• Journal of Advanced Navigation Technology
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• v.22 no.4
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• pp.271-278
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• 2018

For ionospheric correction of low earth orbiter (LEO) satellites using single frequency global navigation satellite system (GNSS) receiver, ionospheric scale factor should be applied to the ground-based ionosphere model. The ionospheric scale factor can be calculated by using a NeQuick model, which provides a three-dimensional ionospheric distribution. In this study, the ionospheric scale factor is calculated by using NeQuick G model during 2015, and it is compared with the scale factor computed from the combination of LEO satellite measurements and international GNSS service (IGS) global ionosphere map (GIM). The accuracy of the ionospheric delay calculated by the NeQuick G model and IGS GIM with NeQuick G scale factor is analyzed. In addition, ionospheric delay errors calculated by the NeQuick G model and IGS GIM with the NeQuick G scale factor are compared. The ionospheric delay error variations along to latitude and solar activity are also analyzed. The mean ionospheric scale factor from the NeQuick G model is 0.269 in 2015. The ionospheric delay error of IGS GIM with NeQuick G scale factor is 23.7% less than that of NeQuick G model.

• 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.

• The Korean Journal of Applied Statistics
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• v.33 no.4
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• pp.365-377
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• 2020

We discuss latent factor regression when constructing a common structure inherent among explanatory variables to solve multicollinearity and use them as regressors to construct a linear model of a response variable. Bayesian estimation with LASSO prior of a large penalty parameter to construct a significant factor loading matrix of intrinsic interests among infinite latent structures. The estimated factor loading matrix with estimated other parameters can be inversely transformed into linear parameters of each explanatory variable and used as prediction models for new observations. We apply the proposed method to Product Service Management data of HBAT and observe that the proposed method constructs the same factors of general common factor analysis for the fixed number of factors. The calculated MSE of predicted values of Bayesian latent factor regression model is also smaller than the common factor regression model.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.605-613
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• 2020

In unfrictionless markets, one measure of asset pricing is its height of friction. This study develops a three-factor model by loosening the assumptions about stocks without friction, without risk, and perfectly liquid. Friction is used as an indicator of transaction costs to be included in the model as a variable that will reduce individual profits. This approach is used to estimate return, beta and other variable for firms listed on the Indonesian Stock Exchange (IDX). To test the efficacy of friction-adjusted three-factor model, we use intraday data from July 2016 to October 2018. The sample includes all listed firms; intraday data chosen purposively from regular market are sorted by capitalization, which represents each tick size from the biggest to smallest. We run 3,065,835 intraday data of asking price, bid price, and trading price to get proportional quoted half-spread and proportional effective half-spread. We find evidence of adjusted friction on the three-factor model. High/low trading friction will cause a significant/insignificant return difference before and after adjustment. The difference in average beta that reflects market risk is able to explain the existence of trading friction, while the difference between SMB and HML in all observation periods cannot explain returns and the existence of trading friction.

• Communications for Statistical Applications and Methods
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• v.15 no.6
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• pp.825-835
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• 2008

Multivariate GARCH(MGARCH) has been useful in financial studies and econometrics for modeling volatilities and correlations between components of multivariate time series. An obvious drawback lies in that the number of parameters increases rapidly with the number of variables involved. This thesis tries to resolve the problem by using dimension reduction technique. We briefly review both factor models for dimension reduction and the MGARCH models including EWMA (Exponentially weighted moving-average model), DVEC(Diagonal VEC model), BEKK and CCC(Constant conditional correlation model). We create meaningful portfolios obtained after reducing dimension through statistical factor models and fundamental factor models and in turn these portfolios are applied to MGARCH. In addition, we compare portfolios by assessing MSE, MAD(Mean absolute deviation) and VaR(Value at Risk). Various financial time series are analyzed for illustration.

