• KDI Journal of Economic Policy
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• v.15 no.4
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• pp.155-173
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• 1993

주식수익율(株式收益率)의 조건부분산(條件附分散)의 움직임을 모형화(模型化)하기 위하여 Engle(1982)의 ARCH(Autoregressive Conditional Heteroskedasticity)모형(模型)을 효시(嚆矢)로 많은 종류의 모형(模型)이 제시되어 왔다. 이 가운데서 Nelson(1991)의 EGARCH(Exponential Generalized ARCH)는 종래의 모형(模型)에 비하여 여러가지 장점(長點)을 지니고 있는 모형(模型)이다. 그러나 EGARCH에서는 비기대수익율(非期待收益率)(unexpected return)이 조건부분산(條件附分散)에 미처는 규모효과(規模效果)(magnitude effect)와 비대칭효과(非對稱效果)(asymmetry effect)의 영향(影響)이 동일한 동태(動態)(dynamics)를 보인다고 가정(假定)하고 있다. 본(本) 논문(論文)은 이 가정(假定)을 완화하였을 때 규모효과(規模效果)와 비대칭효과(非對稱效果)가 매우 다른 동태(動態)를 가지며, 특히 규모효과(規模效果)의 영향은 오래 지속되는 반면 비대칭효과(非對稱效果)는 비교적 빠르게 사라짐을 보여준다.

• KIEE International Transactions on Power Engineering
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• v.4A no.3
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• pp.159-166
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• 2004

Forecasting prices in electricity markets is critical for consumers and producers in planning their operations and managing their price risk. We utilize the generalized autoregressive conditionally heteroskedastic (GARCH) method to forecast the electricity prices in two regions of New York： New York City and Central New York State. We contrast the one-day forecasts of the GARCH against techniques such as dynamic regression, transfer function models, and exponential smoothing. We also examine the effect on our forecasting of omitting some of the extreme values in the electricity prices. We show that accounting for the extreme values and the heteroskedactic variance in the electricity price time-series can significantly improve the accuracy of the forecasting. Additionally, we document the higher volatility in New York City electricity prices. Differences in volatility between regions are important in the pricing of electricity options and for analyzing market performance.

• Proceedings of the Computational Structural Engineering Institute Conference
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• 2003.10a
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• pp.429-436
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• 2003

A new linkage framework between elastic shell element with finite rotation and computar-aided geometric design (CAGD) (or surface is developed in the present study. The framework of shell finite element is based on the generalized curved two-parametric coordinate system. To represent free-form surface, cubic B-spline tensor-product functions are used. Thus the present finite element can be directly linked into the geometric modeling produced by surface generation tool in CAD software. The efficiency and accuracy of the Previously developed linear elements hold for the nonlinear element with finite rotations. To handle the finite rotation behavior of shells, exponential mapping in the SO(3) group is employed to allow the large incremental step size. The integrated frameworks of shell geometric design and nonlinear computational analysis can serve as an efficient tool in shape and topological design of surfaces with large deformations.

• Structural Engineering and Mechanics
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• v.45 no.2
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• pp.259-275
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• 2013

Free vibration of symmetric angle-ply layered conical shell frusta of variable thickness is analyzed under shear deformation theory with different boundary conditions by applying collocation with spline approximation. Linear and exponential variation in thickness of layers are assumed in axial direction. Displacements and rotational functions are approximated by Bickley-type splines of order three and obtained a generalized eigenvalue problem. This problem is solved numerically for an eigenfrequency parameter and an associated eigenvector of spline coefficients. The vibration of three and five-layered conical shells, made up of two different type of materials are considered. Parametric studies are made for analysing the frequencies of the shell with respect to the coefficients of thickness variations, length-to-radius ratio, length-to-thickness ratio and ply angles with different combination of the materials. The results are compared with the available data and new results are presented in terms of tables and graphs.

• Industrial Engineering and Management Systems
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• v.11 no.4
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• pp.390-396
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• 2012

The present paper extends the idea of tightened-normal-tightened sampling scheme to group acceptance sampling plans under the time truncated life tests. We consider three famous distributions that are widely used in the area of reliability such as the generalized exponential distribution, the Weibull distribution, and the Birnbaum-Saunders distribution in the proposed sampling plan. The plan parameters are determined such that the producer's risk and the consumer's risk are satisfied at the specified median life. Extensive tables showing plan parameters are provided at various values of the experiment time and the consumer's risk for each of three distributions for the practical use. Some examples are given to illustrate the procedure of the proposed plan.

