• Journal of applied mathematics & informatics
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• 제5권2호
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• pp.373-382
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• 1998

Most of the works in Time Series Analysis are based on the Auto Regressive Integrated Moving Average (ARIMA) models presented by Box and Jeckins(1976). If the data exhibits no ap-parent deviation from stationarity and if it has rapidly decreasing autocorrelation function then a suitable ARIMA(p,q) model is fit to the given data. Selection of the orders of p and q is one of the crucial steps in Time Series Analysis. Most of the methods to determine p and q are based on the autocorrelation function and partial autocor-relation function as suggested by Box and Jenkins (1976). many new techniques have emerged in the literature and it is found that most of them are over very little use in determining the orders of p and q when both of them are non-zero. The Durbin-Levinson algorithm and Innovation algorithm (Brockwell and Davis 1987) are used as recur-sive methods for computing best linear predictors in an ARMA(p,q)model. These algorithms are modified to yield an effective method for ARMA model identification so that the values of order p and q can be determined from them. The new method is developed and its validity and usefulness is illustrated by many theoretical examples. This method can also be applied to an real world data.

• Smart Structures and Systems
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• 제5권1호
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• pp.95-117
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• 2009

In this paper, the time series based damage detection algorithms developed by Nair, et al. (2006) and Nair and Kiremidjian (2007) are applied to the benchmark experimental data from the National Center for Research on Earthquake Engineering (NCREE) in Taipei, Taiwan. Both acceleration and strain data are analyzed. The data are modeled as autoregressive (AR) processes, and damage sensitive features (DSF) and feature vectors are defined in terms of the first three AR coefficients. In the first algorithm developed by Nair, et al. (2006), hypothesis tests using the t-statistic are applied to evaluate the damaged state. A damage measure (DM) is defined to measure the damage extent. The results show that the DSF's from the acceleration data can detect damage while the DSF from the strain data can be used to localize the damage. The DM can be used for damage quantification. In the second algorithm developed by Nair and Kiremidjian (2007) a Gaussian Mixture Model (GMM) is used to model the feature vector, and the Mahalanobis distance is defined to measure damage extent. Additional distance measures are defined and applied in this paper to quantify damage. The results show that damage measures can be used to detect, quantify, and localize the damage for the high intensity and the bidirectional loading cases.

• Journal of applied mathematics & informatics
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• 제17권1_2_3호
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• pp.185-194
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• 2005

A Server-Proxies-Users communication system is studied by using Stackelberg strategy theory of game. A new model, in which the server, proxies and users are not equal is established, and that is a three-level programming. The solution existence of the model is proved.

• 한국전산유체공학회:학술대회논문집
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• 한국전산유체공학회 2006년도 추계 학술대회논문집
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• pp.77-82
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• 2006

Evaluation of the elliptic blending turbulence model (EBM) together with the two-layer model, shear stress transport (SST) model and elliptic relaxation model (V2-F) is performed for a better prediction of natural convection and thermal stratification. For a natural convection problem the models are applied to the prediction of a natural convection in a rectangular cavity and the computed results are compared with the experimental data. It is shown that the elliptic blending model predicts as good as or better than the existing second moment differential stress and flux model for the mean velocity and turbulent quantities. For thermal stratification problem the models are applied to the thermal stratification in the upper plenum of liquid metal reactor. In this analysis there exist much differences between the turbulence models in predicting the temporal variation of temperature. The V2-F model and EBM better predict the steep gradient of temperature at the interface of thermal stratification, and the V2-F model and EBM predict properly the oscillation of temperature. The two-layer model and SST model fail to predict the temporal oscillation of temperature.

• 대한조선학회논문집
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• 제53권1호
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• pp.76-83
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• 2016

The various model tests are carried out to estimate and verify a ship performance in the design stage. But in view of the cost, the model test should be applied to every project vessel is very inefficient. Therefore, other methods of predicting the maneuverability with confined data are required at the initial design stage. The purpose of this study is to estimate the hydrodynamic derivatives by using the multiple regression analysis and PMM test data. The characteristics of the stern shape which has an important effect on the maneuverability are applied to the regression analysis in this study. The correlation analysis is performed to select the proper hull form coefficients and stern shape factors used as the variables in the regression analysis. The comparative analysis of estimate results and model test results is conducted on two ships to investigate the effectiveness of the maneuvering hydrodynamic derivatives estimation applied the stern shape. Through the present study, it is verified that the estimation using the stern shape factors as the variables are valid when the stern shape factors are located in the center of the database.

