• Journal of the Korean Data and Information Science Society
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• v.25 no.3
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• pp.513-522
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• 2014

Using the assumption that the price of a stock follows a geometric Brownian motion with constant volatility, Black and Scholes (BS) derived a formula that gives the price of a European call option on the stock as a function of the stock price, the strike price, the time to maturity, the risk-free interest rate, the dividend rate paid by the stock, and the volatility of the stock's return. However, implied volatilities of BS method tend to depend on the stock prices and the time to maturity in practice. To address this shortcoming, we estimate the implied volatility function as a function of the strike priceand the time to maturity for data consisting of the daily prices for KOSPI200 call options from January 2007 to May 2009 using support vector regression (SVR), the multiple additive regression trees (MART) algorithm, and ordinary least squaress (OLS) regression. In conclusion, use of MART or SVR in the BS pricing model reduced both RMSE and MAE, compared to the OLS-based BS pricing model.

• Journal of the Korean Society of Surveying, Geodesy, Photogrammetry and Cartography
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• v.6 no.2
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• pp.1-9
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• 1988

The main objective of the study is to execute the simultaneous adjustment of the secondary level net on the basis of the 1st order level net adjustment carried in 1987. Moreover, the basic raw field data obtained during last 21-years(’67~’87) is to be analyzed, corrected and edited in order to carry out a reasonable adjustment of the End order level net. As the result of the study, we obtained mean random error η＝1.99$^{mm}$ /√km, mean systematic error ξ＝2.09$^{mm}$ /√km, square root of the posterior reference variance $\sigma$$_{0}$ ＝9.12$^{mm}$ /√km and concluded that the accuracy obtained is good enough for the category of precision levelling.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.26 no.5A
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• pp.917-925
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• 2006

Experimental tests were performed to estimate velocities of the acoustic signals through prestressed concrete beam and source locations using acoustic emission (AE) techniques. Seven AE sensors are mounted on the surface of 5m length test beam with equal spacing and using Schmidt Hammer AE events are made at 18 locations. The velocities of AE signals are estimated using the time differences of arrival times and the distances between the source locations and the AE sensor locations. In addition, using the Least Square Method, the AE source locations are re-evaluated reversely using both of the arrival times and the velocities of AE signals. Test results show the average velocity of the AE signals is about 4,000 m/sec and the velocity decreased with the increase of the distance from source locations to AE sensors due to the effect of attenuation. Based on the estimation of the source locations, it is observed that the errors of source locations are decreased when the velocities of each AE sensor are used rather than the average velocity.

• Journal of the Korean Society of Surveying, Geodesy, Photogrammetry and Cartography
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• v.36 no.6
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• pp.621-628
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• 2018

More than four visible GPS (Global Positioning System) satellites are required to obtain absolute positioning. However, it is not easy to satisfy this condition when a rover is in such unfavorable condition as an urban area. As a consequence, clock-aided positioning has been used as an alternative method especially when the number of visible satellites is three providing that receive clock error information is available. In this study, LSC (Least-Squares Collocation) method is proposed to interpolate clock errors for clock-aided positioning after analyzing the characteristics of receiver clock errors. Numerical tests are performed by using GPS data collected at one of Korean CORS (Continuously Operating Reference Station) and a nearby GPS station. The receiver clock errors are obtained through the DGPS (Differential GPS) positioning technique and segmentation procedures are applied for efficient interpolation. Then, LSC is applied to predicted clock error at epoch which clock information is not available. The numerical test results are analyzed by examining the differences between the original and interpolated clock errors. The mean and standard deviation of the residuals are 0.24m and 0.49m, respectively. Therefore, it can be concluded that sufficient accuracy can be obtained by using the proposed method in this study.

• Communications for Statistical Applications and Methods
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• v.15 no.5
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• pp.737-752
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• 2008

About 1800, mathematicians combined analysis of error and probability theory into error theory. After developed by Gauss and Laplace, error theory was widely used in branches of natural science. Motivated by the successful applications of error theory in natural sciences, scientists like Adolph Quetelet tried to incorporate social statistics with error theory. But there were not a few differences between social science and natural science. In this paper we discussed topics raised then. The problems considered are as follows: the interpretation of individual man in society; the arguments against statistical methods; history of the measures for diversity. From the successes and failures of the $19^{th}$ century social statisticians, we can see how statistics became a science that is essential to both natural and social sciences. And we can see that those problems, which were not easy to solve for the $19^{th}$ century social statisticians, matter today too.

