• Journal of the Korea Institute of Information and Communication Engineering
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• v.13 no.12
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• pp.2511-2517
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• 2009

Recently, a FMCW radar is used for the various purposes in the short range detection and tracking of targets. The main advantages of a FMCWradar are the comparative simplicity of implementation and the low peak power transmission characterizing the very low probability of signal interception. Since it uses the frequency modulated continuous wave for transmission and demodulation, the received beat frequency represents the range and Doppler information of targets. Detection and extraction of useful information from targets are performed in this beat frequency domain. Therefore, the resolution and accuracy in the estimation of a beat spectrum are very important. However, using the conventional FFT estimation method, the high resolution spectrum estimation with a low sidelobe level is not possible if the acquisition time is very short in receiving target echoes. This kind of problems deteriorates the detection performance of adjacent targets having the large magnitude differences in return echoes and also degrades the reliability of the extracted information. Therefore, in this paper, the model parameter estimation methods such as autoregressive and eigenvector spectrum estimation are applied to mitigate these problems. Also, simulation results are compared and analyzed for further improvement.

• Journal of Convergence for Information Technology
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• v.9 no.12
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• pp.62-70
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• 2019

The study used cross-lagged path modeling to examine the longitudinal associations between self-esteem and community spirit among adolescents. This is a longitudinal study designed to examine the developmental changes of adolescents' self-esteem and community spirit in Korea. This study used the data collected by the Korean Children and Youth Panel Survey (KCYPS) from 2014 through 2016. Participants were surveyed from the 5^th grade to the 7^th, which belonged to the 1^st elementary school cohort panel of the KCYPS. To be used as the data of this study, children should have all information at 3-time points: the 5^th grade; 6^th grade; 7^th grade. The collected data were analyzed with PSAW 18.0 and AMOS statistical program. The participants in this study were 903 males (51.6%) and 847 females (48.4%). The level of self-esteem was 3.29±.51, 3.19±.55, and 3.15±.57 point at 5^th grade, 6^th grade, and 7^th grade each. The level of community spirit was 3.12±.52, 3.09±.59, 3.15±.55 point respectively. Community spirit from elementary school to middle school is consistently predicted by previous self-esteem. Likewise self-esteem has a significant predictive effect on subsequent community spirit.

• 한국노년학
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• v.41 no.3
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• pp.421-444
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• 2021

The purpose of this research is to examine the reciprocal relationships between depression and marital satisfaction among older couples. For longitudinal dyadic analysis, this study sets up a research model based on the Actor-Partner Interdependence Model, the Common Fate Model, and Autoregressive Cross-Lagged Model. Data came from four annual waves from the 10th year (2015) to the 13th year (2018) of the Korean Welfare Panel Survey and the final sample comprised a total of 1,383 married couples over 60 years of age in 2015. Structural Equation Modeling identified the reciprocal relationship between depression and marital satisfaction among older couples, with higher marital satisfaction of older couples leading to lower depression of husbands' and wives', and with higher depression of husbands' and wives' inducing lower marital satisfaction of the couples. Thus, this study suggested that longitudinal interplay between depression and marital satisfaction can lead to a vicious cycle. Based on these findings, the need to intervene at both the individual level and the couple level was discussed in order to reduce depression and improve marital satisfaction.

• Journal of Intelligence and Information Systems
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• v.16 no.2
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• pp.19-32
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• 2010

