• The Korean Journal of Applied Statistics
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• v.11 no.2
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• pp.317-333
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• 1998

In this study, I employed the autoregressive model and the geometric Brownian motion model to analyze the recent stock prices of Korea. For all 7 series of stock prices(or index) the geometric Brownian motion model gives better predicted values compared with the autoregressive model when we use smaller number of observations.

• Journal of the Korean Statistical Society
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• v.35 no.1
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• pp.79-90
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• 2006

We consider the subdiagonal bilinear model and ARMA model with subdiagonal bilinear errors. Sufficient conditions for geometric ergodicity of associated Markov chains are derived by using results on generalized random coefficient autoregressive models and then strict stationarity and ,a-mixing property with exponential decay rates for given processes are obtained.

• Journal of the Korean Statistical Society
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• v.36 no.2
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• pp.183-200
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• 2007

We consider a nonlinear autoregressive moving average model with nonlinear GARCH errors, and find sufficient conditions for the existence of a strictly stationary solution of three related time series equations. We also consider a geometric ergodicity and functional central limit theorem for a nonlinear autoregressive model with nonlinear ARCH errors. The given model includes broad classes of nonlinear models. New results are obtained, and known results are shown to emerge as special cases.

• Communications for Statistical Applications and Methods
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• v.17 no.5
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• pp.639-645
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• 2010

We consider a subdiagonal bilinear model and give sufficient conditions for the associated Markov chain defined by Pham (1985) to be uniformly ergodic and then obtain the $\beta$-mixing property for the given process. To derive the desired properties, we employ the results of generalized random coefficient autoregressive models generated by a matrix-valued polynomial function and vector-valued polynomial function.

• Communications of the Korean Mathematical Society
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• v.18 no.3
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• pp.541-550
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• 2003

We consider the generalized autoregressive model with conditional heteroscedasticity process(GARCH). It is proved that if (equation omitted) β/sub i/ < 1, then there exists a unique invariant initial distribution for the Markov process emdedding the given GARCH process. Geometric ergodicity, functional central limit theorems, and a law of large numbers are also studied.

• Communications for Statistical Applications and Methods
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• v.8 no.2
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• pp.565-572
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• 2001

This article explores the problem of ergodicity for the nonlinear autoregressive processes with ARCH structure in a very general setting. A sufficient condition for the geometric ergodicity of the model is developed along the lines of Feigin and Tweedie(1985), thereby extending classical results for specific nonlinear time series. The condition suggested is in turn applied to some specific nonlinear time series illustrating that our results extend those in the literature.

• Journal of applied mathematics & informatics
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• v.6 no.3
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• pp.959-968
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• 1999

In this paper we are obtained new results for bivariate pro-cesses which help us to tell the dependent structure among hitting times of the processes. We are proposed both dependence properties and the-oretical results among the processes and certain kinds of dependence properties when we are imposed on processes are reflected as analo-gous properties of corresponding hitting times. Finlly we are given some examples to illustrate these concepts.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.23 no.9A
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• pp.2289-2304
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• 1998

For the performance analysis and traffic control of ATM networks carrying video sequences, need an appropriate video traffic model. In this paper, we propose a new traffic model for MPEG compressed videos which are widely used for any type of video applications at th emoment. The proposed modeling scheme uses scene-based traffic characteristics and considers the correlation between frames of consecutiv GOPs. Using a simple scene detection algorithm, scene changes are modeled by state transitions and the number of GOPs of a scene state is modeled by a geometric distirbution. Frames of a scene stte are modeled by mean I, P, and B frame size. For more accurate traffic modeling, quantization errors (residual bits) that the state transition model using mean values has are compensated by autoregressive processes. We show that our model very well captures the traffic chracteristics of the original videos by performance analysis in terms of autocorrelation, histogram of frame bits genrated by the model, and cell loss rate in the ATM multiplexer with limited buffers. Our model is able to perrorm translations between levels (i.e., GOP, frame, and cell levels) and to estimate very accurately the stochastic characteristics of the original videos by each level.

• The Korean Journal of Applied Statistics
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• v.29 no.6
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• pp.1129-1145
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• 2016

Functional neuro-connectivity is one of the main issues in brain science in the sense that it is closely related to neurodynamics in the brain. In the paper, we choose fMRI as a main form of response data to brain activity due to its high resolution. We review methods for analyzing functional neuro-connectivity assuming that measurements are made on physiological responses to neuron activation. This means that we deal with a state-space and measurement model, where the state-space model is assumed to represent neurodynamics. Analysis methods and their interpretation should vary subject to what was measured. We included analysis results of real fMRI data by applying a high-dimensional autoregressive model, which indicated that different neurodynamics were required for solving different types of geometric problems.