• Journal of Korea Water Resources Association
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• v.55 no.12
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• pp.1137-1147
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• 2022

River and groundwater stages are the main elements in the hydrologic cycle. They are spatially correlated and can be used to evaluate hydrological and agricultural drought. Stochastic simulation is often performed independently on hydrological variables that are spatiotemporally correlated. In this setting, interdependency across mutual variables may not be maintained. This study proposes the Bayesian vector autoregression model (VAR) to capture the interdependency between multiple variables over time. VAR models systematically consider the lagged stages of each variable and the lagged values of the other variables. Further, an autoregressive model (AR) was built and compared with the VAR model. It was confirmed that the VAR model was more effective in reproducing observed interdependency (or cross-correlation) between river and ground stages, while the AR generally underestimated that of the observed.

• Atmosphere
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• v.34 no.1
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• pp.55-67
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• 2024

This paper aims to provide a detailed introduction to the concept of the Ratio of Predictable Component (RPC) and the Signal-to-Noise Paradox. Then, we derive insights from them by exploring the paradoxical features by conducting a seasonal and regional analysis through ensemble expansion in KMA's climate prediction system (GloSea). We also provide an explanation of the ensemble generation method, with a specific focus on stochastic physics. Through this study, we can provide the predictability limits of our forecasting system, and find way to enhance it. On a global scale, RPC reaches a value of 1 when the ensemble is expanded to a maximum of 56 members, underlining the significance of ensemble expansion in the climate prediction system. The feature indicating RPC paradoxically exceeding 1 becomes particularly evident in the winter North Atlantic and the summer North Pacific. In the Siberian Continent, predictability is notably low, persisting even as the ensemble size increases. This region, characterized by a low RPC, is considered challenging for making reliable predictions, highlighting the need for further improvement in the model and initialization processes related to land processes. In contrast, the tropical ocean demonstrates robust predictability while maintaining an RPC of 1. Through this study, we have brought to attention the limitations of potential predictability within the climate prediction system, emphasizing the necessity of leveraging predictable signals with high RPC values. We also underscore the importance of continuous efforts aimed at improving models and initializations to overcome these limitations.

• The Korean Journal of Financial Management
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• v.24 no.4
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• pp.1-43
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• 2007

The traditional Black-Scholes model for option pricing is based on the assumption that the log-return of the underlying asset follows a Brownian motion. But this assumption has been criticized for being unrealistic. Thus, for the last 20 years, many attempts have been made to adopt different stochastic processes to derive new option pricing models. The option pricing models based on L$\acute{e}$vy processes are being actively studied originating from the Gerber-Shiu model driven by H. U. Gerber and E. S. W. Shiu in 1994. In 2004, G. H. L. Cheang derived an option pricing model under multiple L$\acute{e}$vy processes, enabling us to adopt drift and jumps to the Gerber-Shiu model, while Gerber and Shiu derived their model under one L$\acute{e}$vy process. We derive the Gerber-Shiu model which includes drift and jumps under L$\acute{e}$vy processes. By adopting a Gamma distribution, we expand the Heston model which was driven in 1993 to include jumps. Then, using KOSPI200 index option data, we analyze the price-fitting performance of our model compared to that of the Black-Scholes model. It shows that our model shows a better price-fitting performance.

• Journal of the Korean earth science society
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• v.32 no.3
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• pp.249-264
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• 2011

A multi-Gaussian kriging approach extended to space-time domain is presented for uncertainty modeling as well as time-series mapping of environmental variables. Within a multi-Gaussian framework, normal score transformed environmental variables are first decomposed into deterministic trend and stochastic residual components. After local temporal trend models are constructed, the parameters of the models are estimated and interpolated in space. Space-time correlation structures of stationary residual components are quantified using a product-sum space-time variogram model. The ccdf is modeled at all grid locations using this space-time variogram model and space-time kriging. Finally, e-type estimates and conditional variances are computed from the ccdf models for spatial mapping and uncertainty analysis, respectively. The proposed approach is illustrated through a case of time-series Particulate Matter 10 ($PM_{10}$) concentration mapping in Incheon Metropolitan city using monthly $PM_{10}$ concentrations at 13 stations for 3 years. It is shown that the proposed approach would generate reliable time-series $PM_{10}$ concentration maps with less mean bias and better prediction capability, compared to conventional spatial-only ordinary kriging. It is also demonstrated that the conditional variances and the probability exceeding a certain thresholding value would be useful information sources for interpretation.