Volatility plays a central role in both academic and practical applications, especially in pricing financial derivative products and trading volatility strategies. This study presents a novel mechanism based on generalized autoregressive conditional heteroskedasticity (GARCH) models that is able to enhance the performance of intelligent volatility trading systems by predicting Korean stock market volatility more accurately. In particular, we embedded the concept of the volatility asymmetry documented widely in the literature into our model. The newly developed Korean stock market volatility index of KOSPI 200, VKOSPI, is used as a volatility proxy. It is the price of a linear portfolio of the KOSPI 200 index options and measures the effect of the expectations of dealers and option traders on stock market volatility for 30 calendar days. The KOSPI 200 index options market started in 1997 and has become the most actively traded market in the world. Its trading volume is more than 10 million contracts a day and records the highest of all the stock index option markets. Therefore, analyzing the VKOSPI has great importance in understanding volatility inherent in option prices and can afford some trading ideas for futures and option dealers. Use of the VKOSPI as volatility proxy avoids statistical estimation problems associated with other measures of volatility since the VKOSPI is model-free expected volatility of market participants calculated directly from the transacted option prices. This study estimates the symmetric and asymmetric GARCH models for the KOSPI 200 index from January 2003 to December 2006 by the maximum likelihood procedure. Asymmetric GARCH models include GJR-GARCH model of Glosten, Jagannathan and Runke, exponential GARCH model of Nelson and power autoregressive conditional heteroskedasticity (ARCH) of Ding, Granger and Engle. Symmetric GARCH model indicates basic GARCH (1, 1). Tomorrow's forecasted value and change direction of stock market volatility are obtained by recursive GARCH specifications from January 2007 to December 2009 and are compared with the VKOSPI. Empirical results indicate that negative unanticipated returns increase volatility more than positive return shocks of equal magnitude decrease volatility, indicating the existence of volatility asymmetry in the Korean stock market. The point value and change direction of tomorrow VKOSPI are estimated and forecasted by GARCH models. Volatility trading system is developed using the forecasted change direction of the VKOSPI, that is, if tomorrow VKOSPI is expected to rise, a long straddle or strangle position is established. A short straddle or strangle position is taken if VKOSPI is expected to fall tomorrow. Total profit is calculated as the cumulative sum of the VKOSPI percentage change. If forecasted direction is correct, the absolute value of the VKOSPI percentage changes is added to trading profit. It is subtracted from the trading profit if forecasted direction is not correct. For the in-sample period, the power ARCH model best fits in a statistical metric, Mean Squared Prediction Error (MSPE), and the exponential GARCH model shows the highest Mean Correct Prediction (MCP). The power ARCH model best fits also for the out-of-sample period and provides the highest probability for the VKOSPI change direction tomorrow. Generally, the power ARCH model shows the best fit for the VKOSPI. All the GARCH models provide trading profits for volatility trading system and the exponential GARCH model shows the best performance, annual profit of 197.56%, during the in-sample period. The GARCH models present trading profits during the out-of-sample period except for the exponential GARCH model. During the out-of-sample period, the power ARCH model shows the largest annual trading profit of 38%. The volatility clustering and asymmetry found in this research are the reflection of volatility non-linearity. This further suggests that combining the asymmetric GARCH models and artificial neural networks can significantly enhance the performance of the suggested volatility trading system, since artificial neural networks have been shown to effectively model nonlinear relationships.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.6
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• pp.117-125
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• 2020

This paper aims to investigate FDI attractive factors, which are important to formulate policies to attract Korean direct investment into Vietnam. Based on the literature review and the results of interview with 27 Korean investors in Vietnam, we determined the model of variables attracting Korea's FDI into Vietnam. It is used to assess the impact of attractive factors belonging to three groups of variables to support investment decision; they are macroeconomics variables (including market size factor, labor cost factor, and market openness factor), policies variables (including monetary policy factor and tax rate gap factor), and microeconomics variables (geographic advantage factor representative by location). This research also utilized a relatively new quantitative research method based on the Autoregressive Distributed Lag model (ARDL) with the time data chain from 1995 to 2017 of Korean FDI into Vietnam. It analyzes long-term relationships between dependent variables and independent variables. The result of this study indicates that there are three positive factors (low wages, trade openness and government policy) explaining the FDI flows in the long term. The result also shows that incentive tax policy has had a positive impact on Korean FDI, which has satisfied the aim of seeking efficiency of Korean investors.

