• Title/Summary/Keyword: 변동성 함수

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A Study on Tire Radial Force Variation and Modal Testing (타이어 상하 힘변동과 모드 시험에 관한 연구)

  • Park, S.K.;Kim, J.K.;Song, S.K.
    • Journal of Power System Engineering
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    • v.2 no.3
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    • pp.55-59
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    • 1998
  • This paper probes into the influence of tire uniformity on tire's modal parameters with the method of experimental modal analysis. Two radial tires of the same kind with different uniformity level are taken to be tested at different exciting points and real modal parameters are abstracted. The differences of their modal parameters are presented. Then tire transfer functions are constructed with experimental modal parameters and ideal modal parameters respectively. It is found that the measured transfer functions of tire of good uniformity are closer to ideal transfer function than that of tire of bad uniformity. The study shows evident interrelation of experimental modal parameters and tire uniformity, and further study should be of great value.

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Stochastic Volatility Model vs. GARCH Model : A Comparative Study (확률적 변동성 모형과 자기회귀이분산 모형의 비교분석)

  • 이용흔;김삼용;황선영
    • The Korean Journal of Applied Statistics
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    • v.16 no.2
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    • pp.217-224
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    • 2003
  • The volatility in the financial data is usually measured by conditional variance. Two main streams for gauging conditional variance are stochastic volatility (SV) model and autoregressive type approach (GARCH). This article is conducting comparative study between SV and GARCH through the Korean Stock Prices Index (KOSPI) data. It is seen that SV model is slightly better than GARCH(1,1) in analyzing KOSPI data.

Evaluation of Probability Precipitation using Climatic Indices in Korea (기상인자를 이용한 우리나라의 확률강수량 평가)

  • Oh, Tae-Suk;Moon, Young-Il
    • Journal of Korea Water Resources Association
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    • v.42 no.9
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    • pp.681-690
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    • 2009
  • In this research, design precipitation was calculated by reflecting the climatic indices and its uncertainty assessment was evaluated. Climatic indices used the sea surface temperature and moisture index which observed globally. The correlation coefficients were calculated between the annual maximum precipitation and the climatic indices. and then climatic indices which have the larger correlation coefficient were selected. Therefore, the regression relationship was established by a locally weighted polynomial regression. Next, climatic indices were generated by montecarlo simulation using kernel function. Finally, the design rainfall was calculated by the locally weighted polynomial regression using generated climatic indices. At the result, the comparison of design rainfall between the reflection of the climatic indices and the frequency analysis did not indicate a significant difference. Also, this result can be used as basic data for calculation of probability precipitation to reflect climate change.

Penalized variable selection in mean-variance accelerated failure time models (평균-분산 가속화 실패시간 모형에서 벌점화 변수선택)

  • Kwon, Ji Hoon;Ha, Il Do
    • The Korean Journal of Applied Statistics
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    • v.34 no.3
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    • pp.411-425
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    • 2021
  • Accelerated failure time (AFT) model represents a linear relationship between the log-survival time and covariates. We are interested in the inference of covariate's effect affecting the variation of survival times in the AFT model. Thus, we need to model the variance as well as the mean of survival times. We call the resulting model mean and variance AFT (MV-AFT) model. In this paper, we propose a variable selection procedure of regression parameters of mean and variance in MV-AFT model using penalized likelihood function. For the variable selection, we study four penalty functions, i.e. least absolute shrinkage and selection operator (LASSO), adaptive lasso (ALASSO), smoothly clipped absolute deviation (SCAD) and hierarchical likelihood (HL). With this procedure we can select important covariates and estimate the regression parameters at the same time. The performance of the proposed method is evaluated using simulation studies. The proposed method is illustrated with a clinical example dataset.

A Study on the Stochastic Demand Forecast for the Capacity Calculation of Urban Planning Facilities (도시계획시설 용량 산정을 위한 확률적 수요 예측에 관한 연구)

  • Jae Young Kang;Jong Jin Kim
    • Land and Housing Review
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    • v.15 no.1
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    • pp.135-146
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    • 2024
  • This study predicts the means sharing ratio of the urban air transportation (UAM) when the VertiHub of the UAM in the southern western part is built at Songjeong Station in Gwanju. Based on Monte Carlo simulation of the utility function and means selection logit model for each means of transportation, our findings indicate an average mode share of 0.95%, with a variability range from 0.07% to 4.7%. Moreover, 95% of the simulation outcomes fall below a 2.02% mode share. Sensitivity analysis, conducted via Tornado Plot, highlights that the mode share is principally influenced by factors such as the unit fare, cost parameter, basic fare, and the time required for takeoff and landing. Notably, a negative correlation exists for unit fare, basic fare, and takeoff and landing time, suggesting the necessity of setting an appropriate level of fair to enhance UAM utilization.

Long-term Energy Demand Forecast in Korea Using Functional Principal Component Analysis (함수 주성분 분석을 이용한 한국의 장기 에너지 수요예측)

  • Choi, Yongok;Yang, Hyunjin
    • Environmental and Resource Economics Review
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    • v.28 no.3
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    • pp.437-465
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    • 2019
  • In this study, we propose a new method to forecast long-term energy demand in Korea. Based on Chang et al. (2016), which models the time varying long-run relationship between electricity demand and GDP with a function coefficient panel model, we design several schemes to retain objectivity of the forecasting model. First, we select the bandwidth parameters for the income coefficient based on the out-of-sample forecasting performance. Second, we extend the income coefficient using the functional principal component analysis method. Third, we proposed a method to reflect the elasticity change patterns inherent in Korea. In the empirical analysis part, we forecasts the long-term energy demand in Korea using the proposed method to show that the proposed method generates more stable long term forecasts than the existing methods.

