• The Korean Journal of Financial Studies
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• v.10 no.1
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• pp.1-44
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• 2004

연속시간모형은 시간의 흐름에 대응되는 자본자산의 운동의 성질과 시간의 흐름에 따라 형성되는 자본자산의 가격을 동시적으로 파악할 수 있는 것이 큰 장점이다. 연속시간 확률미분방정식을 구성하는 표류함수와 확산함수가 폐형해나 해석적 형태로 존재하지 않는 경우가 대부분이다. 여기에서 모수추정의 어려움이 발생한다. 전이 확률밀도함수의 인지 또는 발견의 어려움과 표류함수와 확산함수의 적분 불가능성은 최대가능도법의 사용을 어렵게 만든다. 여기에서 모수방법 보다는 비모수방법을 통하여 연속 확률 미분방정식을 추정하려는 성향이 존재한다. 밀도를 모르면 표본적률을 사용하여 모수를 추정할 수 있으므로 일반화 적률법이 연속시간 확률미분방정식의 모수 추정과 검정에 사용되고 있다. 전이밀도의 값을 시뮬레이션을 통하여 얻는 마코브연쇄 몬테카를로 방법, 전이밀도를 무한소 생성작용소를 통하여 얻는 방법, 비 모수방법, 여러 종류의 전개에 의하여 얻은 표류함수와 확산함수의 전이밀도에 대한 최대가능도법 등 여러 종류의 연속시간 확률미분방정식의 실증분석에서 사용되고 있다. 이 논문에서는 연속시간 확률미분방정식의 실증분석 방법들을 정리하는데 목적이 있다. 이일균(2004)은 이 논문과의 자매논문으로 시뮬레이션에 의한 확률미분방정식의 추정을 다루고 있어 시뮬레이션방법은 그 논문에 미룬다.

• The Korean Journal of Applied Statistics
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• v.28 no.5
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• pp.895-906
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• 2015

Diffusion is a mathematical tool to explain the fluctuation of financial assets and the movement of particles in a micro time scale. There are ongoing statistical trials to develop an estimation method for diffusion models based on likelihood. When we estimate diffusion models by applying the maximum likelihood estimation method on data observed at discrete time points, we need to know the transition density of the diffusion. In order to approximate the transition densities of diffusion models, we suggests the method to approximate the path integral of the random process with normal random variables, and compare the numerical properties of the method with other approximation methods.

• The Korean Journal of Applied Statistics
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• v.23 no.2
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• pp.383-392
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• 2010

Modelling financial phenomena with diffusion processes is frequently used technique. This study reviews the earlier researches on the approximation problem of transition densities of diffusion processes, which takes important roles in estimating diffusion processes, and consider the method to obtain the coefficients of series efficiently, in series approximation method of transition densities. We developed a new efficient algorithm to compute the coefficients which are represented by repeated Dynkin operator on Hermite polynomial.

• Proceedings of the Acoustical Society of Korea Conference
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• spring
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• pp.36-39
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• 1999

본 논문에서는 기존의 반연속 HMM과 신경망 알고리즘인 RBF(Radial Basis Function)를 혼합한 형태를 음성인식에 적용한다. 기존의 반연속 HMM은 학습 과정에서 모든 모델과 상태에서 공유되는 L개의 가우시안 확률 밀도들과 각가우시안 확률 밀도들의 가중치를 결정하는 흔합 밀도계수 의해 입력 음성의 특징을 확률적으로 모델링하는 혼합 확률을 얻고 또 Maximum likelihood와 Baum-Welch 알고리즘을 이용해 초기확률, 전이확률, 관측확률, 평균벡터 $\mu$, 공분산 행렬 $\Sigma$을 학습해 나간다. 그러나 제안한 RBF/반연속 HMM 혼합형태는 RBF의 변형된 방식을 첨가해 반연속 HMM 관측 파라미터를 RBF에 의해 결정함으로써 보단 분별릭 있는 화자독립 인식 시스템이 된다. 그래서 인식 실험결과 인식률에 있어서 기존의 반연속 HMM보다 향상된 인식률을 얻는다.

• Communications for Statistical Applications and Methods
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• v.17 no.3
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• pp.367-376
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• 2010

Recently various methods were suggested and reviewed for estimating diffusion processes. Out of suggested estimation method, we mainly concerns on the estimation method using saddlepoint approximation method, and we suggest a term saddlepoint approximation(ASP) method which is the simplest saddlepoint approximation method. We will show that ASP method provides fast estimator as much as Euler approximation method(EAM) in computing, and the estimator also has good statistical properties comparable to the maximum likelihood estimator(MLE). By simulation study we compare the properties of ASP estimator with MLE and EAM, for Ornstein-Uhlenbeck diffusion processes.

