• Communications for Statistical Applications and Methods
• /
• v.30 no.2
• /
• pp.163-178
• /
• 2023

GARCH-X(1, 1) model specifies that conditional variance follows an AR(1) process and includes a past exogenous variable. This study proposes a new class from that model by allowing a more general (non-linear) variance function to follow an AR(1) process. The functions applied to the variance equation include exponential, Tukey's ladder, and Yeo-Johnson transformations. In the framework of normal and student-t distributions for return errors, the empirical analysis focuses on two stock indices data in developed countries (FTSE100 and SP500) over the daily period from January 2000 to December 2020. This study uses 10-minute realized volatility as the exogenous component. The parameters of considered models are estimated using the adaptive random walk metropolis method in the Monte Carlo Markov chain algorithm and implemented in the Matlab program. The 95% highest posterior density intervals show that the three transformations are significant for the GARCHX(1, 1) model. In general, based on the Akaike information criterion, the GARCH-X(1, 1) model that has return errors with student-t distribution and variance transformed by Tukey's ladder function provides the best data fit. In forecasting value-at-risk with the 95% confidence level, the Christoffersen's independence test suggest that non-linear models is the most suitable for modeling return data, especially model with the Tukey's ladder transformation.

• Journal of the Korean Institute of Illuminating and Electrical Installation Engineers
• /
• v.18 no.4
• /
• pp.83-87
• /
• 2004

In this paper, an electrical equivalent circuit is derived by solving system equations. A frequency characteristics graph is calculated and the characteristics curve of the linear Actuator Model System are simulated by the Matlab program The frequency characteristics of a linear actuator are analyzed on the structure of the linear Actuator Model System This paper proposed and analyzed the linear Actuator Model(LAM) by using Matlab program with linear actuator was verified computer simulation based on the energy conversion theory.

• Journal of the Korean Data and Information Science Society
• /
• v.25 no.4
• /
• pp.697-703
• /
• 2014

Deal-or-No-Deal game is a famous TV show program of NBC, USA, which is composed of 10 stages at most. At each stage from the first and the ninth, a banker suggests a deal price to participants. In this paper, we intend to reveal the banker's deal price model using a constrained linear model and quadratic program. As results, we provide a linear model in relation to the deal price at each stage and then show using simulation data that the deal price is equal to the nearest integer of the value to be obtained by the provided linear model.

• Journal of Korean Society of Industrial and Systems Engineering
• /
• v.32 no.4
• /
• pp.53-62
• /
• 2009

Lee[15] examined quantity discount contracts between a manufacturer and a retailer in a stochastic, two-period inventory model where quantity discounts are provided based on the previous order size. During the two periods, the retailer faces stochastic (truncated Poisson distributed) demands and he/she places orders to meet the demands. The manufacturer provides for the retailer a price discount for the second period order if its quantity exceeds the first period order quantity. In this paper we extend the above two-period model to a k-period one (where k < 2) and propose a stochastic nonlinear mixed binary integer program for it. In order to make the program tractable, the nonlinear term involving the sum of truncated Poisson cumulative probability function values over a certain range of demand is approximated by an i-interval piecewise linear function. With the value of i selected and fixed, the piecewise linear function is determined using an evolutionary algorithm where its fitness to the original nonlinear term is maximized. The resulting piecewise linear mixed binary integer program is then transformed to a mixed binary integer linear program. With the k-period model developed, we suggest a solution procedure of receding horizon control style to solve n-period (n < k) order decision problems. We implement Lee's two-period model and the proposed k-period model for the use in receding horizon control style to solve n-period order decision problems, and compare between the two models in terms of the pattern of order quantities and the total profits. Our computational study shows that the proposed model is superior to the two-period model with respect to the total profits, and that order quantities from the proposed model have higher fluctuations over periods.

• Journal of the Korean Operations Research and Management Science Society
• /
• v.11 no.2
• /
• pp.69-78
• /
• 1986

The outlook for the Civil Service Pension (CSP) program in Korea indicates several problems. First, the balance of the benefit among the pension recipients is not well maintained. Second, the program is running out of funds as benefit increases exceed the growth in revenues. In this article, we analyze these problems by using linear programming model and discuss the alternatives. We propose an addition of the age limit to the benefit eligibility and a reconsideration of the government subsidy's level.