• Journal of KIISE
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• v.44 no.9
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• pp.954-965
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• 2017

A stable power supply is very important for the maintenance and operation of the power infrastructure. Accurate power consumption prediction is therefore needed. In particular, a university campus is an institution with one of the highest power consumptions and tends to have a wide variation of electrical load depending on time and environment. For this reason, a model that can accurately predict power consumption is required for the effective operation of the power system. The disadvantage of the existing time series prediction technique is that the prediction performance is greatly degraded because the width of the prediction interval increases as the difference between the learning time and the prediction time increases. In this paper, we first classify power data with similar time series patterns considering the date, day of the week, holiday, and semester. Next, each ARIMA model is constructed based on the classified data set and a daily power consumption forecasting method of the university campus is proposed through the time series cross-validation of the predicted time. In order to evaluate the accuracy of the prediction, we confirmed the validity of the proposed method by applying performance indicators.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.31 no.1A
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• pp.30-37
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• 2006

In this paper, we propose a QoS-aware efficient bandwidth re-provisioning scheme in a next generation wireless packet transport network. At the transport network layer, it classifies the traffic of the radio network layer into a real time class and a non-real time class. Using an auto-regressive time-series model and a given packet loss probability, our scheme predicts the needed bandwidth of the non-real time class at every re-provisioning interval. Our scheme increases the system capacity by releasing the unutilized bandwidth of the non-real time traffic class for the real-time traffic class while insuring a controllable upper bound on the packet loss probability of a non-real time traffic class. Through empirical evaluations using the real Internet traffic traces, our scheme is validated that it can increase the bandwidth efficiency while guaranteeing the quality of service requirements of the non-real time traffic class.

• Journal of the Korean Data and Information Science Society
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• v.22 no.3
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• pp.423-436
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• 2011

Many of the theoretical studies have considered herd behavior as a source of the volatility in financial markets, but there have been few empirical studies on the dynamic herding due to the technical difficulty of detecting herd behavior with time-series data. In this context, this paper proposes a new method for measuring time-varying herd behavior based on QR-GARCH model. Using daily data of KOSPI stocks, this paper provides some empirical evidence for strong and volatile herding among traders of stocks of medium firms, and shows that time-varying herd behavior in traders of some stocks has persistent autocorrelation.

• The Journal of The Korea Institute of Intelligent Transport Systems
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• v.12 no.4
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• pp.1-10
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• 2013

This study was conducted to investigate that bus information was used as an information of travel speed. To determine the travel speed on the road, bus information and the information collected from the point detector and the interval detection installed were compared. If bus information has the function of traffic information detector, can provide the travel speed information to road users. To this end, the model of recognizing the traffic patterns is necessary. This study used simple moving-average method, simple exponential smoothing method, Double moving average method, Double exponential smoothing method, ARIMA(Autoregressive integrated moving average model) as the existing methods rather than new approach methods. This study suggested the possibility to replace bus information system into other information collection system.

• Industrial Engineering and Management Systems
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• v.12 no.3
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• pp.244-253
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• 2013

In industries, shipping is an important issue in improving the forecasting accuracy of sales. This paper introduces a hybrid method and plural methods are compared. Focusing the equation of exponential smoothing method (ESM) that is equivalent to (1, 1) order autoregressive-moving-average (ARMA) model equation, a new method of estimating the smoothing constant in ESM had been proposed previously by us which satisfies minimum variance of forecasting error. Generally, the smoothing constant is selected arbitrarily. However, this paper utilizes the above stated theoretical solution. Firstly, we make estimation of ARMA model parameter and then estimate the smoothing constant. Thus, theoretical solution is derived in a simple way and it may be utilized in various fields. Furthermore, combining the trend removing method with this method, we aim to improve forecasting accuracy. This method is executed in the following method. Trend removing by the combination of linear and 2nd order nonlinear function and 3rd order nonlinear function is executed to the original production data of two kinds of bread. Genetic algorithm is utilized to search the optimal weight for the weighting parameters of linear and nonlinear function. For comparison, the monthly trend is removed after that. Theoretical solution of smoothing constant of ESM is calculated for both of the monthly trend removing data and the non-monthly trend removing data. Then forecasting is executed on these data. The new method shows that it is useful for the time series that has various trend characteristics and has rather strong seasonal trend. The effectiveness of this method should be examined in various cases.