• Communications for Statistical Applications and Methods
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• v.29 no.1
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• pp.1-25
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• 2022

A modified Bagdonavičius-Nikulin chi-square goodness-of-fit is defined and studied. The lymphoma data is analyzed using the modified goodness-of-fit test statistic. Different non-Bayesian estimation methods under complete samples schemes are considered, discussed and compared such as the maximum likelihood least square estimation method, the Cramer-von Mises estimation method, the weighted least square estimation method, the left tail-Anderson Darling estimation method and the right tail Anderson Darling estimation method. Numerical simulation studies are performed for comparing these estimation methods. The potentiality of the new model is illustrated using three real data sets and compared with many other well-known generalizations.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.39 no.1
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• pp.25-30
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• 2016

It is critical to forecast the maximum daily and monthly demand for power with as little error as possible for our industry and national economy. In general, long-term forecasting of power demand has been studied from both the consumer's perspective and an econometrics model in the form of a generalized linear model with predictors. Time series techniques are used for short-term forecasting with no predictors as predictors must be predicted prior to forecasting response variables and containing estimation errors during this process is inevitable. In previous researches, seasonal exponential smoothing method, SARMA (Seasonal Auto Regressive Moving Average) with consideration to weekly pattern Neuron-Fuzzy model, SVR (Support Vector Regression) model with predictors explored through machine learning, and K-means clustering technique in the various approaches have been applied to short-term power supply forecasting. In this paper, SARMA and intervention model are fitted to forecast the maximum power load daily, weekly, and monthly by using the empirical data from 2011 through 2013. $ARMA(2,\;1,\;2)(1,\;1,\;1)_7$ and $ARMA(0,\;1,\;1)(1,\;1,\;0)_{12}$ are fitted respectively to the daily and monthly power demand, but the weekly power demand is not fitted by AREA because of unit root series. In our fitted intervention model, the factors of long holidays, summer and winter are significant in the form of indicator function. The SARMA with MAPE (Mean Absolute Percentage Error) of 2.45% and intervention model with MAPE of 2.44% are more efficient than the present seasonal exponential smoothing with MAPE of about 4%. Although the dynamic repression model with the predictors of humidity, temperature, and seasonal dummies was applied to foretaste the daily power demand, it lead to a high MAPE of 3.5% even though it has estimation error of predictors.

• The Korean Journal of Applied Statistics
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• v.16 no.2
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• pp.455-467
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• 2003

There has been a long debate on the applicability of the chi-square approximation to statistics based on small sample size. Extending comparison results among Pearson chi-square Χ$^2$, generalized likelihood .ratio G$^2$, and the power divergence Ι(2/3) statistics suggested by Rudas(1986), recently developed disparity statistics (BWHD(1/9), BWCS(1/3), NED(4/3)) we compared and analyzed in this paper. By Monte Carlo studies about the independence model of two dimension contingency tables, the conditional model and one variable independence model of three dimensional tables, simulated 90 and 95 percentage points and approximate 95% confidence intervals for the true percentage points are obtained. It is found that the Χ$^2$, Ι(2/3), BWHD(1/9) test statistics have very similar behavior and there seem to be applcable for small sample sizes than others.

• Journal of Korea Water Resources Association
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• v.35 no.3
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• pp.295-306
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• 2002

The modified TOPMODEL of two storage systems has been integrated to the generalized assumptions of decreasing hydraulic conductivity to vertical direction. Three different recharge functions were introduced to explore the impact of the macropore flow to vortical direction, the storage at the surface zone and the relative storage deficit of the soil matrix. Combinations of these approaches provide 30 type of the model structure for the hillslope hydrology. Developed models have been applied to several hydrologic events at the Sulmachun watershed. The performance evaluation with the Monte carlo simulation suggests that the exponential function of transmissivity reduction should be appropriate form for the physically -based hydrologic simulation on the Sulmachun watershed. It has been shown that the recharge function of macropore flow contributes to improve the predictability of the generalized version of modified TOPMODEL.

• Journal of Korea Water Resources Association
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• v.32 no.6
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• pp.637-647
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• 1999

This study investigated the applicability of generalized TOPMODEL approach which introduces the power law of decreasing transimissivity with depth instead of the traditional exponential decreasing function. The 50m digital elevation model(DEM) of Dongkog subwatershed at Wichon Test Watershed was used to perform runoff simulation. Random number generation algorithm was integrated into the calibration process for the reliable of model performance. General power law version of TOPMODEL with exponent 2 and 3 showed higher simulation efficiency than other the approaches. This results from the fact that the power law models with exponent 2 and 3 can represent the soil characteristics of study area better than other models.