• 한국경영과학회:학술대회논문집
• /
• 한국경영과학회 2006년도 추계학술대회
• /
• pp.173-179
• /
• 2006

In order to explain a U-shape pattern of stock returns, Fama and French(1988) suggested the state-space model consisting of I(1) permanent component and AR(1) stationary component. They concluded the autoregression coefficient induced from the state-space model follow the U-shape pattern and the U-shape pattern of stock returns was due to both negative autocorrelation in returns beyond a year and substantial mean-reversion in stock market prices. However, we found negative autocorrelation is induced under the assumption that permanent and stationary noise component are independent in the state-space model. In this paper, we derive the autoregression coefficient based on ARIMA process equivalent to the state-space model without the assumption of independency. Based on the estimated parameters, we investigate the pattern of the time-varying autoregression coefficient and conclude the autoregression coefficient from the state-space model of ARIMA(1,1,1) process does not follow a U-shape pattern, but has always positive sign. We applied this result on the data of 1 month retums for all NYSE stocks for the 1926-85 period from the Center for Research in Security Prices.

• Fisheries and Aquatic Sciences
• /
• 제24권4호
• /
• pp.139-152
• /
• 2021

The main purpose of this study is to fit catch-per-unit-effort (CPUE) data about Korea chub mackerel (Scomber japonicus) stock with a state-space production (SSP) model, and to provide stock assessment results. We chose a surplus production model for the chub mackerel data, namely annual yield and CPUE. Then we employed a state-space layer for a production model to consider two sources of variability arising from unmodelled factors (process error) and noise in the data (observation error). We implemented the model via script software ADMB-RE because it reduces the computational cost of high-dimensional integration and provides Markov Chain Monte Carlo sampling, which is required for Bayesian approaches. To stabilize the numerical optimization, we considered prior distributions for model parameters. Applying the SSP model to data collected from commercial fisheries from 1999 to 2017, we estimated model parameters and management references, as well as uncertainties for the estimates. We also applied various production models and showed parameter estimates and goodness of fit statistics to compare the model performance. This study presents two significant findings. First, we concluded that the stock has been overexploited in terms of harvest rate from 1999 to 2017. Second, we suggest a SSP model for the smallest goodness of fit statistics among several production models, especially for fitting CPUE data with fluctuations.

• 수산해양기술연구
• /
• 제55권3호
• /
• pp.206-216
• /
• 2019

This study is aimed to compare stock assessment models depending on how the models fit to observed data. Process-error model, Observation-error model, and Bayesian state-space model for the Korean Western coast fisheries were applied for comparison. Analytical results show that there is the least error between the estimated CPUE and the observed CPUE with the Bayesian state-space model; consequently, results of the Bayesian state-space model are the most reliable. According to the Bayesian State-space model, potential yield of fishery resources in the West Sea of Korea is estimated to be 231,949 tons per year. However, the results show that the fishery resources of West Sea have been decreasing since 1967. In addition, the amounts of stock in 2013 are assessed to be only 36% of the stock biomass at MSY level. Therefore, policy efforts are needed to recover the fishery resources of West Sea of Korea.

• 한국경영과학회지
• /
• 제36권1호
• /
• pp.13-26
• /
• 2011

In order to explain the U-shaped pattern of autocorrelations of stock returns i.e., autocorrelations starting around 0 for short-term horizons and becoming negative and then moving toward 0 for long-term horizons, researchers suggested the use of a state-space model consisting of an I(1) permanent component and an AR(1) stationary component, where the two components are assumed to be independent. They concluded that auto-regression coefficients derived from the state-space model follow a U-shape pattern and thus there is mean-reversion in stock prices. In this paper, we show that only negative autocorrelations are feasible under the assumption that the permanent component and the stationary component are independent in the state-space model. When the two components are allowed to be correlated in the state-space model, we show that the sign of the auto-regression coefficients is not restricted as negative. Monthly return data for all NYSE stocks for the period from 1926 to 2007 support the state-space model with correlated noise processes. However, the auto-regression coefficients of the ARIMA process, equivalent to the state-space model with correlated noise processes, do not follow a U-shaped pattern, but are always positive.

• Journal of electromagnetic engineering and science
• /
• 제15권4호
• /
• pp.199-205
• /
• 2015

An electromagnetic band gap (EBG) metamaterial construction is presented. A construction of a multipath mitigating ground plane, based on the EBG metamaterial is described. A method of the ground plane application and installation, which provides the multipath mitigating without spoiling antenna element phase center stability, is suggested and explained. A designed construction of GNSS antenna module, which contains the multipath mitigating ground plane, made from the presented EBG metamaterial and installed in the described way is shown and parameters of the antenna module are provided.

