• Journal of Institute of Convergence Technology
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• v.5 no.2
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• pp.37-42
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• 2015

This paper presents the effects of the computational time-varying delay on the stability of the haptic system that includes a virtual wall and a first-order-hold method. The model of a haptic system includes a haptic device model with a mass and a damper, a virtual wall model, a first-order-hold model and a computational time-varying delay model. In this paper, the maximum of the computational time-varying delay is assumed to be as much as the sampling time. Using the simulation, it is analyzed how the sample-hold methods and the computational time-varying delay affect the maximum available stiffness. As the maximum of computational time-varying delay increases, the maximal available stiffness of a virtual wall model is reduced.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.10
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• pp.513-521
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• 2020

In this paper, we have developed a Fama - French five factor model (FF5 model) from Fama & French (2015) by using concept of time-varying coefficient. For a data set, we have used monthly data form Kenneth R. French home page, it include Japan portfolios (classified by using size and book-to-market) and 5 factors from July 1990 to April 2020. The first analysis, we used Augmented Dickey-Fuller test (ADF test) for the stationary test, from the result, all Japan portfolios and 5 factors are stationary. Next analysis, we estimated a coefficient of Fama - French five factor model by using a generalized additive model with a thin-plate spline to create the time-varying coefficient Fama - French five factor model (TV-FF5 model). The benefit of this study is TV-FF5 model which can capture a different effect at different times of 5 factors but the traditional FF5 model can't do it. From the result, we can show a time-varying coefficient in all factors and in all portfolios, for time-varying coefficients of Rm-Rf, SMB, and HML are significant for all Japan portfolios, time-varying coefficients of RMW are positively significant for SM, and SH portfolio and time-varying coefficients of CMA are significant for SM, SH, and BM portfolio.

• Wind and Structures
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• v.31 no.3
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• pp.269-285
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• 2020

The statistical characteristics of typhoon wind speed records tend to have a considerable time-varying trend; thus, the stationary wind model may not be appropriate to estimate the wind characteristics of typhoon events. Several nonstationary wind speed models have been proposed by pioneers to characterize wind characteristics more accurately, but comparative studies on the applicability of the different wind models are still lacking. In this study, three landfall typhoons, Ampil, Jongdari, and Rumbia, recorded by ultrasonic anemometers atop the Shanghai World Financial Center (SWFC), are used for the comparative analysis of stationary and nonstationary wind characteristics. The time-varying mean is extracted with the discrete wavelet transform (DWT) method, and the time-varying standard deviation is calculated by the autoregressive moving average generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model. After extracting the time-varying trend, the longitudinal wind characteristics, e.g., the probability distribution, power spectral density (PSD), turbulence integral scale, turbulence intensity, gust factor, and peak factor, are comparatively analyzed based on the stationary wind speed model, time-varying mean wind speed model and time-varying standard deviation wind speed model. The comparative analysis of the different wind models emphasizes the significance of the nonstationary considerations in typhoon events. The time-varying standard deviation model can better identify the similarities among the different typhoons and appropriately describe the nonstationary wind characteristics of the typhoons.

• Proceedings of the KIEE Conference
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• 2004.05a
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• pp.65-67
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• 2004

Change of state of Channel between two wireless terminals which is caused by noise and multiple environmental conditions for happens frequently from the Wireles Network. So, When it is like that planning a wireless network protocol or performance analysis, it follows to change of state of time-varying channel and packet the analysis against a transmission efficiency is necessary. In this paper, analyzes transmission time of a packet and a packet in a time-varying and packet based Wireless Network. To reflecte the feature of the time-varying channel, we use a Signal Flow Graph model. From the model the mean of transmission time and the mean of queue length of the packet are analyzed in terms of the packet distribution function, the packet transmission service time, and the PER of the time-varying channel.

• KDI Journal of Economic Policy
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• v.37 no.4
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• pp.1-20
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• 2015

We examine the validity of popular exchange rate models such as the purchasing power parity (PPP) hypothesis and the monetary model for Korean won/US dollar exchange rate. Various specification tests demonstrate that Korean data are more favorable for both models based on time-varying cointegration coefficients as compared to those based on constant cointegration coefficients. When the abilities to predict future exchange rates between those models based on time-varying cointegration coefficients are compared, an in-sample analysis shows that the time-varying PPP (monetary model) has better predictive power over horizons shorter (longer) than one year. Results from an out-of-sample analysis indicate that the time-varying PPP outperforms models based on constant cointegration coefficients when predicting future exchange rate changes in the long run.

• Journal of Industrial Technology
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• v.23 no.A
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• pp.41-46
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• 2003

Because the quality of a radio link in real environment is generally varied with time, there is a difference between the delay in the real environment and one obtained from the analytic model where a time-varying link model is not used as a link model for a Bluetooth. This paper analyzes the transmission delay of a message in the time-varying radio link model for the Bluetooth. The time-varying radio link is modeled with a two-state Markov model. The mean transmission delay of the message is analytically obtained in terms of the arrival rate of the message, the state transition probability in the Markov model, and the packet error rate.

• Transactions on Control, Automation and Systems Engineering
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• v.2 no.4
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• pp.244-247
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• 2000

In this paper, a discrete-time sliding mode controller for linear time-varying systems with disturbances is proposed. The proposed method guarantees the systems state is globally uniformly ultimately bounded(G.U.U.B) under the existence of time-varying disturbances.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.9
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• pp.95-104
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• 2020

In financial economics studies, the autoregressive model has been a workhorse for a long time. However, the model has a fixed value on every parameter and requires the stationarity assumptions. Time-varying coefficient autoregressive model that we use in this paper offers some desirable benefits over the traditional model such as the parameters are allowed to be varied over-time and can be applies to non-stationary financial data. This paper provides the Monte Carlo simulation studies which show that the model can capture the dynamic movement of parameters very well, even though, there are some sudden changes or jumps. For the daily data from January 1, 2015 to February 12, 2020, our paper provides the empirical studies that Thailand, Taiwan and Tokyo Stock market Index can be explained very well by the time-varying coefficient autoregressive model with lag order one while South Korea's stock index can be explained by the model with lag order three. We show that the model can unveil the non-linear shape of the estimated mean. We employ GJR-GARCH in the condition variance equation and found the evidences that the negative shocks have more impact on market's volatility than the positive shock in the case of South Korea and Tokyo.

• Journal of the Korean Data and Information Science Society
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• v.11 no.2
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• pp.173-179
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• 2000

Interval prediction based on the empirical distribution function for the class of time series with time varying coefficients is discussed. To this end, strong mixing property of the model is shown and results due to Fotopoulos et. al.(1994) are employed. A simulation study is presented to assess the accuracy of the proposed interval predictor.

• Journal of Institute of Control, Robotics and Systems
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• v.8 no.5
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• pp.351-356
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• 2002

This papaer deals with a model reduction problem for linear systems with time varying parameters. For this problem, a controllability Grammian and an observability Grammian are introduced and computed by solving linear matrix inequalities. Using the controllability/observability Grammian, a balanced state space realization for linear parameter varying systems is obtained. From the balanced state space realization, a reduced model can be obtained by truncating not only states but also time varying parameters and an upper bound of the model reduction error is derived as well.