• Structural Engineering and Mechanics
• /
• v.26 no.1
• /
• pp.15-30
• /
• 2007

In the paper, one focuses on the problem of duality in non-linear programming, applied to the solution of no-tension problems by means of Limit Analysis (LA) theorems for Not Resisting Tension (NRT) models. In details, one demonstrates that, starting from the application of the duality theory to the non-linear program defined by the static theorem approach for a discrete NRT model, this procedure results in the definition of a dual problem that has a significant physical meaning: the formulation of the kinematic theorem.

• Proceedings of the Korea Port Economic Association Conference
• /
• 2007.10a
• /
• pp.161-173
• /
• 2007

This paper considers the problem of determining the cargo flow and the transportation mode in each trade route while satisfying the demand. Especially, the problem incorporates short sea shipping in Korea, which is becoming more important in order to improve efficiency of Logistics. The objective is to minimize the sum of shipping and inland transportation costs. To solve optimally the problem, this paper employs a linear programming model, which is an operations research technique for optimization. The problem is formulated by extending the well-known network design problem by considering capacity at seaport and limitation of total number of vehicles. The model is solved using CPLEX, a commercial linear program software. The test results using a real cargo flow data in Korea show that the model represents closely the real situation.

• Journal of the Institute of Electronics Engineers of Korea SC
• /
• v.47 no.1
• /
• pp.56-61
• /
• 2010

Hemorrhagic shock is a common cause of death in the emergency department. The purpose of this study was to investigate the relationship between blood loss as a percent of the total estimated blood volume (% blood loss) and changes in several physiological parameters. The other goal was to achieve an accurate prediction of percent blood loss for hemorrhagic shock in rats using a linear regression model. We allocated 60 Sprague-Dawley rats into four groups: 0ml, 2ml, 2.5ml, 3 mL/100 g during 15 min. We analyzed the heart rate, systolic and diastolic blood pressure, respiration rate, and body temperature in relation to the percent blood loss. We generated a linear regression model predicting the percent blood loss using a randomly chosen 360 data set and the R-square value of the model was 0.80. Root mean square error of the tested 360 data set using the linear regression was 5.7%. Even though the linear regression model is not directly applicable to clinical situation, our method of predicting % blood loss could be helpful in determining the necessary fluid volume for resuscitation in the future.

• 제어로봇시스템학회:학술대회논문집
• /
• 2004.08a
• /
• pp.524-529
• /
• 2004

In this paper, We described the method which developed the optimal control system for air separation unit to change production rates frequently and rapidly. Control models of the process were developed from actual plant data using subspace identification method which is developed by many researchers in resent years. The model consist of a series connection of linear dynamic block and static nonlinear block (Wiener model). The model is controlled by model based predictive controller. In MPC the input is calculated by on-line optimization of a performance index based on predictions by the model, subject to possible constraints. To calculate the optimal the performance index, conditions are expressed by LMI(Linear Matrix Inequalities).In order to access at the Bailey DCS system, we applied the OPC server and developed the Client program. The OPC sever is a device which can access Bailey DCS system.The Client program is developed based on the Matlab language for easy calculation,data simulation and data logging. Using this program, we can apply the optimal input to the DCS system at real time.

• Journal of Agricultural Extension & Community Development
• /
• v.16 no.1
• /
• pp.69-98
• /
• 2009

This study empirically studies the effects of Agricultural Technology Service Center's educational program for farmers on their incomes. The educational program for farmers has widely been managed in discourse and policy in Korea. In 2008, Agricultural Technology Service Center managed 88 educational program for farmers, where 6,409 farmers received a certificate. While there are important studies, most of them have concentrated on qualitative analysis and noneconomic effects to an educational program for farmers. This study tried to analyze whether or not there is an economic effect of an educational program for farmers, focusing on the relationship between the educational program for farmers and their income status. Multilevel models (or hierarchical linear models) were applied to this study. Multilevel model is a quantitative model of parameters that vary at more than one level and show hierarchical structures between levels. This study particularly accentuates that an educational program for farmers is more meaningful when it can raise farmers' incomes by region and by educational program for farmers.