• Communications for Statistical Applications and Methods
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• v.24 no.5
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• pp.507-518
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• 2017

Volatility plays a crucial role in theory and applications of asset pricing, optimal portfolio allocation, and risk management. This paper proposes a combined model of autoregressive moving average (ARFIMA), generalized autoregressive conditional heteroscedasticity (GRACH), and skewed-t error distribution to accommodate important features of volatility data; long memory, heteroscedasticity, and asymmetric error distribution. A fully Bayesian approach is proposed to estimate the parameters of the model simultaneously, which yields parameter estimates satisfying necessary constraints in the model. The approach can be easily implemented using a free and user-friendly software JAGS to generate Markov chain Monte Carlo samples from the joint posterior distribution of the parameters. The method is illustrated by using a daily volatility index from Chicago Board Options Exchange (CBOE). JAGS codes for model specification is provided in the Appendix.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.37 no.1B
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• pp.50-58
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• 2012

The objective of this study is to develop the theoretical model of the telecommunication system service availability from the user perspective. We assume non-homogeneous Poisson process for the call arrival process and continuous time Markov chain for the system state. The proposed model effectively describes the user model of the user-perceived service reliability by including the time-varying call arrival rate. We also include the operational failure state where the user cannot receive any service even though the system is functioning.

• Communications for Statistical Applications and Methods
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• v.29 no.5
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• pp.513-532
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• 2022

In this paper, the use of Bayes factors and the deviance information criterion for model selection are compared in a Bayesian accelerated life testing setup. In Bayesian accelerated life testing, the most used tool for model comparison is the deviance information criterion. An alternative and more formal approach is to use Bayes factors to compare models. However, Bayesian accelerated life testing models with more than one stressor often have mathematically intractable posterior distributions and Markov chain Monte Carlo methods are employed to obtain posterior samples to base inference on. The computation of the marginal likelihood is challenging when working with such complex models. In this paper, methods for approximating the marginal likelihood and the application thereof in the accelerated life testing paradigm are explored for dual-stress models. A simulation study is also included, where Bayes factors using the different approximation methods and the deviance information are compared.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.35 no.2
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• pp.327-340
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• 2015

General Circulation Models (GCMs) are the basic tool used for modelling climate. However, the spatio-temporal discrepancy between GCM and observed value, therefore, the models deliver output that are generally required calibration for applied studies. Which is generally done by Multi-Model Ensemble (MME) approach. Stochastic downscaling methods have been used extensively to generate long-term weather sequences from finite observed records. A primary objective of this study is to develop a forecasting scheme which is able to make use of a MME of different GCMs. This study employed a Nonstationary Hidden Markov Chain Model (NHMM) as a main tool for downscaling seasonal ensemble forecasts over 3 month period, providing daily forecasts. Our results showed that the proposed downscaling scheme can provide the skillful forecasts as inputs for hydrologic modeling, which in turn may improve water resources management. An application to the Nakdong watershed in South Korea illustrates how the proposed approach can lead to potentially reliable information for water resources management.

• The Korean Journal of Applied Statistics
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• v.18 no.1
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• pp.1-13
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• 2005

Latent Class model has been considered recently by many researchers and practitioners as a tool for identifying heterogeneous segments or groups in a population, and grouping objects into the segments. In this paper we consider data on prostate cancer patients from Korean National Cancer Institute and propose a method for grouping prostate cancer patients by using latent class Poisson model. A Bayesian approach equipped with a Markov chain Monte Carlo method is used to overcome the limit of classical likelihood approaches. Advantages of the proposed Bayesian method are easy estimation of parameters with their standard errors, segmentation of objects into groups, and provision of uncertainty measures for the segmentation. In addition, we provide a method to determine an appropriate number of segments for the given data so that the method automatically chooses the number of segments and partitions objects into heterogeneous segments.

