• The Korean Journal of Applied Statistics
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• v.24 no.5
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• pp.833-845
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• 2011

This paper conducts a statistical analysis of extreme values for both daily log-returns and daily negative log-returns, which are computed using a collection of KOSPI data from January 3, 1998 to August 31, 2011. The Poisson-GPD model is used as a statistical analysis model for extreme values and the maximum likelihood method is applied for the estimation of parameters and extreme quantiles. To the Poisson-GPD model is also added the Bayesian method that assumes the usual noninformative prior distribution for the parameters, where the Markov chain Monte Carlo method is applied for the estimation of parameters and extreme quantiles. According to this analysis, both the maximum likelihood method and the Bayesian method form the same conclusion that the distribution of the log-returns has a shorter right tail than the normal distribution, but that the distribution of the negative log-returns has a heavier right tail than the normal distribution. An advantage of using the Bayesian method in extreme value analysis is that there is nothing to worry about the classical asymptotic properties of the maximum likelihood estimators even when the regularity conditions are not satisfied, and that in prediction it is effective to reflect the uncertainties from both the parameters and a future observation.

• Journal of the Korean Data and Information Science Society
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• v.11 no.1
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• pp.83-90
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• 2000

The chi-squared test statistic is usually employed for testing independence of two categorical variables in a two-way contingency table. It is well known that, under independence, the test statistic has an asymptotic chi-squared distribution under multinomial or product-multinomial models. For the case where both margins fixed, the sampling model of the contingency table is a multiple hypergeometric distribution and the chi-squared test statistic follows the same limiting distribution. In this paper, we study the difference between the small sample and large sample distributions of the chi-squared test statistic for the case with fixed margins. For a few small sample cases, the exact small sample distribution of the test statistic is directly computed. For a few large sample sizes, the small sample distribution of the statistic is generated via a Monte Carlo algorithm, and then is compared with the large sample distribution via chi-squared probability plots and Kolmogorov-Smirnov tests.

• Journal of the Earthquake Engineering Society of Korea
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• v.14 no.1
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• pp.25-34
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• 2010

A method is presented for evaluating the seismic failure probability of bridge structures which show a nonlinear hysteretic dynamic behavior. Bridge structures are modeled as a bilinear dynamic system with a single degree of freedom. We regarded that the failure of bridges will occur when the displacement response of a deck level firstly crosses the predefined limit state during a duration of strong motion. For the estimation of the first-crossing probability of a nonlinear structural system excited by earthquake motion, we computed the average frequency of crossings of the limit state. We presented the non-Gaussian closure method for the approximation of the joint probability density function of response and its derivative, which is required for the estimation of the average frequency of crossings. The failure probabilities are estimated according to the various artificial earthquake acceleration sets representing specific seismic characteristics. For the verification of the accuracy and efficiency of presented method, we compared the estimated failure probabilities with the results evaluated from previous methods and the exact values estimated with the crude Monte-Carlo simulation method.

• The Journal of the Acoustical Society of Korea
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• v.19 no.1
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• pp.97-102
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• 2000

Subband coding is to divide the signal frequency band into a set of uncorrelated frequency bands by filtering and then to encode each of these subbands using a bit allocation rationale matched to the signal energy in that subband. The actual coding of the subband signal can be done using waveform encoding techniques such as PCM, DPCM and vector quantizer(VQ) in order to obtain higher data compression. Most researchers have focused on the error in the quantizer, but not on the overall reconstruction error and its dependence on the filter bank. This paper provides a thorough analysis of subband codecs and further development of optimum filter bank design using vector quantizer. We compute the mean squared reconstruction error(MSE) which depends on N the number of entries in each code book, k the length of each code word, and on the filter bank coefficients. We form this MSE measure in terms of the equivalent quantization model and find the optimum FIR filter coefficients for each channel in the M-band structure for a given bit rate, given filter length, and given input signal correlation model. Specific design examples are worked out for 4-tap filter in 2-band paraunitary filter bank structure. These optimum paraunitary filter coefficients are obtained by using Monte Carlo simulation. We expect that the results of this work could be contributed to study on the optimum design of subband codecs using vector quantizer.

• Journal of radiological science and technology
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• v.39 no.4
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• pp.571-575
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• 2016

Monte Carlo simulations are widely used as the most accurate technique for dose calculation in radiation therapy. In this paper, the GATE6(Geant4 Application for Tomographic Emission ver.6) code was employed to calculate the dosimetric performance of the photon beams from a linear accelerator(LINAC). The treatment head of a Varian 21EX Clinac was modeled including the major geometric structures within the beam path such as a target, a primary collimator, a flattening filter, a ion chamber, and jaws. The 6 MV photon spectra were characterized in a standard $10{\times}10cm^2$ field at 100 cm source-to-surface distance(SSD) and subsequent dose estimations were made in a water phantom. The measurements of percentage depth dose and dose profiles were performed with 3D water phantom and the simulated data was compared to measured reference data. The simulated results agreed very well with the measured data. It has been found that the GATE6 code is an effective tool for dose optimization in radiotherapy applications.

• Journal of Korean Society for Quality Management
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• v.13 no.1
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• pp.77-83
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• 1985

This paper deals with a normality test to determine whether the data are sampled from normal population or not. In this paper the property that the mean and variance are independently distributed only for the normal distribution is used as a basis for developing a new test using the simple regression analysis. Considering the redan and variance of a random sample as independent and dependent variables, if it has not the regression relationship we conclude that the data were sampled from the normal distribution. The Monte-Carlo power study shows that the new test using the simple regression analysis has good power property relative to 6 well-known test methods for 11 distributions.

