• 산업공학
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• 제13권4호
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• pp.738-744
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• 2000

This Paper presents a method for unfinished work transition probability distribution of modulated $n^*D/D/l$ queue with overload period. The Modulated $n^*D/D/l$ queue is well known as a performance analysis model of ATM multiplexer with superposition of homogeneous periodic on-off traffic sources. Theory of probability by conditioning and results of $N^*D/D/l$ queue are used for analytic methodology. The results from this paper are expected to be applied to general modulated $n^*D/D/l$ queue.

• 국제학술발표논문집
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• The 5th International Conference on Construction Engineering and Project Management
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• pp.488-493
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• 2013

Accurate initial cost estimates are essential to effective management of construction projects where many decisions are made in the course of project management by referencing the estimates. In practice, the initial estimates are frequently derived from historical actual cost data, for which standard distribution-based techniques are widely applied in the construction industry to account for risk associated with the estimates. This approach assumes the same probability distribution of estimate errors for any selected estimates. This assumption, however, is not always satisfied. In order to account for the probabilistic nature of estimate errors, an alternative method for measuring the risk associated with a selected initial estimate is developed by applying the Bayesian probability approach. An application example include demonstrates how the method is implemented. A hypothesis test is conducted to reveal the robustness of the Bayesian probability model. The method is envisioned to effectively complement cost estimating methods that are currently in use by providing benefits as follows: (1) it effectively accounts for the probabilistic nature of errors in estimates; (2) it is easy to implement by using historical estimates and actual costs that are readily available in most construction companies; and (3) it minimizes subjective judgment by using quantitative data only.

• 응용통계연구
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• 제25권5호
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• pp.757-773
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• 2012

Traditional value at risk(S-VaR) has a difficulity in predicting the future risk of financial asset prices since S-VaR is a backward looking measure based on the historical data of the underlying asset prices. In order to resolve the deficiency of S-VaR, an economic value at risk(E-VaR) using the risk neutral probability distributions is suggested since E-VaR is a forward looking measure based on the option price data. In this study E-VaR is estimated by assuming the generalized gamma distribution(GGD) as risk neutral density function which is implied in the option. The estimated E-VaR with GGD was compared with E-VaR estimates under the Black-Scholes model, two-lognormal mixture distribution, generalized extreme value distribution and S-VaR estimates under the normal distribution and GARCH(1, 1) model, respectively. The option market data of the KOSPI 200 index are used in order to compare the performances of the above VaR estimates. The results of the empirical analysis show that GGD seems to have a tendency to estimate VaR conservatively; however, GGD is superior to other models in the overall sense.

• 터널과지하공간
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• 제11권2호
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• pp.156-166
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• 2001

균열암반에서의 지하수유동 모사를 위한 추계적 연속테 모델링 기법이 개발되었다. 추계적연속체 모델은 균열수의 제한을 가지는 개별균열연결망 모델의 단점을 극복할 수 있다. 뿐만 아니라 개별균열연결망 모델에서 가능한 확률론적 해석과 전도성이 큰 균열을 통한 지하수 유동을 근접하게 모사할 수 있는 장점을 가진다. 추계적연속체 모델은 개별균열연결망 모델에 근거하여 생성된다. 개별균열연결망 모델은 일정크기의 소블록으로 나누어지며 각 소블록 투수계수의 확률밀도함수와 베리오그램 함수로부터 추계적연속체 모델에서의 투수계수의 공간적 분포를 정의할 수 있다. 이 연구에서 추계적연속체 모델과 개별균열연결망 모델의 적합성을 보여 주기 위하여 수치실험을 통하여 지하수 유동 이동시간을 계산하고 상호 비교하였다. 그리고 추계적연속체 모델은 방사성폐기물 처분장의 확률론적 안전성 펑가를 위해 필요한 지하수 유동속도의 확률분포를 제공할 수 있는 모델임을 제시할 수 있었다.

• 응용통계연구
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• 제22권2호
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• pp.237-248
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• 2009

신용평가 연구에서 부도와 정상의 분포함수들의 동일성을 검정하는 비모수적 방법으로 Kolmogorov-Smirnov 검정법 이외에 Clamor-Yon Mises, Anderson-Darling, Watson 검정방법을 소개한다. 부도와 정상의 분포함수들의 선형결합된 부도율의 분포함수에 관한 전체적인 정보는 파악되어 잘 알고 있다. 모집단의 분포함수를 알고 있다는 가정 하에 Clamor-Von Mises, Anderson-Darling, Watson 검정통계량의 수정통계량을 제안한다. 신용평가자료와 유사한 성격을 갖는 다양한 부도율의 확률분포로부터 스코어를 생성하여 본 연구에서 제안한 수정통계량을 비교 토론한다.