Multi parameter optimization framework of an event-based rainfall-runoff model with the use of multiple rainfall events based on DDS algorithm (다중 강우사상을 반영한 DDS 알고리즘 기반 단일사상 강우-유출모형 매개변수 최적화 기법)

  • Yu, Jae-Ung;Oh, Se-Cheong;Lee, Baeg;Kwon, Hyun-Han
    • Journal of Korea Water Resources Association
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    • v.55 no.11
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    • pp.887-901
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    • 2022
  • Estimation of the parameters for individual rainfall-rainfall events can lead to a different set of parameters for each event which result in lack of parameter identifiability. Moreover, it becomes even more ambiguous to determine a representative set of parameters for the watershed due to enhanced variability exceeding the range of model parameters. To reduce the variability of estimated parameters, this study proposed a parameter optimization framework with the simultaneous use of multiple rainfall-runoff events based on NSE as an objective function. It was found that the proposed optimization framework could effectively estimate the representative set of parameters pertained to their physical range over the entire watershed. It is found that the difference in NSE value of optimization when it performed individual and multiple rainfall events, is 0.08. Furthermore, In terms of estimating the observed floods, the representative parameters showed a more improved (or similar) performance compared to the results obtained from the single-event optimization process on an NSE basis.

Studies on the Major Factors Affecting the Population of the Overwintered Pine Needle Gall Midge, Thecodiplosis japonensis Uchida et Inouye (솔잎혹파리의 월동후(越冬後) 밀도변동(密度變動)에 미치는 주요인자(主要因子)에 관(關)한 연구(硏究))

  • Chung, Yeong-Jin;Hyun, Jai-Sun
    • Korean journal of applied entomology
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    • v.25 no.1 s.66
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    • pp.1-9
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    • 1986
  • Periodical samplings were made in the fields, located Hwasong-Gun, Banwal-Myon, Doondai-Ri, for two years to study the major factors responsible to the population of the overwintered pine needle gall midge, Thecodiplosis japonensis Uchida et Inouye. The population densities of the overwintered larvae reduced greatly at the time of pupation and the changing patterns seemed to be influenced by environmental conditions. The estimated 50% pupation day was about two weeks earlier for the 1980 generation compared with the 1979 generation, and much higher average and the daily maximum temperatures in 1981 affected on the development of the larvae. The relative emergence rates were 14.1% for 1979 and 14.9% for 1980 generation. The relative emergence rates(Y) were affected by the moisture contents of soil ($X_1$) and its variance $(X_2),\;Y=-68.41+4.3206X_1-0.6887X_2$. The relative emergence rates seemed to be decreased with the increased variance of the moisture contents of soil. Percents of needle gall were 49.63% for 1980 and 86.87% for 1981 generation.

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Determinants of Korea's Goods Balances with Japan: Evidence from Dynamic Panel Model (동태 패널모형을 이용한 대일 상품수지 결정요인 분석)

  • Kim, Jounggu;Hwang, Shinmo
    • International Area Studies Review
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    • v.15 no.2
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    • pp.331-350
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    • 2011
  • This paper analyzes balance of goods for a panel data of 56 industry classification in the MTI from 1980 to 2009. This study also develops the equilibrium adjustment process, which is a trade-off between the adjustment costs towards equilibrium costs for balance of goods and the cost of being in disequilibrium. In this framework, the GMM estimation procedure is used to estimate this dynamic panel model consistently. It is found that equilibrium balances of goods in Korean adjust to the speed is very slow to 0.0389. because of this is necessary to adjust the equilibrium goods balance as the cost of goods balance deficit is larger than by the cost. In addition, the real income elasticity for goods balance of resin in Japan and Korea, the real income elasticity 4.38168 and -0.835225, respectively, the marks were consistent with economic theory. The exchange rate elasticity of goods balance in japan to 0.478435 were found in the inelastic.

An Estimation of Domestic Regional Energy Efficiency Using Stochastic Distance Function (확률적 거리함수를 활용한 지역별 에너지효율성 추정)

  • Jeong, Dasom;Kang, Sangmok
    • Environmental and Resource Economics Review
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    • v.30 no.4
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    • pp.581-605
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    • 2021
  • The purpose of this study is to provide basic data for improving energy efficiency by estimating the regional energy efficiency in Korea using the stochastic frontier approach beyond the energy intensity that has been traditionally used as an indicator of energy efficiency. In this paper, energy efficiency and energy intensity efficiency were estimated as a stochastic distance function from 1998 to 2018 for 16 cities and provinces in Korea. In addition, the robustness of energy efficiency according to the capital stock estimation methods which had been mixed in previous studies was reviewed. As a result of the analysis, there is a significant change in regional rankings according to the three energy efficiency indicators, so they should be used complementary to each other. Second, while the energy efficiency improved little by little over time, the energy intensity efficiency decreased slightly though. Lastly, energy efficiency by region according to the capital stock estimation method was not robust. Care must be taken in estimating capital stock, which is important in economic analysis.