• Journal of the Korean Mathematical Society
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• v.36 no.4
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• pp.829-832
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• 1999

This to correct Section 4 of our previous work [1].

• The Korean Journal of Applied Statistics
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• v.19 no.3
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• pp.481-504
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• 2006

VaR, a tail-related risk measure is now widely used as a tool for a measurement and a management of financial risks. For more accurate measurement of VaR, recently we are particularly concerned about the approach based on extreme value theory rather than the traditional method based on the assumption of normal distribution. However, many studies about the approaches using extreme value theory was done only for the univariate case. In this paper, we discuss portfolio risk measurements with modelling multivariate extreme value distributions by combining copulas and extreme value theory. We also discuss the estimation of ES together with VaR as portfolio risk measures. Finally, we investigate the relative superiority of EVT-copula approach than variance-covariance method through the back-testing of an empirical data.

• Honam Mathematical Journal
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• v.8 no.1
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• pp.51-74
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• 1986

The thery of measure is significant in that we extend from it to the theory of integration. AS specific metric outer measures we can take Hausdorff outer measure and Lebesgue-Stieltjes outer measure connecting measure with monotone functions.([12]) The purpose of this paper is to find some properties of Lebesgue-Stieltjes measure by extending it from $R^1$ to $R^n(n{\geq}1)$ $({\S}3)$ and differentiation of the integral defined by Borel measure $({\S}4)$. If in detail, as follows. We proved that if $_n{\lambda}_{f}^{\ast}$ is Lebesgue-Stieltjes outer measure defined on a finite monotone increasing function $f:R{\rightarrow}R$ with the right continuity, then $$_n{\lambda}_{f}^{\ast}(I)=\prod_{j=1}^{n}(f(b_j)-f(a_j))$$, where $I={(x_1,...,x_n){\mid}a_j$<$x_j{\leq}b_j,\;j=1,...,n}$. (Theorem 3.6). We've reached the conclusion of an extension of Lebesgue Differentiation Theorem in the course of proving that the class of continuous function on $R^n$ with compact support is dense in $L^p(d{\mu})$ ($1{\leq$}p<$\infty$) (Proposition 2.4). That is, if f is locally $\mu$-integrable on $R^n$, then $\lim_{h\to\0}\left(\frac{1}{{\mu}(Q_x(h))}\right)\int_{Qx(h)}f\;d{\mu}=f(x)\;a.e.(\mu)$.

• Communications of the Korean Mathematical Society
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• v.12 no.3
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• pp.779-788
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• 1997

In this work, using the exact separatrix map which provides an efficient way to describe dynamics near the separatrix, we study the stochastic layer near the separatrix of a one-degree-of-freedom Hamilitonian system with time periodic perturbation. Applying the twist map theory to the exact separatrix map, T. Ahn, G. I. Kim and S. Kim proved the existence of the uniformly hyperbolic invariant set(UHIS) near separatrix. Using the theorems of Bowen and Franks, we prove this UHIS has measure zero.

• Journal of the Korean Home Economics Association
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• v.33 no.4
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• pp.235-249
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• 1995

The first purpose of this study was to review literatures on marital intimacy. The second purpose was to develop a theory-derived scale to measure marital intimacy. From an original lists of 32 items developed from literatures, the survey was practiced. The data were collected from 344 married adults who had been married more than 5 years. Through this process, a final lists of 19 item scale that were covering 4 different aspects of affectional, sexual, committed, cognitive marital intimacy yielded. reliability estimate assessed by Cronbach's coefficient is .903. Content Validity was evidenced by jury logical opinions. Construct Validity was tested in relation to Spanier's DAS scale.

• Journal of the Korean Mathematical Society
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• v.45 no.2
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• pp.587-596
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• 2008

For convex bodies, chord power integrals were introduced and studied in several papers (see [3], [6], [14], [15], etc.). The aim of this article is to study them further, that is, we establish the Brunn-Minkowski-type inequalities and get the upper bound for chord power integrals of convex bodies. Finally, we get the famous Zhang projection inequality as a corollary. Here, it is deserved to mention that we make use of a completely distinct method, that is using the theory of inclusion measure, to establish the inequality.

• Journal of the Korean Mathematical Society
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• v.51 no.6
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• pp.1123-1139
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• 2014

In this work, we investigate the existence of the extremal solutions for a class of fractional partial differential equations with order 1 < ${\alpha}$ < 2 by upper and lower solution method. Using the theory of Hausdorff measure of noncompactness, a series of results about the solutions to such differential equations is obtained.

• Speech Sciences
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• v.3
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• pp.148-155
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• 1998

As an application of dimensional analysis in the theory of chaos and fractals, we studied and estimated the information dimension for various phonemes. By constructing phase-space vectors from the time-series speech signals, we calculated the natural measure and the Shannon's information from the trajectories. The information dimension was finally obtained as the slope of the plot of the information versus space division order. The information dimension showed that it is so sensitive to the waveform and time delay. By averaging over frames for various phonemes, we found the information dimension ranges from 1.2 to 1.4.

• Research in Mathematical Education
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• v.18 no.1
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• pp.75-87
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• 2014

It is central to use a scale to measure a person's level of a construct in mathematics education research. This article explains a practical process through which a researcher rapidly can develop an instrument to measure the construct. The process includes research questioning, reviewing the literature, framing a background theory, treating the data, and reviewing the instrument. The statistical treatment of data includes normality analysis, item-total correlation analysis, reliability analysis, and factor analysis. A virtual example is given for better understanding of the process.

• The Journal of the Acoustical Society of Korea
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• v.24 no.1E
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• pp.16-20
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• 2005

A novel scheme to measure the speaker information in speech signal is proposed. We develope the theory of quantitative measurement of the speaker characteristics in the information theoretic point of view, and connect it to the classification error rate. Homomorphic analysis based features, such as mel frequency cepstral coefficient (MFCC), linear prediction cepstral coefficient (LPCC), and linear frequency cepstral coefficient (LFCC) are studied to measure speaker specific information contained in those feature sets by computing mutual information. Theories and experimental results provide us quantitative measure of speaker information in speech signal.