• 한국수산과학회지
• /
• 제54권5호
• /
• pp.769-781
• /
• 2021

Given data about the annual fishery yield of the common squid Todarodes pacificus, and the catch-per-unit-effort (CPUE) data from multiple fisheries from 2000-2018, we applied a Bayesian state - space assessment model for the squid population. One of our objectives was to do a stock assessment, simultaneously incorporating CPUE data from the following three fisheries, (i) large trawl, (ii) jigger, and (iii) large purse seine, which comprised on average a year about 65% of all fisheries, allowing possible correlations to be reflected. Other objectives were to consider both observation and process errors and to apply objective priors of parameters. The estimated annual exploitable biomass was in the range of 3.50×10⁵ to 1.22×10⁶ MT, the estimated intrinsic growth rate was 1.02, and the estimated carrying capacity was 1,151,259 MT. Comparison with available results from stock assessment of independently analyzed single fisheries revealed a large difference from the estimated values, suggesting that stock assessment based on multiple fisheries should be performed.

• 한국수산과학회지
• /
• 제53권6호
• /
• pp.925-933
• /
• 2020

This study is aimed to compare stock assessment models which are effective in assessing red snow crab Chinonoecetes japonicus resources and to select and apply an effective stock assessment model in the future. In order to select an effective stock assessment model, a process-error model, observation-error model, and a Bayesian state-space model were estimated. Analytical results show that the least error is observed between the estimated CPUE (catch per unit effort) and the observed CPUE when using the Bayesian state-space model. For the Bayesian state-space model, the 95% credible interval(CI) ranges for the maximum sustainable yield (MSY), carrying capacity (K), catchability coefficient (q), and intrinsic growth (r) are estimated to be 10,420-47,200 tons, 185,200-444,800 tons, 3.81E-06-9.02E-06, and 0.14-0.66, respectively. The results show that the Bayesian state-space model was most reliable among models.

• 한국정밀공학회지
• /
• 제25권5호
• /
• pp.60-68
• /
• 2008

The tool overhang length affects tool deflection and chatter that should be reduced for machined surface quality, productivity and long tool lift. The shortest tool setting algorithm that uses a safe space is proposed and applied with simulation software in NC machining. The safe space in the coordinate fixed in the tool is computed by the virtual machining system that simulates NC machining by stock model, tool model and NC code. The optimal tool assembly that has largest diameter and shortest length is possible using the safe space. This algorithm has been applied over fifty companies for safe and rigid tool setting. The collision accident between holder and stock was reduced from 3 to 0 a year and the productivity was incensed about 15% by using faster feed rate acceptable for shorten tool length.

• Ocean and Polar Research
• /
• 제41권3호
• /
• pp.183-191
• /
• 2019

This study sought to find which model is most appropriate for estimating potential yield in the East Sea, Republic of Korea. For comparison purposes, the Process-error model, ASPIC model, Maximum entropy model, Observation-error model, and Bayesian state-space model were applied using data from catch amounts and total efforts of the whole catchable fishes in the East Sea. Results showed that the Bayesian state-space model was estimated to be the most reliable among the models. Potential yield of catchable species was estimated to be 227,858 tons per year. In addition, it was analyzed that the amount of fishery resources in 2016 was about 63% of the biomass that enables a fish stock to deliver the maximum sustainable yield.

• 수산해양기술연구
• /
• 제55권2호
• /
• pp.95-104
• /
• 2019

This study is aimed to take a stock assessment of blackthroat seaperch Doederleinia seaperch regarding the fishing effort of large-powered Danish Seine Fishery and Southwest Sea Danish Seine Fishery. For the assessment, the state-space model was implemented and the standardized catch per unit effort (CPUE) of large powered Danish Seine Fishery and Southwest Sea Danish Seine Fishery which is necessary for the model was estimated with generalized linear model (GLM). The model was adequate for stock assessment because its r-square value was 0.99 and root mean square error (RMSE) value was 0.003. According to the model with 95% confidence interval, maximum sustainable yield (MSY) of Blackthroat seaperch is from 2,634 to 6,765 ton and carrying capacity (K) is between 33,180 and 62,820. Also, the catchability coefficient (q) is between 2.14E-06 and 3.95E-06 and intrinsic growth rate (r) is between 0.31 and 0.72.