• Korean Journal of Agricultural and Forest Meteorology
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• v.16 no.4
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• pp.259-266
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• 2014

Understanding the forest fire patterns is necessary to comprehend the stability of the forest ecosystems. Thus, researchers have suggested the simulation models to mimic the forest fire spread dynamics, which enables us to predict the forest damage in the scenarios that are difficult to be experimentally tested in laboratory scale. However, many of the models have the limitation that many of them did not consider the complicated environmental factors, such as fuel types, wind, and moisture. In this study, we suggested a simple model with the factors, especially, the geomorphological structure of the forest and two types of fuel. The two fuels correspond to susceptible tree and resistant tree with different probabilities of transferring fire. The trees were randomly distributed in simulation space at densities ranging from 0.5 (low) to 1.0 (high). The susceptible tree had higher value of the probability than the resistant tree. Based on the number of burnt trees, we then carried out the sensitivity analysis to quantify how the forest fire patterns are affected by the structure and tree density. We believe that our model can be a useful tool to explore forest fire spreading patterns.

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.5 no.2
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• pp.58-65
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• 1993

The theoretical treatment of statistical properties and distribution relevant to nonlinear random wave field of moderate bandwidth such as peak and trough of wave elevation is an overdue task hampered by the complicated form of nonlinear random waves. In this study, the extreme distribution of nonlinear random waves is derived based on the simplified version of Longuet-Higgins' wave model. It is shown that the band width of wave spectrum has a significant influence on these extreme distribution and the significant wave height is getting larger in an increasing manner as the nonlinearity is getting profound.

• Journal of Korean Society of Transportation
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• v.22 no.3 s.74
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• pp.159-166
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• 2004

The capacity concept presented in the Highway Capacity Manual is for steady-state traffic flow assuming that there is no restriction in downstream flowing, which is traditionally used for planning, design, and operational analyses. In the congested traffic condition, the control objective should be to keep the congested regime from growing and to recover the normal traffic condition as soon as possible. In this control case, it is important to predict the spatial-temporal pattern of congestion evolution or dissipation and to estimate the throughput reduction according to the spatial-temporal pattern. In this context, the new concept of dynamic capacity for managing congested traffic is developed in terms of spatial-temporal evolution of downstream traffic congestion and in view of the 'input' concept assuming that flow is restricted by downstream condition rather than the 'output' concept assuming that there is no restriction in downstream flowing (e.g. the mean queue discharge flow rate). This new capacity is defined as the Maximum Sustainable Throughput that is determined based on the spatial-temporal evolution pattern of downstream congestion. And the spatial-temporal evolution pattern is estimated using the Newell's simplified q-k model.

• Proceedings of the Korean Institute of Information and Commucation Sciences Conference
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• 2001.10a
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• pp.724-728
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• 2001

In this study, the dielectric breakdown of epoxy composites used for transformers was experimented and then its data were simulated by Weibull distribution probability. The dielectric breakdown characteristics origin in epoxy composites were examined and various effects of dielectric breakdown on epoxy composites were also discussed. As a result, first of all, speaking of dielectric breakdown properties, the more hardener increased the stronger breakdown strength at low temperature because of cross-linked density by the virtue of ester radical. And the breakdown strength of specimens with filler was lower than it of non-filler specimens because it is believed that the adding filler forms interface and charge is accumulated in it, therefore the molecular motility is raised, the electric field is concentrated, and the acceleration of electron and the growth of electron avalanche are early accomplished. In the case of filled specimens with treating silane, the breakdown strength become much higher since this suggests that silane coupling agent improves interfacial combination and relaxs electric field concentration. Finally, from the analysis of weibull distribution, it was confirmed that as the allowed breakdown probability was given by 0.1%, the applied field value needed to be under 21.5㎹/cm.

• Proceedings of the Korean Institute of Information and Commucation Sciences Conference
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• 2002.11a
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• pp.779-783
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• 2002

The dielectric breakdown of epoxy composites used for transformers was experimented and then its data were simulated by Weibull distribution probability. As a result, first of all, speaking of dielectric breakdown properties, the more hardener increased the stronger breakdown strength at low temperature because of cross-linked density by the virtue of ester radical. And the breakdown strength of specimens with filler was lower than it of non-filler specimens because it is believed that the adding filler forms interface and charge is accumulated in it, therefore the molecular motility is raised, the electric field is concentrated, and the acceleration of electron and the growth of electron avalanche are early accomplished. In the case of filled specimens with treating silane, the breakdown strength become much higher since this suggests that silane coupling agent improves interfacial combination and relaxs electric field concentration. Finally, from the analysis of weibull distribution, it was confirmed that as the allowed breakdown probability was given by 0.1%, the applied field value needed to be under 21.5MVcm.