• 응용통계연구
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• 제27권2호
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• pp.291-305
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• 2014

금융시계열 자료의 변동성에 나타나는 대표적인 현상 중에 지속성(persistence)이 있는데, 이를 설명하기 위하여 IGARCH 모형이 주로 사용된다. 최근에 변동성의 지속성은 변동성 변화와 장기억성에 기인한다는 사실이 많은 연구 결과에서 발표되고 있을 뿐만 아니라 장기억성은 변동성 변화로, 변동성 변화는 장기억성으로 보이게 되는 현상이 빈번히 나타난다. 따라서 본 논문에서는 변동성의 지속성, 장기억성 및 변동성 변화를 구분하는 통계적인 방법론을 고려하였다. 이를 위해 GARCH 모형 잔차를 기반으로 하는 CUSUM 통계량을 도입하여, size 왜곡(distortion) 현상을 해결할 뿐만 아니라 우수한 검정력을 얻을 수 있음을 입증하였다. 한편 변동성 변화가 존재하는 경우 변화점 추정이 중요해 지는데, 이를 위해 GARCH 모형을 기반으로 한 AIC 방법과 BIC 방법을 비교하였다. 다양한 모의실험과 실증자료를 분석하여 우리가 제안하는 잔차 기반의 CUSUM 통계량의 우수성을 입증하였다.

• 천문학회보
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• 제44권1호
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• pp.40.3-40.3
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• 2019

There is growing evidence for the dependence of Type Ia supernova (SN Ia) luminosities on the environments. The origin of this correlation, however, is under debate. In order to explore the physical origin of the trend in detail, we analyze SN Ia light-curves by combining a sample of 1231 SNe Ia over a wide redshift range (0.01 < z < 1.37) in various SN surveys and employing two independent light-curve fitters of SALT2 and MLCS2k2. Although SALT2 is the most widely used fitter in the SN community, MLCS2k2 has a novelty in the context of an investigation of the luminosity evolution of SNe Ia. For this reason we use both fitters and analyze them separately. We also determine a stellar mass and a star formation rate (SFR) for a sample of ~600 host galaxies. In addition, because recent low-redshift studies suggest that this dependence manifests itself most strongly when using the local SFR at the SN location, we introduce a new method to infer the local environments by restricting the SN Ia sample in globally star-forming host galaxies to a low-mass host galaxy subset (${\leq}10^{10}M_{\odot}$). We find that SNe Ia in low-mass and star-forming host galaxies are fainter than those in high-mass and passive hosts, after light-curve corrections. Especially, for the first time in host studies, we show that SNe Ia in locally star-forming environments are $0.081{\pm}0.018$ mag fainter ($4.5{\sigma}$) than those in locally passive environments from the sample including SNe at the high-redshift range. Considering the significant difference in the mean stellar population age between these environments, the result would suggest that the origin of the environmental dependence is the luminosity evolution of SNe Ia.

• Food Science and Biotechnology
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• 제15권5호
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• pp.773-777
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• 2006

Growth of Bacillus cereus was assessed during the storage of seasoned soybean sprouts at 0,5, 10, and $15^{\circ}C$. No lag time in its growth curve was observed and thus the specific growth rate of B. cereus in the exponential growth phase was estimated for bootstrapped microbial count data. The distribution of the specific growth rate could be explained by the BetaGeneral distribution function, and temperature dependence was described by the Ratkowsky square root model. The temperature dependence of the growth could be successfully incorporated into the differential equation of microbial growth to predict the B. cereus count on the seasoned soybean sprouts under fluctuating temperature conditions. Safe shelf lives with different probabilities to reach $10^5\;CFU/g$ were presented at four different temperatures, considering the variation in initial contamination and specific growth rate by the Monte Carlo method and 2-step bootstrapping, respectively. Safe shelf lives defined as the time with a probability of less than 0.1% of reaching the critical limit, were 13.4, 5.2, 3.6, and 2.8 days at 0, 5, 10, and $15^{\circ}C$, respectively.

• Bulletin of the Korean Chemical Society
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• 제27권5호
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• pp.637-641
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• 2006

Although chiral separation has been one of the main topics of chromatographic practice for over twenty-five years, it still presents many difficulties. In this work, the ultrasonic dependence of chiral resolution was investigated at various temperatures to improve resolution and reduce analysis time. The chiral resolution was performed on recently commercialized two HPLC chiral stationary phases (CSP 1 and CSP 2) with the analogues of racemic N-acylnaphthylethylamines (1a-d) and racemic amino acid derivatives (2a-c, 3a-c) as analytes. The CSP 1 was prepared from a (R)-N-(3,5-dinitrobenzoyl)phenylglycinol and the CSP 2 was prepared from a (S)-N-3,5-(dinitrobenzoyl) leucine. From the comparison of the chromatographic results under sonic condition with those under non-sonic condition, we found that the ultrasound decreased the elution time in chiral chromatography at all temperatures and improved the enantioselectivity at high temperature (45, 50, 60 ${^{\circ}C}$).