• 품질경영학회지
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• 제34권1호
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• pp.34-39
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• 2006

This paper applies approximation of the renewal function for Hjorth model and Dhillon model which show the trend change in its aging properties. We obtain the renewal function for Hjorth model and Dhillon model by a numerical solution of an approximate integral. We observe the influence of each parameter in these models. The results of the computation are described and their corresponding graphs are provided.

• 한국해안해양공학회지
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• 제11권2호
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• pp.127-133
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• 1999

대명포구 건설 전후의 지형 변화를 예측하기 위하여 수심적분 이차원 유사이동모형인 MOSU 모형을 사용하여 수치모의하였다. 이 모형은 반조합 유한차분모형으로 하천, 저수지, 호수, 하구, 해안에 적용가능하며, 세립 모래, 실트, 점토의 침식, 퇴적, 이동현상을 모의할 수 있다. 모형의 매개변수는 정성적 보정을 통해 추정하였다. 수치모형의 적용결과 포구 건설로 인한 염하수로의 지형변화는 거의 나타나지 않았다.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제27권3호
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• pp.180-193
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• 2023

Approximating the implied volatilities and estimating the model parameters are important topics in quantitative finance. This study proposes an approximation formula for short-maturity near-the-money implied volatilities in stochastic volatility models. A general second-order nonlinear PDE for implied volatility is derived in terms of time-to-maturity and log-moneyness from the Feyman-Kac formula. Using regularity conditions and the Taylor expansion, an approximation formula for implied volatility is obtained for short-maturity nearthe-money call options in two stochastic volatility models: Heston model and SABR model. In addition, we proposed a novel numerical method to estimate model parameters. This method reduces the number of model parameters that should be estimated. Generating sample data on log-moneyness, time-to-maturity, and implied volatility, we estimate the model parameters fitting the sample data in the above two models. Our method provides parameter estimates that are close to true values.

• Communications for Statistical Applications and Methods
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• 제15권1호
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• pp.13-26
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• 2008

Inference on the present data will be more reliable when the data arising from previous similar studies are available. The data arising from previous studies are referred as historical data. The power prior is defined by the likelihood function based on the historical data to the power $a_0$, where $0\;{\le}\;a_0\;{\le}\;1$. The power prior is a useful informative prior for Bayesian inference such as model selection and model comparison. We utilize the historical data to perform multiple comparison in the one-way ANOVA model. We demonstrate our results with some simulated datasets under a simple order restriction between the treatments.

• 한국산업융합학회 논문집
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• 제19권3호
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• pp.109-124
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• 2016

The objective of this paper is to find the density, stiffness, and strength of truss-wall diamond corrugation model combined with pinwheel truss inside space. The truss-wall diamond corrugation (TDC) model is defined as a unit cell coming from solid-wall diamond corrugation (SDC) model. Pinwheel truss-wall diamond corrugation (P-TDC) model is made by TDC connected with pinwheel structure inside of the space. Derived ideal solutions of P-TDC is based on truss-wall and pinwheel truss model at first. And then it is compared with Gibson-Ashby's ideal solution. To validate the ideal solutions of the P-TDC, ABAQUS software is used to predict the density, strength, and stiffness, and then each of them are compared to the ideal solution of Gibson-Ashby with a log-log scale. Applied material property is stainless steel 304 because of having cost effectiveness. Applied parameters for P-TDC are 1 thru 5 mm diameter within fixed opening width as 4mm. In conclusion, the relative Young's modulus and relative yield strength of the P-TDC unit model is reasonable matched to the ideal expectations of the Gibson-Ashby's theory. In nearby future, P-TDC model is hoped to be applied to make sandwich core structure by advanced technologies such as 3D printing skills.