• 한국국방경영분석학회지
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• 제25권1호
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• pp.160-168
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• 1999

This research focussed on developing a hit probability model for polygonal target to increase the survivability of weapon systems by its shape design. First, we defined the delivery errors and derived functions for these errors based on the assumption of bivariate normal distribution, and the derived functions for probability of shot hitting of various shapes of polygonal target. Also, we developed computer program for computation of the probability of hitting a general n-sided polygon and we have shown a sample run output. The model could be used to improve the survivability from design phase by designing optimal polygonal shape of weapon system.

• 대한수학회보
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• 제44권2호
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• pp.265-270
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• 2007

The modern approach for wavelets imposes a Bayesian prior model on the wavelet coefficients to capture the sparseness of the wavelet expansion. The idea is to build flexible probability models for the marginal posterior densities of the wavelet coefficients. In this note, we derive exact expressions for a popular model for the marginal posterior density.

• 한국농공학회논문집
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• 제54권2호
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• pp.7-14
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• 2012

To analyze any given situation, it is necessary to have information on elements which affect the situation. Particularly, there is greater variability in both frequency and magnitude of agricultural product prices as they are affected by various unpredictable factors such as weather conditions etc. This is the reason why it is difficult for the farmers to maintain their stable income through agricultural production and marketing. In this research, attempts are made to quantify the entropy of various situations inherent in the price changes so that the stability of farmers' income can be increased. Through this research, we developed an entropy model which can quantify the uncertainties of price changes using the probability distribution of price changes. The model was tested for its significance by comparing its simulation outcomes with actual ranges and standard deviations of price variations of the past using monthly agricultural product prices data. We confirmed that the simulation results reflected the features of the ranges and standard deviations of actual price variations. Also, it is possible for us to predict standard deviations for changed prices which will occur after a certain time using the information entropy obtained from relevant agricultural product price data before the time.

• 한국환경과학회지
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• 제20권12호
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• pp.1541-1551
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• 2011

This study applied the Bayesian method for the quantification of the parameter uncertainty of spatial linear mixed model in the estimation of the spatial distribution of probability rainfall. In the application of Bayesian method, the prior sensitivity analysis was implemented by using the priors normally selected in the existing studies which applied the Bayesian method for the puppose of assessing the influence which the selection of the priors of model parameters had on posteriors. As a result, the posteriors of parameters were differently estimated which priors were selected, and then in the case of the prior combination, F-S-E, the sizes of uncertainty intervals were minimum and the modes, means and medians of the posteriors were similar to the estimates using the existing classical methods. From the comparitive analysis between Bayesian and plug-in spatial predictions, we could find that the uncertainty of plug-in prediction could be slightly underestimated than that of Bayesian prediction.

• 한국인터넷방송통신학회논문지
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• 제17권6호
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• pp.59-68
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• 2017

무선 통신시스템에서 Random 과정을 해석적으로 표현할 수 있으며 적당한 확률분포를 구할 수 있다. 감쇄지수함수 확률분포에 의한 가우스, 레일레이, 나카가미 확률분포를 쉽게 유도했으며 시뮬레이션을 그림으로 보인다. 시간의 개념을 포함한 파형의 집합에 의한 확률적 표현이 Random과정(or Stochasic Process)인데 이를 무선환경의 조건에 따라 유도한다. 또한 가시거리 통신과 비가시거리 채널환경을 Rayleigh와 Rician 채널로 구체적인 예를 SISO, MIMO 환경에서 보인다. 또한, 본 논문에서 채널이 송신 블록 동안 일정하고 연속적인 송신 블록 사이에서 독립적으로 변하는 블록 페이딩 채널 모델을 가정함으로써 i.i.d 채널을 갖는 높은 SNR 영역에서 더 나은 성능을 얻을 수 있다는 동기를 부여한다. 이러한 변환을 실현하기 위한 알고리즘은 크로네 커 MIMO 채널에 적용 할 수 있다.