• Proceedings of the Korean Society of Tribologists and Lubrication Engineers Conference
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• 2002.10b
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• pp.235-236
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• 2002

Tribological phenomena such as wear or transfer are influenced by various factors and have complicated behavior. Therefore, it is difficult to predict the behavior of the gribological phenomena because of their complexity. But, those tribological phenomena can be considered simply as to transfer micro material particles from the sliding interface. Then, we proposed the numerical simulation method for tribological phenomena such as wear of transfer using stochastic process models. This numerical simulation shows the change of the 3-D surface topography. In this numerical simulation, initial 3-D surface toughness data are generated by the method of non-causal 2-D AR (autoregressive) model. Processes of wear and transfer for some generated initial 3-D surface data are simulated. Simulation results show successfully the change of the 3-D surface topography.

• Proceedings of the Korean Statistical Society Conference
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• 2002.11a
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• pp.265-272
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• 2002

An Integer-valued autoregressive integrated (INARI) model is introduced to eliminate stochastic trend and seasonality from time series of count data. This INARI extends the previous integer-valued ARMA model. We show that it is stationary and ergodic to establish asymptotic normality for conditional least squares estimator. Optimal estimating equations are used to reflect categorical and serial correlations arising from panel count data and variations arising from three random processes for obtaining observation into estimation. Under regularity conditions for martingale sequence, we show asymptotic normality for estimators from the estimating equations. Using cancer mortality data provided by the U.S. National Center for Health Statistics (NCHS), we apply our results to estimate the probability of cells classified by 4 causes of death and 6 age groups and to forecast death count of each cell. We also investigate impact of three random processes on estimation.

• Journal of the Korean Society for Precision Engineering
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• v.11 no.2
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• pp.85-94
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• 1994

The cutting mechanism of ultrasonic vibration machining is characterized as two phases, that is, an impact at the cutting edge and a reduction of cutting force due to non-contact interval between tool and workpiece. In this paper, in order to identify cutting dynamics of a system with ultrasonically vibrated cutting tool, an ARMA modeling is performed on experimental cutting force signals which have a dominant effect on cutting dynamics. The aim of this study is, through Dynamic Date System methodology, to find the inherent characteristics of an ultrasonic vibration cutting process by considering natural frequency and damping coefficient. Surface roughness and stability of cutting process under ultrasonic vibration are also considered

• The Journal of the Acoustical Society of Korea
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• v.41 no.4
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• pp.468-479
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• 2022

To detect targets with active sonar system in the underwater environments, the targets are localized by receiving the echoes of the transmitted sounds reflected from the targets. In this case, reverberation from the scatterers is also generated, which prevents detection of the target echo. To detect the target effectively, reverberation suppression techniques such as pre-whitening based on autoregressive model and principal component inversion have been studied, and recently a Non-negative Matrix Factorization (NMF)-based technique has been also devised. The NMF-based reverberation suppression technique shows improved performance compared to the conventional methods, but the geometry of the transducer and receiver and attenuation by distance have not been considered. In this paper, the performance is improved through preprocessing such as the directionality of the receiver, Doppler related thereto, and attenuation for distance, in the case of using a continuous wave with a bistatic sonar. In order to evaluate the performance of the proposed system, simulation with a reverberation model was performed. The results show that the detection probability performance improved by 10 % to 40 % at a low false alarm probability of 1 % relative to the conventional non-negative matrix factorization.

• Journal of Navigation and Port Research
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• v.44 no.1
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• pp.44-52
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• 2020

More accurate forecasting of port cargo in the global long-term recession is critical for the implementation of port policy. In this study, the Busan Port container volume (export cargo and transshipment cargo) was estimated using the Vector Autoregressive (VAR) model and the vector error correction (VEC) model considering the causal relationship between the economic scale (GDP) of Korea, China, and the U.S. as well as ARIMA, a single volume model. The measurement data was the monthly volume of container shipments at the Busan port J anuary 2014-August 2019. According to the analysis, the time series of import and export volume was estimated by VAR because it was relatively stable, and transshipment cargo was non-stationary, but it has cointegration relationship (long-term equilibrium) with economic scale, interest rate, and economic fluctuation, so estimated by the VEC model. The estimation results show that ARIMA is superior in the stationary time-series data (local cargo) and transshipment cargo with a trend are more predictable in estimating by the multivariate model, the VEC model. Import-export cargo, in particular, is closely related to the size of our country's economy, and transshipment cargo is closely related to the size of the Chinese and American economies. It also suggests a strategy to increase transshipment cargo as the size of China's economy appears to be closer than that of the U.S.

