• Proceedings of the Korea Water Resources Association Conference
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• 2008.05a
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• pp.1369-1372
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• 2008

소수력자원은 신재생에너지 중에서도 온실가스 배출량이 가장 적고 에너지밀도가 매우 높기 때문에 개발할 가치가 큰 청정부존자원으로 평가되고 있다. 강우상태의 변화는 Weibull분포의 축척모수와 형상모수를 인위적으로 변화시켜 소수력발전소의 설계인자들의 변화를 모사하였다. 분석 결과, 소수력발전입지의 수문학적 성능특성은 해당유역의 강우상태에 따라 변하는 것으로 밝혀졌다.

• Journal of the Korean Data and Information Science Society
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• v.28 no.2
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• pp.339-348
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• 2017

One of the major issues of statistical process control for variables data is monitoring both the mean and the standard deviation. The traditional approach to monitor these parameters is to simultaneously use two seperate control charts. However there have been some works on developing a single chart using a single plotting statistic for joint monitoring, and it is claimed that they are simpler and may be more appealing than the traditonal one from a practical point of view. When using these control charts for variables data, estimating in-control parameters and checking the normality assumption are the very important step. Nonparametric Shewhart-Lepage chart, proposed by Mukherjee and Chakraborti (2012), is an attractive option, because this chart uses only a single control statistic, and does not require the in-control parameters and the underlying continuous distribution. In this paper, we introduce the Shewhart-Lepage chart, and propose the design procedure to find the optimal diagnosis limits when the location and the scale parameters change simultaneously. We also compare the efficiency of the proposed method with that of Mukherjee and Chakraborti (2012).

• The Korean Journal of Financial Management
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• v.20 no.2
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• pp.73-94
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• 2003

In general, the interest rate is forecasted by the parametric method which assumes the interest rate follows a certain distribution. However the method has a shortcoming that forecasting ability would decline when the interest rate does not follow the assumed distribution for the stochastic behavior of interest rate. Therefore, the nonparametric method which assumes no particular distribution is regarded as a superior one. This paper compares the interest rate forecasting ability between the two method for the Monetary Stabilization Bond (MSB) market in Korea. The daily and weekly data of the MSB are used during the period of August 9th 1999 to February 7th 2003. In the parametric method, the drift term of the interest rate process shows the linearity while the diffusion term presents non-linear decline. Meanwhile in the nonparametric method, both drift and diffusion terms show the radical change with nonlinearity. The parametric and nonparametric methods present a significant difference in the market price of interest rate risk. This means in forecasting the interest rate and the market price of interest rate risk, the nonparametric method is more appropriate than the parametric method.

• Journal of the Korean Data and Information Science Society
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• v.11 no.2
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• pp.279-293
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• 2000

This article suggests two change-point estimators which are modifications of Carlstein(1988) change-point estimators with rank functions and mean functions where there is one change-point in a mean function. A comparison study of Carlstein(1988) estimators and proposed estimators is done by simulation on the mean, the MSE, and the proportion of matching true change-point.

• Journal of the Korean Data and Information Science Society
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• v.27 no.5
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• pp.1253-1262
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• 2016

When there exists a change-point in hazard function, it should be estimated for exact parameter or hazard estimation. In this research, we compare the hazard change-point estimators. Matthews and Farewell (1982) parametric change-point estimator is based on the likelihood and Zhang et al. (2014) nonparametric estimator is based on the Nelson-Aalen cumulative hazard estimator. Simulation study is done for the data from exponential distribution with one hazard change-point. The simulated data generated without censoring and the data with right censoring are considered. As real data applications, the change-point estimates are computed for leukemia data and primary biliary cirrhosis data.