• Radiation Oncology Journal
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• v.28 no.4
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• pp.224-230
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• 2010

Purpose: We designed the aft-multiple-slit (AMS) system to reduce scatter in cone-beam computed tomography (CBCT). As a preliminary study, we performed a Monte Carlo N-Particle Transport Code (MCNP) simulation to verify the effectiveness of this system. Materials and Methods: The MCNPX code was used to build the AMS geometry. An AMS is an equi-angled arc to consider beam divergence. The scatter-reduced projection images were compared with the primary images only and the primary plus scatter radiation images with and without AMS to evaluate the effectiveness of scatter reduction. To obtain the full 2 dimensional (2D) projection image, the whole AMS system was moved to obtain closed septa of the AMS after the first image acquisition. Results: The primary radiation with and without AMS is identical to all the slit widths, but the profiles of the primary plus scattered radiation varied according to the slit widths in the 2D projection image. The average scatter reduction factors were 29%, 15%, 9%, and 8% when the slit widths were 5 mm, 10 mm, 15 mm, and 20 mm, respectively. Conclusion: We have evaluated the scatter reduction effect of the AMS in CBCT imaging using the Monte Carlo (MC) simulations. A preliminary study based on the MCNP simulations showed a mount of scatter reduction with the proposed system.

• The Korean Journal of Applied Statistics
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• v.33 no.1
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• pp.47-59
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• 2020

In this paper, we present the longitudinal Markov binary regression model with t-link function when its transition order is known or unknown. It is assumed that logit or probit models are considered in binary regression models. Here, t-link function can be used for more flexibility instead of the probit model since the t distribution approaches to normal distribution as the degree of freedom goes to infinity. A Markov regression model is considered because of the longitudinal data of each individual data set. We propose Bayesian method to determine the transition order of Markov regression model. In particular, we use the deviance information criterion (DIC) (Spiegelhalter et al., 2002) of possible models in order to determine the transition order of the Markov binary regression model if the transition order is known; however, we compute and compare their posterior probabilities if unknown. In order to overcome the complicated Bayesian computation, our proposed model is reconstructed by the ideas of Albert and Chib (1993), Kuo and Mallick (1998), and Erkanli et al. (2001). Our proposed method is applied to the simulated data and real data examined by Sommer et al. (1984). Markov chain Monte Carlo methods to determine the optimal model are used assuming that the transition order of the Markov regression model are known or unknown. Gelman and Rubin's method (1992) is also employed to check the convergence of the Metropolis Hastings algorithm.

• Journal of the Institute of Electronics Engineers of Korea TC
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• v.45 no.4
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• pp.31-37
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• 2008

Conventional cooperative communications can attain gain of spatial diversity and path loss reduction because destination node independently received same signal from source node and relay node located between source node and destination node. However, these techniques bring about decreased spectral efficiency with relay node and increased complexity of receiver by using maximal ratio combining (MRC). This paper has proposed cooperative ARQ protocol that can improve the above problems and can get the better performance. This method can increase the spectral efficiency than conventional cooperative communication because if the received signal from source node is satisfied by the destination preferentially, the destination transmits ACK message to both relay node and source node and then recovers the received signal. In addition, if ARQ message indicates NACK relay node operates selective retransmission and we can increase reliability of system compared with that of general ARQ protocol in which source node retransmits data. In the proposed protocol, the selective retransmission and ARQ message are to be determined by comparing log-likelihood ratio (LLR) computation of received signal from source node with predetermined threshold values. Therefore, this protocol don't waste redundant bandwidth with CRC code and can reduce complexity of receiver without MRC. We verified spectral efficiency and BER performance for the proposed protocol through Monte-Carlo simulation over Rayleigh fading plus AWGN.

• Journal of Radiation Protection and Research
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• v.29 no.2
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• pp.97-104
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• 2004

MIRD-type Korean adult male phantom, 'KMIRD' was constructed to calculate Korean-specific dosimetric quantities for radiation protection consideration. The external shape of KMIRD was based on national physical standard data of Korean. KMIRD has thicket trunk than MIRD5 and arm models divided from trunk. The height and weight of the KMIRD are 171 cm and 63.8 kg. ICRP23 data were referred to constitute organs and tissues of KMIRD. However nine organs were constructed based on Korean reference data provided by Radiation Health Research Institute. In the present study, the MCNPX2.3 Monte Carlo transport code was combined with KMIRD to calculate dose conversion coefficients for photon in the energy range from 0.05 to 10 MeV. The simulated irradiation geometries are broad parallel photon beams in AP, PA, LLAT and RLAT direction. Absorbed dose conversion coefficients were compared with data calculated with MIRD5, MIRD-type phantom based on ICRP23 reference man. In some organs, the discrepancies between two phantoms amount up to nearly 30%. The effective doses conversion coefficients of KMIRD are lower than those of MIRD5. The dose discrepancies between two MIRD-type phantoms ate because of physical differences between Korean and Western, also geometric differences between two phantoms. KMIRD should be revised using the full set of Korean reference data of all organs. The developed MIRD-type Korean adult male phantom can be applied to dose assessment of internal exposure.