• 응용통계연구
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• 제11권2호
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• pp.317-333
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• 1998

기하브라우니안모션(geometric Brownian motion) 모형과 자기상관(autoregressive) 모형을 이용하여 최근 우리나라의 주가(지수)시계열을 분석하고, 이 두 모형을 예측의 관점에서 비교하였다. 고려한 7개의 주가(지수)시계열 모두에서 예측을 시행할 때 이용하는 자료의 개수가 작을수록 기하브라우니안모션 모형 이 상대적으로 더 나은 예측치를 주는 것으로 나타났다.

• Journal of the Korean Statistical Society
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• 제35권1호
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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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• 제36권2호
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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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• 제17권5호
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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.

• 대한수학회논문집
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• 제18권3호
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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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• 제8권2호
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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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• 제6권3호
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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.

• 한국통신학회논문지
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• 제23권9A호
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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.

• 응용통계연구
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• 제29권6호
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• pp.1129-1145
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• 2016

뇌기능 연결성 문제는 뇌의 신경역학적 현상과 밀접한 관련이 있다는 의미에서 뇌과학에서 주요 연구주제이다. 본 논문에서는 기능적 자기공명영상(fMRI)자료를 뇌활동에 대한 반응 자료의 주요 형태로써 선택하였는데, 이 fMRI자료는 높은 해상도 때문에 뇌과학 연구에서 선호되는 자료 형태이다. 뇌활동에 대한 생리학적 반응을 측정해서 자료로 사용한다는 전제하에서 뇌의 기능적 연결성을 분석하는 방법들을 고찰하였다. 여기서의 전제란 상태공간 및 측정 모형을 다룬다는것을 의미하는데, 여기서 상태공간 모형은 뇌신경역학을 표현한다고 가정한다. 뇌기능 영상자료의 분석은 무엇을 측정하였느냐에 따라서 분석방법과 그 해석이 조금씩 달라진다. 실제 fMRI자료를 고차원 자기회귀모형을 적용해서 분석한 결과를 논문에 포함하였는데, 이 결과를 통해서 서로 다른 도형문제를 푸는데 서로 다른 뇌신경 역학관계가 요구된다는 것을 엿볼 수 있었다.