• ETRI Journal
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• v.35 no.5
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• pp.849-858
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• 2013

In this paper, we propose a new adaptive single model to track a maneuvering target with abrupt accelerations. We utilize the stochastic differential equation to model acceleration of a maneuvering target with stochastic volatility (SV). We assume the generalized autoregressive conditional heteroscedasticity (GARCH) process as the model for the tracking procedure of the SV. In the proposed scheme, to track a high maneuvering target, we modify the Kalman filtering by introducing a new GARCH model for estimating SV. The proposed tracking algorithm operates in both the non-maneuvering and maneuvering modes, and, unlike the traditional decision-based model, the maneuver detection procedure is eliminated. Furthermore, we stress that the improved performance using the GARCH acceleration model is due to properties inherent in GARCH modeling itself that comply with maneuvering target trajectory. Moreover, the computational complexity of this model is more efficient than that of traditional methods. Finally, the effectiveness and capabilities of our proposed strategy are demonstrated and validated through Monte Carlo simulation studies.

• The Transactions of The Korean Institute of Electrical Engineers
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• v.63 no.8
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• pp.1128-1133
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• 2014

Most of the statistical signal analysis processed in the time domain and the frequency domain are based on the assumption that the signal is weakly stationary(wide sense stationary). Therefore, it is necessary to know whether the surface EMG signals processed in the statistical basis satisfy the condition of the weak stationarity. The purpose of this study is to find optimal segment length of surface EMG signal for assessing stationarity with the modified Run-test and RA-test. Ten stationary surface EMG signals were simulated by AR(autoregressive) modeling, and ten real surface EMG signals were recorded from biceps brachii muscle and then modified to have non-stationary structures. In condition of varying segment length from 20ms to 100ms, stationarity of the signals was tested by using six different methods of modified Run-test and RA-test. The results indicate that the optimal segment length for the surface EMG is 30ms~35ms, and the best way for assessing surface EMG signal stationarity is the modified Run-test (Run2) method using this optimal length.

• The Korean Journal of Applied Statistics
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• v.28 no.1
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• pp.115-122
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• 2015

This article is concerned with count time series taking values in non-negative integers. Along with the first order mean of the count time series, conditional variance (volatility) has recently been paid attention to and therefore various integer-valued GARCH(generalized autoregressive conditional heteroscedasticity) models have been suggested in the last decade. We introduce diverse integer-valued GARCH(INGARCH, for short) processes to count time series and a real data application is illustrated as a case study. In addition, zero inflated INGARCH models are discussed to accommodate zero-inflated count time series.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.4
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• pp.1-9
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• 2021

UAE has rapidly developed into one of the leading global financial hubs, with significant transformations in its stock exchanges. In its attempt at economic diversification in the last two decades, the country has also taken a lead in the GCC region in introducing extensive reforms to attract FDI to the Emirates. However, oil price volatilities have posed a significant challenge to all oil-exporting countries. The main aim of this study is to explore the impact of economic diversification and oil price on the UAE stock market. The study applies Granger Causality and Vector Autoregressive Model on monthly Abu Dhabi stock exchange index, Dubai Fateh crude oil spot price, and FDI inflows during 2001-19. The short-term interbank rate has been included as a monetary policy variable. The results show a substantial difference between the two phases of reforms. Oil price and Abu Dhabi stock index show bidirectional relationship during 2001-09 but no causality was found during 2010-19. Furthermore, the second phase was characterized by unidirectional causation from FDI to ADX index. This study highlights FDI inflows as a key driver of stock market performance during the last decade and emphasizes the success of the intense reforms in the UAE initiated for the diversification of its economy.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.3
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• pp.181-190
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• 2021

This paper empirically examines the asymmetric response of the Indonesian Islamic stock market to macroeconomic variables encompassing money supply, domestic output, exchange rate, and Federal Reserve rate. Our study employs the Jakarta Islamic Index (JII) after the financial crisis in the Southeast Asian country using monthly data from January 2000 to December 2019. Non-linear Autoregressive Distributed lag (NARDL) is applied. Our study considers two models consisting of the model without the Federal Reserve rate and the model with it. Our findings confirm the long-run link between Jakarta Islamic Index and macroeconomic factors being studied. Furthermore, the Jakarta Islamic Index asymmetrically responds to broad money supply and exchange rate, but not to domestic output and Federal Reserve rate. A reduction in the money supply has a worse effect on Islamic stock prices as compared to an increase in the money supply. The Jakarta Islamic Index responds differently to depreciation and appreciation. The transmission of the exchange rate to Islamic stock prices occurs only for appreciation. Our study finds an absence of transmission mechanism from the domestic output and the interest rate to Islamic stock prices. Our results imply that the easy money policy and stabilizing currency are key to supporting Indonesian Islamic stock prices.