• Journal of the Institute of Electronics Engineers of Korea SD
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• v.38 no.2
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• pp.51-51
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• 2001

본 논문은 디지털 순서회로 설계시 상태할당 알고리즘 개발에 관한 연구로, 동적 소비전력을 감소시키기 위하여 상태변수의 변화를 최소로 하는 코드를 할당하여 상태코드가 변화하는 스위칭횟수를 줄이도록 하였다. 상태를 할당하는데는 Markov의 확률함수를 이용하여 hamming거리가 최소가 되도록 상태 천이도에서 각 상태를 연결하는 edge에 weight를 정의한 다음, 가중치를 이용하여 각 상태들간의 연결성을 고려하여 인접한 상태들간에는 가능한 적은 비트 천이를 가지도륵 모든 상태를 반복적으로 찾아 계산하였다. 비트 천이의 정도를 나타내기 위하여 cost 함수로 계산한 결과 순서회로의 종류에 따라 Lakshmikant의 알고리즘보다 최고 57.42%를 감소시킬 수 있었다.

• Communications for Statistical Applications and Methods
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• v.8 no.1
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• pp.109-115
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• 2001

Wavelet coefficients are known to have decorrelating properties, since wavelet is orthonormal transformation. but empirically, those wavelet coefficients of images, like edges, are not statistically independent. Jansen and Bultheel(1999) developed the empirical Bayes approach to improve the classical threshold algorithm using local characterization in Markov random field. They consider the clustering of significant wavelet coefficients with uniform distribution. In this paper, we developed wavelet thresholding algorithm using Laplacian distribution which is more realistic model.

• Water for future
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• v.29 no.6
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• pp.179-188
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• 1996

The chronical sequences of daily precipitation are of great practical importance in the planning and operational processes of water resources system. A sequence of days with alternate dry day and wet day can be generated by two state Markov chain model that establish the subsequent daily state as wet or dry by previously calculated vconditional probabilities depending on the state of previous day. In this study, a synthetic generation model for obtaining the daily precipitation series is presented by classifying the precipitation amount in wet days into multi-states. To apply multi-state Markov chain model, the daily precipitation amounts for wet day are rearranged by grouping into thirty states with intervals for each state. Conditional probabilities as transition probability matrix are estimated from the computational scheme for stepping from the precipitation on one day to that on the following day. Statistical comparisons were made between the historical and synthesized chracteristics of daily precipitation series. From the results, it is shown that the proposed method is available to generate and simulate the daily precipitation series with fair accuracy and conserve the general statistical properties of historical precipitation series.

• Journal of Korean Society for Quality Management
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• v.30 no.2
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• pp.99-117
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• 2002

Variable sampling interval(VSI) and variable sample size(VSS) control charts vary the sampling rate for the next sample depending on the current chart statistic. This paper develops EWMA charts with the VSI and VSS features, and investigates the effectiveness of these charts in context of an economic model. The economic properties of these charts are evaluated by using Markov chain methods. The model contains cost parameters which allow the specification of the costs associated with sampling, false alarms, and operating off target. This economic model can be used to quantify the cost saving that can be obtained by using control charts with the VSI and VSS features instead of with the fixed sampling rate(FSR) feature, and can also be used to gain insight into the way that control charts with the VSI and VSS features should be designed to achieve optimal economic performance. The economic performance of X charts with the VSI and VSS features is also considered.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.15 no.4
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• pp.1293-1316
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• 2021

Using directional antennas in wireless Ad hoc networks has many superiorities, including reducing interference, extending transmission range, and increasing space division multiplexing. However, directional transmission introduces two problems: deafness and directional hidden terminals problems. We observe that these problems result in saturation throughput disparity among the competing flows in directional CSMA/CA based Ad hoc networks and bring challenges for modeling the saturation throughput of the flows. In this article, we concentrate on how to model and analyze the saturation throughput disparity of different flows in directional CSMA/CA based Ad hoc networks. We first divide the collisions occurring in the transmission process into directional instantaneous collisions and directional persistent collisions. Then we propose a four-dimensional Markov chain to analyze the transmission state for a specific node. Our model has three different kinds of processes, namely back-off process, transmission process and freezing process. Each process contains a certain amount of continuous time slots which is defined as the basic time unit of the directional CSMA/CA protocols and the time length of each slot is fixed. We characterize the collision probabilities of the node by the one-step transition probability matrix in our Markov chain model. Accordingly, we can finally deduce the saturation throughput for each directional data stream and evaluate saturation throughput disparity for a given network topology. Finally, we verify the accuracy of our model by comparing the deviation of analytical results and simulation results.