• The Korean Journal of Applied Statistics
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• v.16 no.2
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• pp.407-426
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• 2003

We consider the missing covariates problem in generalized estimating equations(GEE) model. If the covariate is partially missing, GEE can not be calculated. In this paper, we study the performance of 7 imputation methods to handle missing covariates in GEE models, and the properties of GEE estimators are investigated after missing covariates are imputed for ordinal data of repeated measurements. The 7 imputation methods include i) Naive Deletion ii) Sample Average Imputation iii) Row Average Imputation iv) Cross-wave Regression Imputation v) Carry-over Imputation vi) Bayesian Bootstrap vii) Approximate Bayesian Bootstrap. A Monte-Carlo simulation is used to compare the performance of these methods. For the missing mechanism generating the missing data, we assume ignorable nonresponse. Furthermore, we generate missing covariates with or without considering wave nonresp onse patterns.

• The Korean Journal of Applied Statistics
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• v.27 no.2
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• pp.291-305
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• 2014

Persistence is one of the typical characteristics appearing in the volatility of financial time series. According to the recent researches, the volatility persistence may be due to either volatility shifts or long-range dependence. In this paper, we consider residual-based CUSUM tests to distinguish volatility persistence, long-range dependence and volatility shifts in GARCH models. It is observed that this test procedure achieve reasonable powers without a size distortion. Moreover, we employ AIC and BIC criteria to estimate the change points and the number of change points in volatility. We demonstrate the superiority of residual-based CUSUM tests on various Monte Carlo simulations and empirical data analysis.

• Journal of Korea Water Resources Association
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• v.33 no.3
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• pp.279-288
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• 2000

The impact of land slope to the degree of flow divergence was considered employing distributional applications of slope exponents in the now directlOn algoriUnns. Lmear, exponential and ]X)wer law of distributional functIons were employed to address the variation of slope exponents m a terrain analysis. Dongok subwatershed at Wichun test watershed was selected as a study area. Digital Elevation Models of 20m, 30m, 40m and 50m grid size were made to perfonn the analysis. Various calcualtion methodologies of topographic index and the impact of grid sizes were investigated in terms of statistical and spatial aspects. DIstributional applications of slope e.xponents made it possible to represent the flow divergence and convergence about the ten-ain characteristics. The Monte~Carlo method was used to simulate six runoff events to check the impact of topographic factor in the runoff simulation.

• Journal of the Korean Society for Aeronautical & Space Sciences
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• v.40 no.4
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• pp.336-345
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• 2012

In crack growth life, uncertainties are caused by variance of geometry, applied loads and material properties. Therefore, the reliability estimation for these uncertainties is required to keep the robustness of calculated life. The stress intensity factors are the most important variable in crack growth life calculation, but its equation is hard to know for complex geometry, therefore they are processed by the finite element analysis which takes long time. In this paper, the response surface is considered to increase efficiency of the reliability analysis for crack growth life of a turbine wheel. The approximation model of the stress intensity factors is obtained by the regression analysis for FEA data and the response surface of crack growth life is generated for selected factors. The reliability analysis is operated by the Monte Carlo Simulation for the response surface. The results indicate that the response surface could reduce computations that need for reliability analysis for the turbine wheel, which is hard to derive stress intensity factor equation, successfully.

• Transactions of the Korean Society of Pressure Vessels and Piping
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• v.4 no.2
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• pp.13-19
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• 2008

In order to predict a remaining life of a plant, it is necessary to select the components that are critical to the plant life. The remaining life of those components shall be evaluated by considering the aging effect of materials used as well as numerous factors. However, when evaluating reliability of nuclear structural components, some problems are quite formidable because of lack of information such as operating history, material property change and uncertainty in damage models. Accordingly, if structural integrity and safety are evaluated by the deterministic fracture mechanics approach, it is expected that the results obtained are too conservative to perform a rational evaluation of plant life. The probabilistic fracture mechanics approaches are regarded as appropriate methods to rationally evaluate the plant life since they can consider various uncertainties such as sizes and shapes of cracks and degradation of material strength due to the aging effects. The objective of this study is to evaluate the structural integrity for a reactor pressure vessel under the small break loss of coolant accident by applying the deterministic and probabilistic fracture mechanics. The deterministic fracture mechanics analysis was performed using the three dimensional finite element model. The probabilistic integrity analysis was based on the Monte Carlo simulation. The selected random variables are the neutron fluence on the vessel inside surface, the content of copper, nickel, and phosphorus in the reactor pressure vessel material, and initial RTNDT.

• Journal of the Korean Society for Aeronautical & Space Sciences
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• v.40 no.9
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• pp.737-744
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• 2012

The finite volume method for radiation is applied for the analysis of radiative base heating by SE and PE of the aircraft exhaust plume. The exhaust plume is considered as an absorbing, emitting, and scattering medium, while the base plane is assumed to be cold and black. The radiative properties of non-gray gases are obtained through the WSGGM, and the particle is modelled as spheres. The present method is validated by comparing the results with those of the backward Monte-Carlo method and then the radiative base heating characteristics are analyzed by changing such various parameters as particle concentration, temperature, and scattering phase function. The results show that the radiative heat flux coming into the base plane decreases with altitude and distance, but it increases as the particle temperature increases. The forward scattering of particles increases PE while it decreases SE.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.11 no.11
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• pp.5301-5323
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• 2017

