• Journal of Korean Society of Forest Science
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• v.89 no.1
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• pp.1-8
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• 2000

This paper investigates the empirical validity of market integration for the five softwood lumber markets in Canada : Atlantic, Quebec, Ontario, Prairie, and British Columbia (BC). The Augmented Dickey-Fuller (ADF) tests of monthly price series for the period 1987 : 10-1998 : 11 reveal strong evidence for the presence of a unit root in each series. Accordingly, the Johansen cointegration technique is used to test for the law of one price in the five regional markets. Results show that the law holds in the pair, three, four, and five markets, supporting the hypothesis of market integration.

• Journal of Korea Water Resources Association
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• v.52 no.8
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• pp.575-587
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• 2019

This study evaluated the effect of a mother wavelet in the wavelet analysis of various times series made by combining white noise and/or sine function. The result derived is also applied to short-memory arctic oscillation index (AOI) and long-memory southern oscillation index (SOI). This study, different from previous studies evaluating one or two mother wavelets, considers a total of four generally-used mother wavelets, Bump, Morlet, Paul, and Mexican Hat. Summarizing the results is as follows. First, the Bump mother wavelet is found to have some limitations to represent the unstationary behavior of the periodic components. Its application results are more or less the same as the spectrum analysis. On the other hand, the Morlet and Paul mother wavelets are found to represent the non-stationary behavior of the periodic components. Finally, the Mexican Hat mother wavelet is found to be too complicated to interpret. Additionally, it is also found that the application result of Paul mother wavelet can be inconsistent for some specific time series. As a result, the Morlet mother wavelet seems to be the most stable one for general applications, which is also assured by the recent trend that the Morlet mother wavelet is most frequently used in the wavelet analysis research.

• Journal of Korea Water Resources Association
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• v.46 no.8
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• pp.833-842
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• 2013

The quantile mapping is utilized to reproduce reliable GCM(Global Climate Model) data by correct systematic biases included in the original data set. This scheme, in general, projects the Cumulative Distribution Function (CDF) of the underlying data set into the target CDF assuming that parameters of target distribution function is stationary. Therefore, the application of stationary quantile mapping for nonstationary long-term time series data of future precipitation scenario computed by GCM can show biased projection. In this research the Nonstationary Quantile Mapping (NSQM) scheme was suggested for bias correction of nonstationary long-term time series data. The proposed scheme uses the statistical parameters with nonstationary long-term trends. The Gamma distribution was assumed for the object and target probability distribution. As the climate change scenario, the 20C3M(baseline scenario) and SRES A2 scenario (projection scenario) of CGCM3.1/T63 model from CCCma (Canadian Centre for Climate modeling and analysis) were utilized. The precipitation data were collected from 10 rain gauge stations in the Han-river basin. In order to consider seasonal characteristics, the study was performed separately for the flood (June~October) and nonflood (November~May) seasons. The periods for baseline and projection scenario were set as 1973~2000 and 2011~2100, respectively. This study evaluated the performance of NSQM by experimenting various ways of setting parameters of target distribution. The projection scenarios were shown for 3 different periods of FF scenario (Foreseeable Future Scenario, 2011~2040 yr), MF scenario (Mid-term Future Scenario, 2041~2070 yr), LF scenario (Long-term Future Scenario, 2071~2100 yr). The trend test for the annual precipitation projection using NSQM shows 330.1 mm (25.2%), 564.5 mm (43.1%), and 634.3 mm (48.5%) increase for FF, MF, and LF scenarios, respectively. The application of stationary scheme shows overestimated projection for FF scenario and underestimated projection for LF scenario. This problem could be improved by applying nonstationary quantile mapping.

• The Korean Journal of Financial Management
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• v.23 no.1
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• pp.49-67
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• 2006

This study examines whether won/dollar futures have price discovery function and volatility spillover effect or not, using intraday won/dollar futures prices, volumes, and spot rates for the interval from March 2, 2005 through May 30, 2005. Futures prices and spot rates are non-stationary, but there is the cointegration relationship between two time series. Futures returns, spot returns, and volumes are stationary. Asymmetric effects on volatility in futures returns and spot returns does not exist. Analytical results of mean equations of the BGARCH-EC (bivariate GARCH-error correction) model show that the increase of futures returns raise spot returns after 5 minutes, which implies that futures returns lead spot returns and won/dollar futures have price discovery function. In addition, the long-run equilibrium relationship between the two returns could help forecast spot returns. Analytical results of variance equations indicate that short-run innovations in the futures market positively affect the conditional variances of spot returns, that is, there is the volatility spillover effect in the won/dollar futures market. A dummy variable of volumes does not have an effect on two returns but influences significantly on two conditional variances.