• Journal of Korean Port Research
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• v.14 no.1
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• pp.57-64
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• 2000

For composing the structure model of national maritime power system by system structural modeling, in this study, the 50 basic factors are selected by survey of the extensive and through literatures on maritime, sea, maritime power and sea power. And the basic factors are classified into 36 component factors by cluster method. The 9 attributes are extracted by the application of the principle component analysis method, one of the factor analysis method in system engineering, to component factors. In this study, we define the attributes composing the national maritime power system by integrating the result of this study and existed our studies relating to this topic. Which are showed in Table 2. and we show the structure model of national maritime power system in Fig. 3. In Table 2, the 9 attributes are as follows : the fundamental power of maritime, shipping and port power, naval power, fishing power, shipbuilding power, the power of ocean research and development, dependency on seaborne trade, the protection power of ocean environment and the will and inclination of govemment. Also, in the case of evaluating this system, we conform the importance of considering the interactions among the attributes which have strong interactions in structure model of national maritime power system.

• International Journal of Highway Engineering
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• v.17 no.3
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• pp.117-124
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• 2015

PURPOSES : The purpose of this study is to verify traffic accident injury severity factors for elderly drivers and the relative relationship of these factors. METHODS : To verify the complicated relationship among traffic accident injury severity factors, this study employed a structural equation model (SEM). To develop the SEM structure, only the severity of human injuries was considered; moreover, the observed variables were selected through confirmatory factor analysis (CFA). The number of fatalities, serious injuries, moderate injuries, and minor injuries were selected for observed variables of severity. For latent variables, the accident situation, environment, and vehicle and driver factors were respectively defined. Seven observed variables were selected among the latent variables. RESULTS : This study showed that the vehicle and driver factor was the most influential factor for accident severity among the latent factors. For the observed variable, the type of vehicle, type of accident, and status of day or night for each latent variable were the most relative observed variables for the accident severity factor. To verify the validity of the SEM, several model fitting methods, including ${\chi}^2/df$, GFI, AGFI, CFI, and others, were applied, and the model produced meaningful results. CONCLUSIONS : Based on an analysis of results of traffic accident injury severity for elderly drivers, the vehicle and driver factor was the most influential one for injury severity. Therefore, education tailored to elderly drivers is needed to improve driving behavior of elderly driver.

• Proceedings of the Korean Society for Technology of Plasticity Conference
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• 2001.10a
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• pp.134-137
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• 2001

In this paper on-line model is derived from investigating via series of finite element process simulation. Some variables that little affect on non-dimensional parameters. ie. forward slip and torque factor. is extracted from composing on-line model Especially, this research focused on deriving on-line model which exactly predict roll force and roll power in the roughing mill process under small shape factor and small reduction ratio. The prediction accuracy of the proposed model is examined through comparison with predictions from a finite element process model

• Journal of Information Technology Applications and Management
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• v.19 no.4
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• pp.227-242
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• 2012

It is a daunting task to theorize the process effectiveness of IT convergence based service model. Despite the criticalness of investigating process enhancement impact of IT-convergence based service model, the theoretical research in this field is relatively scarce, possibly due to the too wide and comprehensiveness of research scope. In this vein, we conducted exploratory study to understand the contributional impact of IT convergence based service model on resolving service process limitations. We first identified five IT convergence based service models in the area of typical service industry, which include entertainment, learning, location based services, tourism, and healthcare. Our research model classified value creation factors of the IT convergence model in twofold. The one is defined as basic value creation factor of the IT convergence, which is treated as the second-order factor that consists of two first-order factors of mobile functionality and Internet with digital contents merging functionality. The other is defined as service process limitations resolving factor which are comprised with the two first-order factors of simultaneousity and perishability. Both the second-order factors are modeled, each respectively, with the two first-order factors in formative manner. Using PLS, empirical validation is executed to analyze each value creating factor's contribution impact on the relative advantage, as well as the mediating effect of basic value creation factor on resolving service process limitations. On the basis of the insights revealed from this paper, further theory building research could be elaborated in the area of IT convergence applications for service industry.

• The Korean Journal of Applied Statistics
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• v.13 no.2
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• pp.427-436
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• 2000

In this paper, we consider a Bayesian model selection problem of lifetime distributions using fractional Bayes factor with noninformative prior when type II censored data are given. For a given type II censored data, we calculate the posterior probability of exponential, Weibull and lognormal distributions and select the model which gives the highest posterior probability. Our proposed methodology is explained and applied to real data and simulated data.