Small cell deployment offers a low-cost solution for the boosted traffic demand in heterogeneous cellular networks (HCNs). Besides improved spatial spectrum efficiency and energy efficiency, future HCNs are also featured with the trend of network architecture convergence and feasibility for flexible mobile applications. To achieve these goals, dual connectivity (DC) is playing a more and more important role to support control/user-plane splitting, which enables maintaining fixed control channel connections for reliability. In this paper, we develop a tractable framework for the downlink SINR analysis of DC assisted HCN. Based on stochastic geometry model, the data-control joint coverage probabilities under multi-frequency and single-frequency tiering are derived, which involve quick integrals and admit simple closed-forms in special cases. Monte Carlo simulations confirm the accuracy of the expressions. It is observed that the increase in mobility robustness of DC is at the price of control channel SINR degradation. This degradation severely worsens the joint coverage performance under single-frequency tiering, proving multi-frequency tiering a more feasible networking scheme to utilize the advantage of DC effectively. Moreover, the joint coverage probability can be maximized by adjusting the density ratio of small cell and macro cell eNBs under multi-frequency tiering, though changing cell association bias has little impact on the level of the maximal coverage performance.

• Journal of Astronomy and Space Sciences
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• v.26 no.1
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• pp.31-46
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• 2009

An Unscented Kalman Filter (UKF) for estimation of the attitude and rate of a spacecraft using only magnetometer vector measurement is developed. The attitude dynamics used in the estimation is the nonlinear Euler's rotational equation which is augmented with the quaternion kinematics to construct a process model. The filter is designed for small satellite in low Earth orbit, so the disturbance torques include gravity-gradient torque, magnetic disturbance torque, and aerodynamic drag torque. The magnetometer measurements are simulated based on time-varying position of the spacecraft. The filter has been tested not only in the standby mode but also in the detumbling mode. Two types of actuators have been modeled and applied in the simulation. The PD controller is used for the two types of actuators (reaction wheels and thrusters) to detumble the spacecraft. The estimation error converged to within 5 deg for attitude and 0.1 deg/s for rate respectively when the two types of actuators were used. A joint state parameter estimation has been tested and the effect of the process noise covariance on the parameter estimation has been indicated. Also, Monte-Carlo simulations have been performed to test the capability of the filter to converge with the initial conditions sampled from a uniform distribution. Finally, the UKF performance has been compared to that of the EKF and it demonstrates that UKF slightly outperforms EKF. The developed algorithm can be applied to any type of small satellites that are actuated by magnetic torquers, reaction wheels or thrusters with a capability of magnetometer vector measurements for attitude and rate estimation.

• Journal of the Korean Data and Information Science Society
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• v.28 no.2
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• pp.251-260
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• 2017

The option pricing of Black와 Scholes (1973) and Merton (1973) has been widely reported to fail to reflect the time varying volatility of financial time series in many real applications. For example, Duan (1995) proposed GARCH option pricing method through Monte Carlo simulation. However, financial time series is known to follow a fat-tailed and leptokurtic probability distribution, which is not explained by Duan (1995). In this paper, in order to overcome such defects, we proposed the option pricing method based on GARCH models with normal mixture errors. According to the analysis of KOSPI200 option price data, the option pricing based on GARCH models with normal mixture errors outperformed the option pricing based on GARCH models with normal errors in the unstable period with high volatility.

• The Bulletin of The Korean Astronomical Society
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• v.41 no.1
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• pp.36.2-37
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• 2016

We study the long-term radio variability of 43 radio bright AGNs by exploiting the data base of the University of Michigan Radio Astronomy Observatory (UMRAO) monitoring program. The UMRAO database provides high quality lightcurves spanning 25 - 32 years in time at three observing frequencies, 4.8, 8, and 14.5 GHz. We model the periodograms (temporal power spectra) of the observed lightcurves as simple power-law noise (red noise, spectral power $P(f){\propto}f^{-{\beta}}$ using Monte Carlo simulations, taking into account windowing effects (red-noise leak, aliasing). The power spectra of 39 (out of 43) sources are in good agreement with the models, yielding a range in power spectral index (${\beta}$) from ${\approx}1$ to ${\approx}3$. We find a strong anti-correlation between ${\beta}$ and the fractal dimension of the lightcurves, which provides an independent check of the quality of our modelling of power spectra. We fit a Gaussian function to each flare in a given lightcurve to obtain the flare duration. We discover a correlation between ${\beta}$ and the median duration of the flares. We use the derivative of a lightcurve to obtain a characteristic variability timescale which does not depend on the assumed functional form of the flares, incomplete fitting, and so on. We find that, once the effects of relativistic Doppler boosting on the observed timescales are corrected, the variability timescales of our sources are proportional to the black hole mass to the power of ${\alpha}=1.70{\pm}0.49$. We see an indication for AGNs in different regimes of accretion rate, flat spectrum radio quasars and BL Lac objects, having different scaling relations with ${\alpha}{\approx}1$ and ${\approx}2$, respectively. We find that modelling the periodograms of four of our sources requires the assumption of broken powerlaw spectra. From simulating lightcurves as superpositions of exponential flares we conclude that strong overlap of flares leads to featureless simple power-law periodograms of AGNs at radio wavelengths in most cases (The paper is about to be submitted to ApJ).