effect means that removal rate of contaminants gets significantly to decrease in later stage of SVE operation. Also, mathematical model simulating the tailing effect was used, which considers rate-limited diffusion in a water film during mass transfer among gas, liquid, and solid phases. Measurement data obtained through the experiment was used as input data of the numerical analyses. Sensitivity analysis was performed to examine the effect of each parameter on required time to reach final target concentration. Finally, it was found that the concentration in the soil phase decreased significantly with a liquid and gas diffusion coefficient larger, actual path length shorter, and water saturation smaller.