• 대기
• /
• 제18권3호
• /
• pp.207-224
• /
• 2008

Severe downslope windstorms observed at Gangneung, Korea in the springtime during the last 30 years are studied to understand their generation mechanisms. 92 severe wind cases are selected for which the maximum instantaneous wind speeds exceed two standard deviation of total mean plus ($18.7ms^{-1}$). They are categorized into the three mechanisms (hydraulic jump, partial reflection, and critical-level reflection) proposed in previous studies based on the flow condition, which is calculated using the wind and temperature profile observed at one upstream rawinsonde station, Osan. Among the three, partial reflection is found to be the most frequent mechanism for the last 30 years (1976 - 2005). To understand the role of inversion in generating severe downslope windstorms, horizontal velocity perturbation was calculated analytically for the atmosphere with an inversion layer. It turned out that the intensity of downslope wind was increased by inversion layer of specific heights, which are well matched with the observations. For better understanding the generation mechanisms, two-dimensional numerical simulations are conducted for the 92 severe wind cases using the ARPS model. In most simulations, surface wind speed exceeds the value of the severe-wind criterion, and each simulated case can be explained by its own generation mechanism. However, in most simulations, the simulated surface wind speed is larger than the observed, due to ignoring the flow-splitting effect in the two-dimensional framework.

• 한국항행학회논문지
• /
• 제7권2호
• /
• pp.217-226
• /
• 2003

근래에 Poisson 형의 점프 프로세스를 이용하여 표적의 기동 운동을 모델링하고 이것을 이용한 반복형 최소 분산 선형 필터가 제안되었다. 이 필터에서는 기동 표적의 모델링에 사용한 점프의 상태천이 파라미터가 미리부터 필터에 알려져 있다고 가정하였는데 실제는 이것을 모르는 경우가 많다. 본 논문에서는 이러한 기동 추적과정에 수반되는 모델링 오류가 제안된 추적필터의 성능에 어떤 영향을 미치는지 고려한다. 정성적인 분석을 위해서 상태천이 파라미터를 실제와 다른 값을 사용하고, Monte-Carlo 시뮬레이션을 통해 필터의 성능을 해석한다.

• 응용통계연구
• /
• 제27권6호
• /
• pp.959-973
• /
• 2014

자산가격의 비대칭적 변동을 설명하기 위해 최근 비대칭적 점프확산 모형이 제안되었다. 본 논문에서는 이러한 자산가격 모형을 분석하는데 사용되는 효율적인 베이지안 방법을 제안한다. 본 논문에서 제안되는 방법은 모형 요소가 쉽게 추출되는 편의성을 희생하지 않으면서도 조건부 분포들간의 함수적 비호환성을 통해 효율성을 향상시킬 수 있는 부분붕괴 깁스 샘플러를 고안함으로써 개발되었다. 제안된 방법은 모의실험 자료에 적용되어 그 효율성을 검증하였고 1980년 9월부터 2014년 8월까지 관찰된 일별 S&P 500 자료에 적용되었다.

• Journal of the Korean Society for Industrial and Applied Mathematics
• /
• 제15권4호
• /
• pp.277-290
• /
• 2011

We define some multi-type asset models derved from L$\acute{e}$vy proceses which emphasize coefficients of stochastic differential equations. Also these asset models can be represented by Doleance-Dade linear equations derived from jump-type semimartingales which are decomposed by various terms of time basically. For these asset models, we can construct optimal portfolio strategy by using filtered various information at each check time.

• Journal of the Korean Statistical Society
• /
• 제35권1호
• /
• pp.1-23
• /
• 2006

In this paper we consider an estimation of the discontinuous variance function in nonparametric heteroscedastic random design regression model. We first propose estimators of the change point in the variance function and then construct an estimator of the entire variance function. We examine the rates of convergence of these estimators and give results for their asymptotics. Numerical work reveals that using the proposed change point analysis in the variance function estimation is quite effective.

