• 응용통계연구
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• 제31권6호
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• pp.801-810
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• 2018

확산은 금융이나 물리적 현상의 모형화에 이용되는 확률과정이다. 반복적으로 관측된 확산과정에 대하여 통계적인 모형을 구축할 때, 확률효과를 고려할 필요가 있다. 이 연구에서는 Ornstein-Uhlenbeck 확산모형과 geometric Brownian motion 확산모형에 대하여 확률효과를 도입한다. 모형모수에 대한 최도우도추정법을 적용하기 위하여, 확률효과에 대한 적절한 분포를 가정하여 닫힌 형태로 우도함수를 얻는 방법을 탐색하였다. 1991년부터 2017년까지 27년간 일일 단위로 기록된 다우존스 산업지수에 대하여 확률효과 모형을 적용하였다.

• 한국유기농업학회지
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• 제23권1호
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• pp.31-42
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• 2015

This thesis has analyzed the determination factor for the crop insurance of rice focused on paddy rice. The analysis on each farmer has been used with integrated probit model & random effects probit model. It has shown in the analysis result of determination factor for buying the crop insurance of paddy rice farmer through integrated probit model & random effects probit model that the higher age, degree of education, cultivated area, and amount of received insurance money and the lower in a number of family member have revealed the higher possibility to buy the crop insurance in the integrated probit model. While the random effects probit model has shown a higher possibility to buy the crop insurance as the higher age, cultivated area, and amount of received insurance money.

• 한국안전학회지
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• 제27권5호
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• pp.148-157
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• 2012

Reliability-based design optimization (RBDO) problem is usually formulated as an optimization problem to minimize an objective function subjected to probabilistic constraint functions which may include deterministic design variables as well as random variables. The challenging task is that, because the probability models of the random variables are often assumed based on limited data, there exists a possibility of selecting inappropriate distribution models and/or model parameters for the random variables, which can often lead to disastrous consequences. In order to select the most appropriate distribution model from the limited observation data as well as model parameters, this study takes into account a set of possible candidate models for the random variables. The suitability of each model is then investigated by employing performance and risk functions. In this regard, this study enables structural design optimization and fitness assessment of the distribution models of the random variables at the same time. As the first paper of a two-part series, this paper describes a new design method considering probability model uncertainties. The robust performance of the proposed method is presented in Part 2. To demonstrate the effectiveness of the proposed method, an example of ten-bar truss structure is considered. The numerical results show that the proposed method can provide the optimal design variables while guaranteeing the most desirable distribution models for the random variables even in case the limited data are only available.

• 대한수학회보
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• 제57권1호
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• pp.51-68
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• 2020

In this paper, the author considers the nonparametric regression model with negatively orthant dependent random variables. The wavelet procedures are developed to estimate the regression function. For the wavelet estimator of unknown function g(·), the almost sure consistency is derived and the complete consistency is established under the mild conditions. Our results generalize and improve some known ones for independent random variables and dependent random variables.

• Journal of the Korean Data and Information Science Society
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• 제18권2호
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• pp.471-479
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• 2007

This paper discusses about how to build up mixed-effects model for analysing ordinal response data by using cumulative logits. Random factors are assumed to be coming from the designed sampling scheme for choosing observational units. Since the observed responses of individuals are ordinal, a proportional odds model with two random effects is suggested. Estimation procedure for the unknown parameters in a suggested model is also discussed by an illustrated example.

• 한국도로학회논문집
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• 제20권2호
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• pp.119-126
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• 2018

PURPOSES : The purpose of this study is to develop a crash prediction model at signalized intersections, which can capture the randomness and uncertainty of traffic accident forecasting in order to provide more precise results. METHODS : The authors propose a random parameter (RP) approach to overcome the limitation of the Count model that cannot consider the heterogeneity of the assigned locations or road sections. For the model's development, 55 intersections located in the Daejeon metropolitan area were selected as the scope of the study, and panel data such as the number of crashes, traffic volume, and intersection geometry at each intersection were collected for the analysis. RESULTS : Based on the results of the RP negative binomial crash prediction model developed in this study, it was found that the independent variables such as the log form of average annual traffic volume, presence or absence of left-turn lanes on major roads, presence or absence of right-turn lanes on minor roads, and the number of crosswalks were statistically significant random parameters, and this showed that the variables have a heterogeneous influence on individual intersections. CONCLUSIONS : It was found that the RP model had a better fit to the data than the fixed parameters (FP) model since the RP model reflects the heterogeneity of the individual observations and captures the inconsistent and biased effects.

• Journal of the Korean Data and Information Science Society
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• 제25권2호
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• pp.393-402
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• 2014

수명시간 분석에서 자주 이용되는 분포 중 하나는 지수분포이다. 본 논문에서는 임의중도절단 자료의 분석에서 중도절단모형이 지수분포의 모수추정에 어떤 영향을 주는지에 대해서 알아보았다. 고려한 중도절단모형은 Koziol-Green 모형과 일반화 지수분포 모형으로 이들은 의미상 매우 다른 모형이다. 모의실험을 통해서 살펴본 결과 중도절단모형이 모수의 평균적인 추정값에는 크게 영향을 주지 않는다고 보이나 가정한 모형이 실제의 모형과 차이가 심하게 나는 경우 추정량의 MSE가 커지는 경향을 보였다.

• Structural Engineering and Mechanics
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• 제18권2호
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• pp.137-150
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• 2004

The optimization of active bars' placement and feedback gains of closed loop control system for random intelligent truss structures under non-stationary random excitation is presented. Firstly, the optimal mathematical model with the reliability constraints on the mean square value of structural dynamic displacement and stress response are built based on the maximization of dissipation energy due to control action. In which not only the randomness of the physics parameters of structural materials, geometric dimensions and structural damping are considered simultaneously, but also the applied force are considered as non-stationary random excitation. Then, the numerical characteristics of the stationary random responses of random intelligent structure are developed. Finally, the rationality and validity of the presented model are demonstrated by an engineering example and some useful conclusions are obtained.

• 제어로봇시스템학회:학술대회논문집
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• 제어로봇시스템학회 2005년도 ICCAS
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• pp.262-264
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• 2005

We propose a filter design method to suppress the effect of gyroscope mixed random errors at INS system level. It is based on the result that mixed random errors can be represented by a single equivalent ARMA model. At first step, the time difference of equivalent ARMA process is performed, which consider the characteristic of indirect feedback Kalman filter used in INS filter. Next, a state space conversion of time differenced ARMA model is achieved. If the order of AR is greater than that of MA, the controllable or observable canonical form is used. Otherwise, we introduce the state equation of which the state variable is composed of the ARMA model output and several step ahead predicts of that. At final step, a complete form state equation is presented. The simulation results shows that the proposed method gives less transient error and better convergence compared to the conventional filter which assume the mixed random errors as white noise.

• 대한기계학회:학술대회논문집
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• 대한기계학회 2003년도 춘계학술대회
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• pp.235-240
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• 2003

Methods to predict fatigue crack growth are compared in a quantitative manner for crack growth test data of 2024-T351 aluminum alloy under narrow and wide band random loading. In order to account for the effect of load ratio, crack closure model, Hater's equation and NASGRO's equation have been employed. Load interaction effect under random loading has been considered by crack closure model, Willenborg's model and Wheeler's model. The prediction method using the measured crack opening results provides the best result among the prediction methods discussed for narrow and wide band random loading data.