• Journal of the Korean Mathematical Society
• /
• v.57 no.5
• /
• pp.1167-1186
• /
• 2020

This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, and the stochastic interest rate is driven by the Cox-Ingersoll-Ross (CIR) process with full correlation structure imposed among the state variables. This full correlation structure possesses the limitation to have fully analytical pricing formula for hybrid models of variance swaps, due to the non-affinity property embedded in the model itself. We address this issue by obtaining an efficient semi-closed form pricing formula of variance swaps for an approximation of the hybrid model via the derivation of characteristic functions. Subsequently, we implement numerical experiments to evaluate the accuracy of our pricing formula. Our findings confirm that the impact of the correlation between the underlying and the interest rate is significant for pricing discretely-sampled variance swaps.

• Speech Sciences
• /
• v.7 no.4
• /
• pp.11-26
• /
• 2000

In this paper, we propose the HMM with the MIN module. Because initial and re-estimated variance vectors are important elements for performance in HMM recognition systems, we propose a method which compensates for the mismatched statistical feature of training and test data. The MIN module function is a differentiable function similar to the sigmoid function. Unlike a continuous density function, it does not include variance vectors of the data set. The proposed hybrid HMM/MIN module is a unified network in which the observation probability in the HMM is replaced by the MIN module neural network. The parameters in the unified network are re-estimated by the gradient descent method for the Maximum Likelihood (ML) criterion. In estimating parameters, the variance vector is not estimated because there is no variance element in the MIN module function. The experiment was performed to compare the performance of the proposed HMM and the conventional HMM. The experiment measured an isolated number for speaker independent recognition.

• International Journal of Automotive Technology
• /
• v.3 no.1
• /
• pp.27-32
• /
• 2002

Semi-active suspension systems are greatly expected to be in the mainstream of future controlled suspensions fur passenger cars. In this study, a continuous variable damper for a passenger car suspension is developed. It is controlled actively and exhibits high performance with light weight, low cost, and low energy consumption. To get fast response of the damper, reverse damping mechanism is adapted, and to get small pressure change rate after blow-off, a pilot controlled proportional valve is designed and analyzed. The reverse continuous variable damper is designed as a HS-SH damper which offers good body control with reduced transferred input force from tire, compared with any other type of suspension system. The damper structure is designed, so that rebound and compression damping force can be tuned independently, of which variable valve is placed externally. The rate of pressure change with respect to the flow rate after blow-offbecomes smooth when the fixed orifice size increases. Damping forces are measured with the change of the solenoid current at the different piston velocities to confirm the maximum hysteresis of 20N, linearity, and variance of damping farce. The damping farce variance is wide and continuous, and is controlled by the spoof opening, of which scheme is usually adapted in proportional valves. The reverse continuous variable damper developed in this study is expected to be utilized in the semi-active suspension systems in passenger cars after its performance and simplicity of the design is confirmed through real car test.

• Communications for Statistical Applications and Methods
• /
• v.14 no.1
• /
• pp.147-153
• /
• 2007

In this note, we obtained results related to multiparameter discrete exponential families on considering lattice or semi-lattice in place of N (Natural numbers) in view of Cacoullos-type inequalities via the same arguments in Papathanasiou (1990, 1993).

• Journal of Nutrition and Health
• /
• v.35 no.2
• /
• pp.250-262
• /
• 2002

This study was conducted to develop a simple flood frequency questionnaire (FFQ) based on the results of contributions of specific floods to absolute intake and between-person variance in nutrients using semi-quantitative FFQ with 93 flood items. The subjects were 554 healthy adults for development of a simple FFQ, and 37 students for a validation test of a developed simple FFQ. The contribution of specific floods to 80% absolute nutrient intake was measured by assessing their percentage in total consumption of a nutrient. To assess the contributions of floods to the between-person variance in the intake of each specific nutrient, stepwise multiple regressions were performed. The number of floods necessary to account for the respective 80% of absolute intake was 11-36, depending on the nutrient, while flower floods (5-16 floods) were required for the corresponding percentage of between-person variation for all nutrients. Important floods for between-person variance include Tangsuyuk (pork) and snacks for energy and fat, fish for protein and polyunsaturated fatty acids (PUFA) and snacks for carbohydrates. Spearman correlation coefficients between 93-itemed FFQ and 63-itemed FFQ ranged from 0.91 for vitamin A to 0.99 for fat in the population data used in developing a simple FFQ. Also, the correlation coefficients between the two FFQs were 0.82-7.92 in the population for the validation test. This study suggests that useful information on dietary intake could be obtained using a simple semi-quantitative FFQ in a large-scale dietary survey in Korea.