• Journal of Convergence for Information Technology
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• v.9 no.8
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• pp.20-26
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• 2019

In this study, the optimal shape parameter condition is presented after analyzing the attributes of the software reliability model according to the change of the shape parameter of Loma life distribution with infinite fault NHPP. In order to analyze the software failure phenomena, the parametric estimation method was applied to the Maximum Likelihood Estimation method, and the nonlinear equation was applied to the bisection method. As a result, it was found that when the attributes according to the change of the shape parameter are compared, the smaller the shape parameter is, the better the prediction ability of the true value, and reliability attributes are efficient. Through this study, it is expected that software developers can increase reliability by preliminarily grasping the type of software failure based on shape parameter, and can be used as basic information to improve the software reliability attributes.

• The Korean Journal of Applied Statistics
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• v.7 no.1
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• pp.35-46
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• 1994

We propose the nonparametric rank-like test for the location parameter in the bivariate changepoint model. Empirical powers between the parametric test and nonparametric test are compared. These results show that rank-like test is better than parametric method except bivariate normal null distribution. The point estimators for the changepoint are also compared by the empirical mean squared errors.

• The Journal of Korea Institute of Information, Electronics, and Communication Technology
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• v.12 no.3
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• pp.211-217
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• 2019

In this study, we compare and analyze the attributes of the software development cost model according to the shape parameters change of the Type-2 Gumbel lifetime distribution using the NHPP model. In order to analyze the software failure phenomena, the parametric estimation is applied to the maximum likelihood estimation method, and the nonlinear equations are calculated using the bisection method. As a result, when the attributes of the cost curves according to the change of shape parameters are compared, it is found that the larger the number of shape parameters, the lower the software development cost and the faster the release time. Through this study, it is expected that it will be helpful for the software developers to search for the development cost according to the software shape parameters change, and also to provide the necessary information for the attributes of the software development cost.

• The Korean Journal of Financial Management
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• v.18 no.1
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• pp.1-21
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• 2001

주가가 장기기억과정에 의하여 생성되면 주가과정에 가해진 충격은 쌍곡선감소율로 소멸한다. 따라서 충격의 영향이 대단히 느리게 감소하여 충격이 지속성을 가진다. 반면 주가가 단기 기억과정을 따르면 지수율로 감소하여 소멸한다. 지수율감소는 충격의 영향을 급속히 소멸시키므로 충격의 영향이 조만간 소멸한다. 따라서 충격으로 변화된 주가는 평균으로 회귀한다. 충격의 영향이 영원히 존재하는 과정도 존재한다. 장기기억과정은 쪽거리차분과정 또는 분수차분과정이다. 차분모수가 분수일 것이 요구되는 시계열은 장기기억과정이다. 주가가 장기기억과정에 의하여 생성되고 있는지의 여부를 검정하였다. 장기기억과정을 형성시키는 차분모수는 분수차분모수이다. 일별 주가지수의 수익률을 사용하여 차분모수를 추정하였는 바 그 값이 0에 근접하고 있음이 밝혀졌다. 그러나 Kospi, Nasdaq과 Mib30은 장기기억모수가 0에 접근하고 있으나 0이 아니다. 따라서 이 지수들은 장기기억과정에 의하여 생성된다고 할 수 있다. 반면 Dow Jones, S&P 500와 Dax는 장기기억모수가 0이라는 가설이 기각되지 않고 있어 이 지수들은 단기기억과정을 따르고 있다. 따라서 평균회귀과정에 의하여 생성되고 있음을 알 수 있다.

• The Korean Journal of Applied Statistics
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• v.22 no.4
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• pp.735-744
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• 2009

In this paper, we introduce a fast approach for Bayesian detection of change points in long-memory processes. Since a heavy computation is needed to evaluate the likelihood function of long-memory processes, a method for simplifying the computational process is required to efficiently implement a Bayesian inference. Instead of estimating the parameter, we consider selecting a element from the set of possible parameters obtained by categorizing the parameter space. This approach simplifies the detection algorithm and reduces the computational time to detect change points. Since the parameter space is (0, 0.5), there is no big difference between the result of parameter estimation and selection under a proper fractionation of the parameter space. The analysis of Nile river data showed the validation of the proposed method.