• The Korean Journal of Applied Statistics
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• v.28 no.2
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• pp.175-188
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• 2015

This study is about estimation methods for the population pharmacokinetic and pharmacodymic model. This is a nonlinear mixed effect model, and it is difficult to find estimates of parameters because of nonlinearity. In this study, we examined theoretical background of various estimation methods provided by NONMEM, which is the most widely used software in the pharmacometrics area. We focused on estimation methods using a stochastic sampling approach - IMP, IMPMAP, SAEM and BAYES. The SAEM method showed the best performance among methods, and IMPMAP and BAYES methods showed slightly less performance than SAEM. The major obstacle to a stochastic sampling approach is the running time to find solution. We propose new approach to find more precise initial values using an ITS method to shorten the running time.

• International Journal of Reliability and Applications
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• v.4 no.1
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• pp.1-12
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• 2003

Many software reliability growth models (SRGM's) based on a nonhomogeneous Poisson process (NHPP) have been proposed by many researchers. Most of the SRGM's which have been proposed up to the present treat the event of software fault-detection in the testing and operational phases as a counting process. However, if the size of the software system is large, the number of software faults detected during the testing phase becomes large, and the change of the number of faults which are detected and removed through debugging activities becomes sufficiently small compared with the initial fault content at the beginning of the testing phase. Therefore, in such a situation, we can model the software fault-detection process as a stochastic process with a continuous state space. In this paper, we propose a new software reliability growth model describing the fault-detection process by applying a mathematical technique of stochastic differential equations of an Ito type. We also compare our model with the existing SRGM's in terms of goodness-of-fit for actual data sets.

• Journal of Korea Port Economic Association
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• v.38 no.4
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• pp.13-23
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• 2022

In this study, from January 2015 to April 2020, we propose a stochastic volatility model to capture the leverage effect on daily freight yields in the dry cargo market and analyze the freight yields. Estimation involving the Bayesian Markov Chain Monte Carlo method for the leverage effect based on the negative correlation that exists between returns and volatility in stochastic volatility analysis yields similar estimates, and the statistcs indicates significant. That is, the results of the empirical analysis show that the degree of correlation between returns and volatility, and the magnitude and sign of fluctuations differ, which suggests that taking into account the leverage effect in the SV model improves the goodness of fit of the estimates. In addition to the statistical significance of the estimated model's leverage effect, the analysis by log predictive power score presents the estimated results with improved predictive power of the model considering the leveraged effect. These astatistically significant empirical results show that the stochastic volatility model considering the leverage effect is important for freight rate risk modeling in the marine industry.

• Transactions of the Korean Society of Mechanical Engineers A
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• v.39 no.1
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• pp.63-69
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• 2015

The primary aim of this paper is to evaluate the probabilistic fatigue crack propagation models using the residual of a random variable and to present the probabilistic model fit for the probabilistic fatigue crack growth behavior in Mg-Al-Zn alloys under maximum load conditions. The models used in this study were prepared by applying a random variable to empirical fatigue crack propagation models such as the Paris-Erdogan model, Walker model, Forman model, and modified Forman model. It was verified that the good models for describing the stochastic variation of the fatigue crack propagation behavior in Mg-Al-Zn alloys under maximum load conditions were the 'probabilistic Paris-Erdogan model' and 'probabilistic Walker model'. The influence of the maximum load conditions on the stochastic variation of fatigue crack growth is also considered.

• Journal of Korea Society of Industrial Information Systems
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• v.12 no.2
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• pp.16-23
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• 2007

Tandem queueing systems well suit for modeling many telecommunication systems. Recently, very general $BMAP/G/1/N/1{\to}{\bullet}/PH/1/M-1$ type tandem queues were constructively studied. In this paper we illustrate application of the obtained results for optimization of a buffer pool design.

• Journal of the Korean Statistical Society
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• v.21 no.2
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• pp.139-151
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• 1992

Simultaneous confidence intervals for the parameters in the logistic regression models with random regressors are considered. A method based on the bootstrap and its stochastic approximation will be developed. A key idea in using the bootstrap method to construct simultaneous confidence intervals is the concept of prepivoting which uses the transformation of a root by its estimated cumulative distribution function. Repeated use of prepivoting makes the overall coverage probability asymptotically correct and the coverage probabilities of the individual confidence statement asymptotically equal. This method is compared with ordinary asymptotic methods based on Scheffe's and Bonferroni's through Monte Carlo simulation.

• Communications for Statistical Applications and Methods
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• v.21 no.4
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• pp.327-334
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• 2014

Various modified GARCH(1, 1) models have been found adequate in many applications. We are interested in their continuous time versions and limiting properties. We first define a stochastic integral that includes useful continuous time versions of modified GARCH(1, 1) processes and give sufficient conditions under which the process is exponentially ergodic and ${\beta}$-mixing. The central limit theorem for the process is also obtained.

• Communications for Statistical Applications and Methods
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• v.4 no.3
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• pp.795-805
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• 1997

In this paper, we consider a Bayesian forecasting method for the analysis of repeated surveys. It is assumed that the parameters of the superpopulation model at each time follow a stochastic model. We propose Bayesian prediction procedures for the finite population total under dynamic generalized linear models. Some numerical studies are provided to illustrate the behavior of the proposed predictors.

• Journal of the military operations research society of Korea
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• v.16 no.2
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• pp.29-42
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• 1990

This paper describes a Battle Group Combat Simulation Model (called 'BAGSIM'). BAGSIM is developed to be used as an experimental tool for studies about combat modelling at battle group level. Thus it takes many of the parameters and situations into consideration at this level, and it is designed to be easily adapted to represent equivalent situations to the other more aggregated models. Further the main processes occurring in its simulation procedure such as target detection process, target selection process, firing and killing processes are verified by comparison with the existing stochastic duel models.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2003.05a
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• pp.1042-1047
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• 2003

Due to the Importance of lead time demand in the design of Inventory management systems. researchers and practitioners have paid continuous attention and a few analytic models using the compound distribution approach have been reported. However, since the nature or compound distributions is hardly amenable. the analytic models have been done by non-recognition of the compound nature or some components to reduce the analytic task. This study concerns some of the important aspects in the analytic models. Through the theoretic examination of the analytic model approach and the comparison with the rigid compound stochastic process approach. this study clarifies the assumptions implicitly made by the analytic models and provides some precautions in using the analytic models.