• The Korean Journal of Financial Management
• /
• v.21 no.1
• /
• pp.149-181
• /
• 2004

In this study we perform empirical tests using KOSPI return to investigate the existence of nonlinear characteristics in the generating process of stock returns. There are three categories in empirical tests; the test of nonlinear dependence, nonlinear stochastic process and nonlinear deterministic chaos. According to the analysis of nonlinearity, stock returns are not normally distributed but leptokurtic, and appear to have nonlinear dependence. And it's decided that the nonlinear structure of stock returns can not be completely explained using nonlinear stochastic models of ARCH-type. Nonlinear deterministic chaos system is the feedback system, which the past incidents influence the present, and it is the fractal structure with self-similarity and has the sensitive dependence on initial conditions. To summarize the results of chaos analysis for KOSPI return, it is the persistent time series, which is not IID and has long memory, takes biased random walk, and is estimated to be fractal distribution. Also correlation dimension, as the approximation of fractal dimension, converged stably within 3 and 4, and maximum Lyapunov exponent has positive value. This suggests that chaotic attractor and the sensitive dependence on initial conditions exist in stock returns. These results fit into the characteristics of chaos system. Therefore it's decided that the generating process of stock returns has nonlinear deterministic structure and follow chaotic process.

• Journal of Korean Society of Transportation
• /
• v.25 no.1 s.94
• /
• pp.109-119
• /
• 2007

Increasingly, the emphasis in regional Passenger rail Planning is finding ways to more efficiently use existing facilities, with particular attention being Paid to Policies designed to spread Peak-Period travel demand more evenly throughout the week with consideration of train classification. In this context the individual's choice of time to travel is of crucial significance. This paper investigates the use of multinomial logit analysis to model ridership by rail classification using data collected for travel from Seoul to Busan during the one week in October 2004. The Particular model form that was successfully calibrated was the multinomial logit (MNL) model : it describes the choice mechanism that will Permit rail systems and operations to be planned on a more reliable basis. The assumption of independently and identically distributed(IID) error terms in the MNL model leads to its infamous independence from irrelevant alternatives (IIA) property. Relaxation of the IID assumption has been undertaken along a number or isolated dimensions leading to the development of the MNL model. For business and related rail travel patterns, the most important variables of choice were time and frequency to the chosen destination. The calibrated model showed high agreement between observed and Predicted market shares. The model is expected to be of use to railroad authorities in Planning and determining business strategies in the Increasingly competitive environment or regional rail transport.

• The Korean Journal of Applied Statistics
• /
• v.25 no.2
• /
• pp.341-350
• /
• 2012

Composite quantile regression model is considered for iid error case. Since the regression coefficients are the same across different quantiles, composite quantile regression can be used to combine the strength across multiple quantile regression models. For the composite quantile regression, bootstrap method is examined for statistical inference including the selection of the number of quantiles and confidence intervals for the regression coefficients. Feasibility of the bootstrap method is demonstrated through a simulation study.

• Communications for Statistical Applications and Methods
• /
• v.16 no.6
• /
• pp.925-936
• /
• 2009

There very many approaches to impute missing values in the iid. case. However, it is hardly found the imputation techniques in the Markov random field(MRF) case. In this paper, we show that the imputation under MRF is just to impute by fitting the normal mixture model(NMM) under several practical assumptions. Our multivariate normal mixture model based approaches under MRF is applied to impute the missing pixel values of 3-variate (R, G, B) color image, providing a technique to smooth the imputed values.

• KSII Transactions on Internet and Information Systems (TIIS)
• /
• v.7 no.12
• /
• pp.3118-3134
• /
• 2013

This paper deliberates for a multimedia transmission scheme combining multiple description coding (MDC) and network coding (NC). Our goal is to take advantage from the property of MDC to provide quantized and compressed independent and identically distributed (iid) descriptions and also from the benefit of network coding, which uses network resources efficiently to recover lost data in the network. Recently, p-cycle NC has been introduced to recover and protect any lost or distorted descriptions at the receiver part exactly without need of retransmission. So far, MDC have not been explored using this type of NC. Compressed and coded descriptions are transmitted through the network where p-cycle NC is applied. P-cycle based algorithm is proposed for single and multiple descriptions lost. Results show that in the fixed bit rate, the PSNR (Peak Signal to Noise Ratio) of our reconstructed image and also subjective evaluation is improved significantly compared to previous work which is averaging method joint with MDC in order to conceal lost descriptions.