• Bulletin of the Korean Chemical Society
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• 제23권2호
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• pp.184-188
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• 2002

Unsaturated $Cr(CO)_x(1{\leq}x{\leq}5)$molecules were generated in the gas phase from photolysis of $Cr(CO)_6$vapor in He using an unfocussed weak UV laser pulse and their reactions with $O_2$ and $N_2O$ have been studied. The formation and disappearance of the ground state CrO molecules were identified by monitoring laser-induced fluorescence(LIF) intensities vs delay time between the photolysis and probe pulses. The photolysis laser power dependence as well as the delay time dependence of LIF intensities from the CrO orange system showed different behavior as those from ground state Cr atoms, suggesting that the ground state CrO molecules were generated from the reaction between $O_2/N_2O$ and photo-fragments of $Cr(CO)_6$ by one photon absorption. The depletion rate constants for the ground state CrO by $O_2$ and $N_2O$ are $5.4{\pm}0.2{\times}10^{-11}$ and $6.5{\pm}0.4{\times}10^{-12}cm^3molecule^{-1}s^{-1}$, respectively.

• 응용통계연구
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• 제27권3호
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• pp.475-485
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• 2014

일반화 선형모형(GLM)에 기초한 확률적 날씨 발생기(Stochastic weather generator)는 일일 날씨를 생성하는데 가장 일반적으로 사용되는 방법인다. 본 논문에서는 다층구조를 이용하여 기존의 GLM weather generator에 공간구조를 소개하였다. 계절별 총강우량의 overdispersion 현상을 효과적으로 제거하기 위해서 smoothing된 계절별 총강우량을 모형에 포함하였고 공간구조를 소개하기 위해서 Stochastic weather generator의 모형계수에 공간구조를 가지는 다변량 정규분포를 가정하였다. 그리고 제안된 공간구조를 가지는 GLM weather generator 모형을 우리나라 76개 지역에서 39년간 측정된 일별 강우량 관측자료에 적용하였다.

• 한국결정성장학회지
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• 제2권1호
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• pp.30-36
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• 1992

$LiNbO_3$단결정의 조성비 변화에 따른 탄성표면파 특성을 축정하기 위해 47-50 $Li_2O$ mol% 조성의 $LiNbO_3$단결정을 성장시켜 $128^{\circ}$Y cut wafer를 제조하였다. 제작된 wafer 위에 사진식각법을 이용하여 지연선(Delay line)을 형성시켰다. Pulse-echo overlap mehtod로 지연시간을 측정하여, 탄성표면파 속도$(V_s)$, 전기기계결합계수$(K_s^2)$ 및 $-50^{\circ}C~100^{\circ}C$ 온도 범위에서 지연시간 온도계수(TCD)의 조성비에 대한 의존성을 조사하였다.

• 한국안전학회지
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• 제1권1호
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• pp.41-49
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• 1986

Modern technological progress demands the use of materials at high temperature and high pressure. One of the most critical factors in considering such applications-perhaps the most critical one-is creep behavior. In this study the activation energy for the creep rupture (Qf) and the stress dependence of rupture time (n') have been determined during creep of Al 7075 alloy eve, the temporature range of $200^{\circ}C to 500^{\circ}C$ and stress range of 0.64 kgf/$\textrm{mm}^2$ to 9.55 kgf/$\textrm{mm}^2$, respectively, in order to investigate the creep-rupture property. Constant load creep tests were carried out in the enperiment At around the temperature $210^{\circ}C~390^{\circ}C$ and the stress level 1.53~9.55(kgf/$\textrm{mm}^2$), the stress dependence of rupture time(n') had the value of 6.6~6.78 but at 50$0^{\circ}C$, the value of 1.3. Besides at around the temperature of $200^{\circ}C~500^{\circ}C$ and under the stress level of 0.89~8.51 (kgf/$\textrm{mm}^2$), the activation energy for the creepprupture (Qf) was nearly equal to that of the volume self diffusion of pure aluminum (34Kca1/mo1e)

• Advances in biomechanics and applications
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• 제1권4호
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• pp.279-292
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• 2014

This paper presents some simulations of fluxes and pressures in the coronary network, in the case of very severe coronary disease (several stenoses on the left branches and total occlusion of the right coronary artery). In that case, coronary artery bypass graft surgery is the commonly performed procedure. However, the success of the intervention depends on many factors. Modeling of the coronary circulation is thus important since it can help to understand the influence of all these factors on the coronary haemodynamics. We previously developed an analog electrical model that includes the eventual presence of collateral flows, and can describe the different revascularization strategies (two grafts, three grafts, ...). The aim of the present work is to introduce in our simulations the time-dependence of the coronary microvascular resistances, in order to better represent the effect of the systolic ventricular contraction (which induces an elevation of the resistances because the vessels are squeezed).

• The Journal of Asian Finance, Economics and Business
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• 제3권3호
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• pp.79-91
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• 2016

This paper is the first of its kind using a non-linear approach based on cross-correlation function (CCF) to investigate the information arrival hypothesis in crude palm oil (CPO) futures market. Based on daily data from 1986 to 2010, our empirical results reveal that: First, the volume of volatility is not a proxy of information flow. Second, dependence causality running from current return to future volume in conditional variance exhibit an asymmetric pattern of time span with different signs of correlation between price and volume series. This finding indicates the presence of noise traders' hypothesis of price-volume interaction in CPO futures market. Both findings suggest that this futures market is weak-form inefficiency. In terms of investors' behavior, they tend to change their expectations on current return based on errors made in previous trade in generating abnormal volume in the subsequent period. As implied, it is advisable for the investors devise their future trading strategies according to time span and changes of return.