• 한국대기환경학회지
• /
• 제7권1호
• /
• pp.41-47
• /
• 1991

Air pollution potentials of the 7 cities in the central part of Korea were obtained with the mean wind speed within the mixed layer and the mixed layer height calculated by the Jump Model. Seasonal variation of the afternoon mixed layer height in Seoul area shows that low in winter and high in summer. Annual mean of the morning air pollution potential was lowest in Incheon and highest in Wonju. On the other hand annual mean of the afternoon air pollution potential was lowest in Incheon and highest in Chuncheon. Relatively low air pollution potential in Incheon can be explained as high mixed layer height and the effect of sea breeze.

• Journal of the Korean Data and Information Science Society
• /
• 제18권3호
• /
• pp.669-678
• /
• 2007

An algorithm to detect the number of discontinuity points of the variance function in regression model is proposed. The proposed algorithm is based on the left and right one-sided kernel estimators of the second moment function and test statistics of the existence of a discontinuity point coming from the asymptotic distribution of the estimated jump size. The finite sample performance is illustrated by simulated example.

• 한국콘텐츠학회논문지
• /
• 제20권11호
• /
• pp.281-291
• /
• 2020

본 연구는 변액연금보험 보증준비금 산정을 위해 보험업감독업무시행세칙에 제시된 표준자산 등을 가우스-포와송 점프확산과정으로 추정해보고 점프위험에 대한 고려가 변액연금보험 최저연금적립금보증의 보증수수료율과 보증위험 측정에 미치는 영향을 살펴본다. KOSPI 200을 제외한 모든 자산의 수익률 분포가 두터운 꼬리(fat tail)를 가져 다수의 자산수익률에 점프가 존재하고 있음을 확인하였다. 변액연금보험의 최저연금적립금보증 현금흐름을 분석한 결과 국내주가지수와 해외주가지수(원화)는 점프위험을 고려할 경우 보증수수료율과 보증위험이 감소하며 이는 자산모형에 점프위험이 고려되면서 변동성이 감소하는 효과에 기인한 것이다. 반면 국내채권지수와 해외채권지수(원화)의 경우 점프위험 고려 시 래칫형 보증을 중심으로 보증수수료율과 보증위험의 수준이 다소 증가한다. 마지막으로 해외주가지수(달러화)와 해외채권지수(달러화)는 래칫형 보증을 중심으로 동종지수의 원화지수와 반대의 결과가 나타난다. 요컨대 수익률 점프를 고려하지 않을 경우 보증수수료율과 보증위험이 과소 또는 과대평가될 수 있음을 보여준다.

• International Journal of Control, Automation, and Systems
• /
• 제6권1호
• /
• pp.44-53
• /
• 2008

An interacting multiple model (IMM) estimation algorithm based on the mixing of the predicted state estimates is proposed in this paper for a right continuous jump-linear system model different from the left-continuous system model used to develop the existing IMM algorithm. The difference lies in the modeling of the mode switching time. Performance of the proposed algorithm is compared numerically with that of the existing IMM algorithm for noisy system identification. Based on the numerical analysis, the proposed algorithm is applied to target tracking with a large sampling period for performance comparison with the existing IMM.

• 소음진동
• /
• 제10권3호
• /
• pp.531-535
• /
• 2000

A three-parameter model of viscoelastic damper which has a non-linear spring as an element is incorporated into an oscillator. The behavior of the damper model shows non-linear hysteresis curves which is qualitatively similar to those of real viscoelastic materials. The motion is governed by get analytic solutions of the system. The frequency-response curves show that multiple solutions co-exist and that the jump phenomena can occur. In addition it is shown that separate solution branch exists and that it can merge with the primary response curve. Saddle-node bifurcation sets explain the occurences of such non-linear phenomena. A direct time intergration of the original equation of motion validifies the use of the harmonic balance method to this sort of problem.