• Journal of Digital Convergence
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• v.10 no.9
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• pp.357-362
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• 2012

We have compared and predicted for non-linear time series data which are real data having different variences using GRCA(1) model and neural network method. In particular, using Korea Composite Stock Price Index rate, mean square errors of prediction are obtained in genaralized random coefficient autoregressive model and neural network method. Neural network method prove to be better in short-term forecasting, however GRCA(1) model perform well in long-term forecasting.

• The Korean Journal of Applied Statistics
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• v.10 no.2
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• pp.253-260
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• 1997

Various algorithms are investigated with respect to finding the best model-based samples according to criteria such as D-optimality and minimum mean square error. These two criteria are slightly different, but related to each other. Therefore, it is not surprising that these two are producing the almost identical samples. Some simple examples follow and critiques are provided along with directions for further research.

• Proceedings of the Korea Information Processing Society Conference
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• 2001.10b
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• pp.1323-1326
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• 2001

서브네트워크에서 실시간으로 통신 트래픽을 감시하고, 트래픽 정보를 바탕으로 시계열 분석을 이용해 트래픽의 변화추이를 예측할 수 있는 시스템을 설계 및 구현한다. SNMP를 이용한 MIB-II 정보를 바탕으로 하는 분석 방법은 누적 데이터를 기본으로 하는 관리 방법으로 이상 징후의 판단이 실시간 감시에는 적합하지 않은 점이 있다. 따라서, 본 논문에서는 실시간 트래픽 감시를 위해 서브네트워크에 들어오거나 나가는 트래픽의 양을 측정하여 분석하고, 이 정보를 바탕으로 특정 시점 이후의 트래픽 추이를 시계열 분석 방법을 이용하여 미래의 트래픽 양을 예측하는 알고리즘을 시스템으로 구현한다. 예측 알고리즘으로는 AR, MA, ARMA, ARIMA 모델중에 평균 제곱 오차를 최소로 가지는 알고리즘을 선택하여 예측하도록 설계한다. 개발되는 시스템을 망 관리자가 전체 통신 네트워크의 부하 상태를 예상할 수 있게 하여 신속하고 예방적인 대응을 할 수 있다.

• Proceedings of the Korean Society of Broadcast Engineers Conference
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• 2011.07a
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• pp.119-121
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• 2011

본 논문은 주파수 선택적인 MIMO 시스템에서 스트림간의 간섭을 효과적으로 제거하는 기법을 제안한다. 본 논문에서는 계산적으로 복잡도가 높은 리스트 검색 기법 대신에 채널 복호기에서 사용되는 사후 확률(a posteriori probability, APP)를 얻기 위해 반복적으로 스트림간 간섭을 제거하는 선형 이퀄라이저를 사용하였다. 반복회수가 증가할수록 이퀄라이저에 의해 채널은 점차 single input multiple output (SIMO) 형태의 채널에 가까워지고 MIMO 이퀄라이저의 최소평균제곱오차 (MMSE)에 가까워진다. HSPA UMTS standard를 따르는 $2{\times}2$ MIMO 시스템의 다운링크 통신 모의실험을 통해 제안된 기법이 기존의 수신 기법에 비해 상당한 성능이득을 얻을 수 있음을 확인할 수 있다.

• Journal of the Korean Society of Surveying, Geodesy, Photogrammetry and Cartography
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• v.20 no.2
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• pp.155-164
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• 2002

In this study, in order to discuss the geometric correction methods of high-resolution IKONOS satellite image, the existing polynomial model and RFM which is able to rectify satellite image without auxiliary data are applied to IKONOS satellite image data. Then the accuracy of ground point versus number of GCPs and each order of RFM are assessed. A numerical instability is removed by application of Tikhonov regularization method. As the results of this study, the root mean square errors of RFM is decreased more than 2 pixels in comparison with the two dimensional polynomial model.