• Journal of Astronomy and Space Sciences
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• v.30 no.2
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• pp.79-82
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• 2013

We present the Hilbert-Huang transform (HHT) analysis on the quasi-periodic modulation of SMC X-1. SMC X-1, consisting of a neutron star and a massive companion, exhibits superorbital modulation with a period varying between ~40 d and ~65 d. We applied the HHT on the light curve observed by the All-Sky Monitor onboard Rossi X-ray Timing Explorer (RXTE) to obtain the instantaneous frequency of the superorbital modulation of SMC X-1. The resultant Hilbert spectrum is consistent with the dynamic power spectrum while it shows more detailed information in both the time and frequency domains. According to the instantaneous frequency, we found a correlation between the superorbital period and the modulation amplitude. Combining the spectral observation made by the Proportional Counter Array onboard RXTE and the superorbital phase derived in the HHT, we performed a superorbital phase-resolved spectral analysis of SMC X-1. An analysis of the spectral parameters versus the orbital phase for different superorbital states revealed that the diversity of $n_H$ has an orbital dependence. Furthermore, we obtained the variation in the eclipse profiles by folding the All Sky Monitor light curve with orbital period for different superorbital states. A dip feature, similar to the pre-eclipse dip of Her X-1, can be observed only in the superorbital ascending and descending states, while the width is anti-correlated with the X-ray flux.

• Journal of the Korean earth science society
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• v.30 no.6
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• pp.692-698
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• 2009

Wavelet transform has been widely used in terms that it may overcome the shortcoming of conventional Fourier transform. Fourier transform has its difficulty to explain how the transformed domain, frequency, is related with time. Traditional semblance technique in Fourier transform was devised to compare two time series on the basis of their phase as a function of frequency. But this method is known not to work well for the non-stationary signal. In this study, we present two applications of the wavelet-based semblance method to geophysical data. Firstly, we show filtered geomagnetic signal remained with components of high correlation to each observatory. Secondly, highly correlated residual signal of gravity and magnetic survey data, which are also filtered by this semblance method, is present.

• The Korean Journal of Applied Statistics
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• v.34 no.1
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• pp.75-98
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• 2021

This paper compares three statistical models that examine the relationship between national and provincespecific fertility rates. The three models are two of the regression models and a cointegration model. The regression model is by substituting Gompit transformation for the cumulative fertility rate by the average for ten years, and this model applies the raw data without transformation of the fertility data. A cointegration model can be considered when fitting the unstable time series of fertility rate in probability process. This paper proposes the following when it is intended to derive the relation of non-stationary fertility rate between the national and provinces. The cointegrated relationship between national and regional fertility rates is first derived. Furthermore, if this relationship is not significant, it is proposed to look at the national and regional fertility rate relationships with a regression model approach using raw data without transformation. Also, the regression model method of substituting Gompit transformation data resulted in an overestimation of fertility rates compared to other methods. Finally, Seoul, Busan, Daegu, Incheon, Gwangju, Daejeon and Gyeonggi province are expected to show a total fertility rate of 1.0 or less from 2025 to 2030, so an urgent and efficient policy to raise this level is needed.

• Journal of Korea Trade
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• v.23 no.5
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• pp.87-101
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• 2019

Purpose - This paper examines the effectiveness of the foreign exchange risk insurance system in the promotion of SME exports in Korea. The purpose of this study is to analyze the short-term and long-term responses of SME exports to foreign exchange risk insurance support policies. Based on these empirical studies, we would like to present some operational improvements to the operation of the foreign exchange risk insurance system. Design/methodology - In order to analyze the effect of exchange risk insurance on the exports of SMEs, a VAR model consisting of foreign exchange risk insurance underwriting values, export relative price, and domestic demand pressure, including export volume, was established. The study began with tests of the stationarity of time series data. The unit root tests showed that all concerned variables were non-stationary. Accordingly, the results of the cointegration test showed that the tested variables are not cointegrated. Finally, an impulse response function and variance decomposition analysis were conducted to analyze the impulse of foreign exchange risk insurance on exports of SMEs. Findings - As a result of estimating the VAR (1) model, foreign exchange risk insurance was found to be significant at a 1% significance level for SME' export promotion. In the impulse response analysis, SMEs' export response to the impulse of foreign exchange risk insurance showed that exports gradually increased until the third quarter, and then slowed down. However, the impulse did not disappear, and appeared continuously. Originality/value - This study analyzed the effect of foreign exchange insurance on exports of SMEs by applying the VAR model. In particular, this study is the first to analyze the short-term and long-term effects of foreign exchange risk insurance on exports of SMEs. The empirical evidence in the current study have a policy implication for the policy authority to support and promote the foreign exchange risk insurance in the effect of exchange rate volatility on Korea' export SMEs.

• Journal of Navigation and Port Research
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• v.46 no.3
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• pp.280-288
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• 2022

This study examined the diagnostics of abnormalities and faults of equipment, whose rotational speed changes even during regular operation. The purpose of this study was to suggest a procedure that can properly apply machine learning to the time series data, comprising non-stationary characteristics as the rotational speed changes. Anomaly and fault diagnosis was performed using machine learning: k-Nearest Neighbor (k-NN), Support Vector Machine (SVM), and Random Forest. To compare the diagnostic accuracy, an autoencoder was used for anomaly detection and a convolution based Conv1D was additionally used for fault diagnosis. Feature vectors comprising statistical and frequency attributes were extracted, and normalization & dimensional reduction were applied to the extracted feature vectors. Changes in the diagnostic accuracy of machine learning according to feature selection, normalization, and dimensional reduction are explained. The hyperparameter optimization process and the layered structure are also described for each algorithm. Finally, results show that machine learning can accurately diagnose the failure of a variable-rotation machine under the appropriate feature treatment, although the convolution algorithms have been widely applied to the considered problem.