• Water for future
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• v.29 no.6
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• pp.179-188
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• 1996

The chronical sequences of daily precipitation are of great practical importance in the planning and operational processes of water resources system. A sequence of days with alternate dry day and wet day can be generated by two state Markov chain model that establish the subsequent daily state as wet or dry by previously calculated vconditional probabilities depending on the state of previous day. In this study, a synthetic generation model for obtaining the daily precipitation series is presented by classifying the precipitation amount in wet days into multi-states. To apply multi-state Markov chain model, the daily precipitation amounts for wet day are rearranged by grouping into thirty states with intervals for each state. Conditional probabilities as transition probability matrix are estimated from the computational scheme for stepping from the precipitation on one day to that on the following day. Statistical comparisons were made between the historical and synthesized chracteristics of daily precipitation series. From the results, it is shown that the proposed method is available to generate and simulate the daily precipitation series with fair accuracy and conserve the general statistical properties of historical precipitation series.

• Journal of the Institute of Electronics Engineers of Korea SP
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• v.47 no.3
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• pp.23-31
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• 2010

The increasing demands on low-power, and low-complexity video encoder have been motivating extensive research activities on distributed video coding (DVC) in which the encoder compresses frames without utilizing inter-frame statistical correlation. In DVC encoder, contrary to the conventional video encoder, an error control code compresses the video frames by representing the frames in the form of syndrome bits. In the meantime, the DVC decoder generates side information which is modeled as a noisy version of the original video frames, and a decoder of the error-control code corrects the errors in the side information with the syndrome bits. The noisy observation, i.e., the side information can be understood as the output of a virtual channel corresponding to the orignal video frames, and the conditional probability of the virtual channel model is assumed to follow a Laplacian distribution. Thus, performance improvement of DVC systems depends on performances of the error-control code and the optimal reconstruction step in the DVC decoder. In turn, the performances of two constituent blocks are directly related to a better estimation of the parameter of the correlation channel. In this paper, we propose an algorithm to estimate the parameter of the correlation channel and also a low-complexity version of the proposed algorithm. In particular, the proposed algorithm minimizes squared-error of the Laplacian probability distribution and the empirical observations. Finally, we show that the conventional algorithm can be improved by adopting a confidential window. The proposed algorithm results in PSNR gain up to 1.8 dB and 1.1 dB on Mother and Foreman video sequences, respectively.

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.17 no.3
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• pp.178-187
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• 2005

A reliability analysis model f3r studying the influence of joint distribution of wave heights and periods on wave un-up is presented in this paper. From the definition of failure mode related to wave run-up, a reliability function may be formulated which can be considered uncertainties of water level. In particular, the reliability analysis model can be directly taken into account statistical properties and distributions of wave periods by considering wave period in the reliability function to be a random variable. Also, variations of wave height distribution conditioned to mean wave periods can be taken into account correctly. By comparison of results of additional reliability analysis using extreme distributions with those resulted from joint distribution of wave height and periods, it is found that probabilities of failure evaluated by the latter is larger than those by the former. Although the freeboard of sloped-breakwater structures can be determined by extreme distribution based on the long-term measurements, it may be necessary to investigate additionally into wave run-up by using the present reliability analysis model formulated to consider joint distribution of a single storm event. In addition, it may be found that the effect of spectral bandwidth parameter on reliability index may be little, but the effect of wave height distribution conditioned to mean wave periods is straightforward. Therefore, it may be confirmed that effects of wave periods on the probability of failure of wave run-up may be taken into account through the conditional distribution of wave heights. Finally, the probabilities of failure with respect to freeboard of sloped-breakwater structures can be estimated by which the rational determination of crest level of sloped-breakwater structures may be possible.