• Journal of Technology Innovation
• /
• v.6 no.2
• /
• pp.178-207
• /
• 1998

This article suggests a methodology to decide the priority of investment project for venture business under the dynamic circumstance. By the Monte Carlo procedure on the probability distribution of cost and revenue, the model simulates the investment project to estimate profit ratio and risk. The profit ratio is calculated on the yearly basis for the relative comparison. The project risk is calculated as semi-variance under the target yield. After sufficient simulations in this fashion for several projects, the efficient projects with more profit and less risk are selected by the dominance principle. Then the regression equation of the selected projects is produced to find the relative value of the projects. The relative value is obtained through dividing the raw profit ratio by the estimated one on the equation. This value shows the degree to which the simulated project yields over the equation. The priority of investment is decided by this value. An examplary venture business of chemical development for semi-conductor is presented as a case study.

• Proceedings of the Korean Society for Noise and Vibration Engineering Conference
• /
• 2005.05a
• /
• pp.971-977
• /
• 2005

Power Flow Analysis (PFA) is developed for the effective predictions of frequency-averaged vibrational response in medium-to-high frequency ranges. In PFA, the power coefficients of semi-infinite structure and for-field energy density are used to predict the vibrational responses of structures. Generally, at high frequencies, PFA can predict narrow-band frequency-averaged vibrational responses of built-up structures. However, in low- to medium frequency ranges, the dynamic responses obtained by PFA represent broad-band frequency-averaged vibrational energy densities. For the prediction of vibrational response variance in Power Flow Finite Element Method (PFFEM), the variances of input power and joint element matrix describing structural coupling relationship are derived. Finally, for the validity of developed formulation, numerical examples for two co-planer plates are performed and the vibrational response variance of the structure are compared with the results of classical and PFFEM solutions.

• Journal of Korean Society for Quality Management
• /
• v.35 no.2
• /
• pp.106-112
• /
• 2007

In statistical process control, it is assumed that the process data are independent. However, most of chemical processes such as semi-conduct processes do not satisfy the assumption because of presence of autocorrelation between process data. It causes abnormal out of control signal in the process control and misleading estimation in process capability. In this study, we adopted Shore's method to solve the problem and propose an optimal subgroup size to estimate the variance correctly for AR(1) processes. Especially, we focus on finding an actual subgroup size for small samples based on simulation study.

• Proceedings of the Korean Society for Quality Management Conference
• /
• 2007.04a
• /
• pp.302-309
• /
• 2007

To conduct statistical process control needs the assumption that the process data are independent. However, most of chemical processes, like a semi-conduct processes do not satisfy the assumption because of autocorrelation. It causes abnormal out of control signal in the process control and misleading process capability. In this study, we introduce that Shore's method to solve the problem and to find the optimal subgroup size to estimate variance for AR(l) model. Especially, we focus on finding an actual subgroup size for small samples using simulation. It may be very useful for statistical process control to analyze process capability and to make a Shewhart chart properly.

• Publications of The Korean Astronomical Society
• /
• v.34 no.3
• /
• pp.67-79
• /
• 2019

We present a semi-analytical method to calculate the global evolution of the ionized state of the intergalactic medium, on the basis of physically motivated star formation histories in the early universe. This method incorporates not only the conventional scenarios in which the star formation rate is proportional to the growth rate of the halo collapse fraction, but also the more sophisticated scenarios in which the star formation is self-regulated. We show that this variance in the star-formation model strongly impacts the resulting reionization history, which bears a prospect for observational discrimination of these models. We discuss how observations of the anisotropic polarization of the cosmic microwave background and the global 21cm signal from the high-redshift universe, most notably by Planck and EDGES, may probe the history of reionization.