• The Transactions of The Korean Institute of Electrical Engineers
• /
• v.58 no.2
• /
• pp.415-421
• /
• 2009

TOA(time-of-arrival) and TDOA(time-difference-of-arrival) positioning techniques are commonly used in many radio-navigation systems. From the literature, it is known that the position estimate and error covariance matrix of TDOA obtained by GN(Gauss-Newton) method is exactly the same as that of TOA when the error source of the range measurement is only an IID white Gaussian noise. In case of geo-location and indoor positioning, however, multi-path or NLOS(non-line-of-sight) error is frequently appeared in range measurements. Though its occurrence is random, the multipath acts like a bias for a stationary user if it occurs. This paper presents the comparisons of error characteristics between TOA and TDOA positioning in presence of multi-path or NLOS error. It is analytically shown that the position estimate of TDOA is exactly the same as that of TOA even when bias errors are included in range measurements with different magnitudes. By computer simulation, position estimation error and error distribution are analyzed in presence of range bias errors.

• Journal of Korean Society of Industrial and Systems Engineering
• /
• v.33 no.1
• /
• pp.33-40
• /
• 2010

Because sampling interval for data collection tends to be short compared with the overall processing time, in chemical process, instrumental process related tanks or furnace collected data have a significant autocorrelation. Insufficient control technique and frequent control actions cause unstable condition of the process. Traditional control charts which were developed based on iid (independently and identically distributed) among data cannot be applied on the existence of autocorrelation. Also unstable process is difficult to identity or diagnose. Because large-scale process has a lot of measurable variables and multi-step-structures among data, it is difficult to find relation between measurable variables and nonconformity. In this paper, we suggested an appicable model to diagnose the process and to find relation between measurable variables (CTQ) and nonconformity in the process having autocorrelation, unstable condition frequently, a lot of measurable variables, and multi-step-structure. And we applied this model to real process, to verify that the process engineers could easily and effectively diagnose the process and control the nonconformity.

• Journal of the Korea Safety Management & Science
• /
• v.12 no.3
• /
• pp.257-262
• /
• 2010

The study investigates the various Acceptance Control Charts (ACCs) based on the factors that include process independence, data weighting scheme, subgrouping, and use of control charts. USL - LSL > $6{\sigma}$ that used in the good condition processes in the ACCs are designed by considering user's perspective, producer's perspective and both perspectives. ACCs developed from the research is efficiently applied by using the simple control limit unified with APL (Acceptable Process Level), RLP (Rejectable Process Level), Type I Error $\alpha$, and Type II Error $\beta$. Sampling interval of subgroup examines i.i.d. (Identically and Independent Distributed) or auto-correlated processes. Three types of weight schemes according to the reliability of data include Shewhart, Moving Average(MA) and Exponentially Weighted Moving Average (EWMA) which are considered when designing ACCs. Two types of control charts by the purpose of improvement are also presented. Overall, $\alpha$, $\beta$ and APL for nonconforming proportion and RPL of claim proportion can be designed by practioners who emphasize productivity and claim defense cost.

• Archives of Pharmacal Research
• /
• v.28 no.4
• /
• pp.438-442
• /
• 2005

A series of 3-[1-(4-(2-methylpropyl) phenyl) ethyl]-1,2,4-triazole-5-thione (I) and its bicyclic condensed derivatives 6-benzylidenethiazolo[3,2-b]-1, 2,4-triazole-5(6H)-ones (IIa-IIf) were investigated for the prevention of ethanol-induced oxidative stress in liver and brain of mice. Administration of ethanol (0.1 mL/mice, p.o.) resulted in a drop of total thiol groups (T-SH) and non-protein thiol groups (NP-SH), and an increase in thiobarbituric acid reactive substances (TBARS) in both liver and brain tissue of mice (p<0.001). Among the compounds investigated (at a dose of 200 mg/kg, p.o.), I and IId ameliorated the peroxidative injury in these tissues effectively. Compounds IIa, IIc and IIe improved the peroxidative tissue injury only in brain. These findings suggest that certain condensed thiazolo-triazole compounds may contribute to the control of ethanol-induced oxidative stress in an organ selective manner.

• International conference on construction engineering and project management
• /
• 2013.01a
• /
• pp.21-27
• /
• 2013

Construction safety is a predominant hindrance in in-situ workflow and considered an unresolved issue. Current methods used for safety optimization and prediction, with limited exceptions, are paper-based, thus error prone, as well as time and cost ineffective. In an attempt to exploit the potential of BIM for safety, the objective of the proposed methodology is to automatically predict hazardous on-site conditions related to the route that the dozers follow during the different phases of the project. For that purpose, safety routes used by construction equipment from an origin to multiple destinations are computed using video cameras and their cycle times are calculated. The cycle times and factors; including weather and light conditions, are considered to be independent and identically distributed random variables (iid); and simulated using the Arena software. The simulation clock is set to 100 to observe the minor changes occurring due to external parameters. The validation of this technology explores the capabilities of BIM combined with simulation for enhancing productivity and improving safety conditions a-priori. Preliminary results of 262 measurements indicate that the proposed methodology has the potential to predict with 87% the location of exclusion zones. Also, the cycle time is estimated with an accuracy of 89%.