• Atmosphere
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• v.27 no.1
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• pp.41-54
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• 2017

Organic carbon (OC) and elemental carbon (EC) in $PM_{2.5}$ were measured using Sunset OC/EC Field Analyzer at Seoul Hwangsa Monitoring Center from March to April, 2016. The mean concentrations of OC and EC during the entire period were $4.4{\pm}2.0{\mu}gC\;m^{-3}$ and $1.4{\pm}0.6{\mu}gC\;m^{-3}$, respectively. OC/EC ratio was $3.4{\pm}1.0$. The average concentrations of $PM_{10}$ and $PM_{2.5}$ were $57.4{\pm}25.9$ and $39.7{\pm}19.8{\mu}g\;m^{-3}$, respectively, which were detected by an optical particle counter. The OC and EC peaks were observed in the morning, which were impacted by vehicle emission, however, their diurnal variations were not noticeable. This is determined to be contributed by the long-range transported OC or secondary formation via photochemical reaction by volatile organic compounds at afternoon. A conditional probability function (CPF) model was used to identify the local source of pollution. High concentrations of $PM_{10}$ and $PM_{2.5}$ were observed from the westerly wind, regardless of wind speed. When wind velocity was high, a mixing plume of dust and pollution during long-range transport from China in spring was observed. In contrast, pollution in low wind velocity was from local source, regardless of direction. To know the effect of long-range transport on pollution, a concentration weighted trajectory (CWT) model was analyzed based on a potential source contribution function (PSCF) model in which 75 percentiles high concentration was picked out for CWT analysis. $PM_{10}$, $PM_{2.5}$, OC, and EC were dominantly contributed from China in spring, and EC results were similar in both PSCF and CWT. In conclusion, Seoul air quality in spring was mainly affected by a mixture of local pollution and anthropogenic pollutants originated in China than the Asian dust.

• 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.

• Asian Journal of Atmospheric Environment
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• v.8 no.3
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• pp.126-139
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• 2014

In order to estimate the influence of sources on $PM_{2.5}$ in the industrial area of Japan, we carried out a source analysis using chemical component data of $PM_{2.5}$. $PM_{2.5}$ samples were collected intermittently at an industrial area in Japan from July 2010 to November 2012. Water soluble ions ($Cl^-$, $NO_3{^-}$, $SO{_4}^{2-}$, $Na^+$,$NH_4{^+}$, $K^+$, $Mg^{2+}$, $Ca^{2+}$), elements (Al, K, Ca, Ti, V, Cr, Mn, Fe, Ni, Cu, Zn, As, Cd, Sb, Pb), and carbonaceous species (OC, EC) of the $PM_{2.5}$ (a total of 198 samples) were analyzed. Positive Matrix Factorization (PMF) model was applied to the data of those chemical components to identify the source of $PM_{2.5}$. At this observation site, nine factors were extracted. The major contributors of $PM_{2.5}$ were secondary sulfate 1, in which loading factors of $SO{_4}^{2-}$ and $NH_4{^+}$ were large (percentage source contribution: 20.9%), traffic, in which loading factors of OC (organic carbon) and EC (elemental carbon) were large (20.8%), secondary sulfate 2, in which loading factors of K and $SO{_4}^{2-}$ were large (8.0%), steel mills (7.8%), secondary chloride and nitrate (7.0%), soil (5.0%), heavy oil combustion (3.8%), sea salt (3.8%), and coal combustion (2.3%). The conditional probability function (CPF) and the potential source contribution function (PSCF) were carried out to examine the influence of a regional source and a broad-based source, respectively. CPF results supported local source influences such as steel mills, sea salt, traffic, coal combustion, and heavy oil combustion. PSCF results suggested that ships in the East China Sea, an industrial area of the east coastal region of China, and an active volcano in the Kyushu region of Japan were potential regional sources of secondary sulfate 1. Secondary sulfate 2 was affected by the burning of biomass fields and by coal combustion in Chinese urban areas such as Beijing, Hebei, and western Inner Mongolia. Source characterization using continuous data from one site showed a potential source representing fossil fuel combustion is affected both by regional and broad-based sources.