• Journal of Korean Society of Transportation
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• v.26 no.3
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• pp.199-209
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• 2008

This paper is described the concepts and limitations for the traditional directional design hour volume estimation. The main objective of this paper is to establish an estimation method of probabilistic directional design hour volume in order to improve the limitation for the traditional approach method. To express the traffic congestion of specific road segment, this paper proposed the link travel time as the probability that the road capacity can accommodate a certain traffic demand at desired service level. Also, the link travel time threshold was derived from chance-constrained stochastic model. Such successive probabilistic process could determine optimal ranked design hour volume and directional design hour volume. Therefore, the probabilistic directional design hour volume can consider the traffic congestion and economic aspect in road planning and design stage. It is hoped that this study will provide a better understanding of various issues involved in the short term prediction of directional design hourly volume on different types of roads.

• Journal of Advanced Navigation Technology
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• v.5 no.1
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• pp.1-10
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• 2001

Speech has a good characteristics of which car drivers busy to concern with miscellaneous operation can make use in convenient handling and manipulating of devices. By utilizing this, this works proposes a speaker verification method for protecting cars from being stolen and identifying a person trying to access critical on-line services. In this, continuant phonemes recognition which uses language information of speech and MLP(mult-layer perceptron) which has some advantages against previous stochastic methods are adopted. The recognition method, though, involves huge computation amount for learning, so it is somewhat difficult to adopt this in speaker verification application in which speakers should enroll themselves at real time. To relieve this problem, this works presents a solution that introduces speaker cohort models from speaker verification score normalization technique established before, dividing background speakers into small cohorts in advance. As a result, this enables computation burden to be reduced through classifying the enrolling speaker into one of those cohorts and going through enrollment for only that cohort.

• Journal of Korea Water Resources Association
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• v.53 no.7
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• pp.481-491
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• 2020

The development of agricultural land at Saemangeum has required a significant increase in agricultural water use. It has been well acknowledged that salinity plays a critical role in the farming system. Therefore, a systematic study in salinity is necessary to better manage agricultural water. This study aims to develop a stochastic salinity simulation model that simultaneously simulates salinities obtained from different layers. More specifically, this study proposed a two-stage Autoregressive Exgeneous (ARX) model within a hierarchical Bayesian modeling framework. We derived posterior distributions of model parameters and further used them to obtain the predictive posterior distribution for salinities at three different layers. Here, the BIC values are used and compared to determine the optimal model from a set of candidate models. A detailed discussion of the model is provided.

• Journal of the Korea Society for Simulation
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• v.28 no.4
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• pp.21-32
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• 2019

Inspired by the social behavior models of a bird flock or fish school, particle swarm optimization (PSO) is a popular metaheuristic optimization algorithm and has been widely used from solving a complex optimization problem to learning a artificial neural network. However, PSO is difficult to apply to many real-life optimization problems involving stochastic noise, since it is originated in a deterministic environment. To resolve this problem, this paper incorporates a resampling method called the uncertainty evaluation (UE) method into PSO. The UE method allows the particles to converge on the accurate optimal solution quickly in a noisy environment by selecting the particles' global best position correctly, one of the significant factors in the performance of PSO. The results of comparative experiments on several benchmark problems demonstrated the improved performance of the propose algorithm compared to the existing studies. In addition, the results of the case study emphasize the necessity of this work. The proposed algorithm is expected to be effectively applied to optimize complex systems through digital twins in the fourth industrial revolution.

• Journal of radiological science and technology
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• v.41 no.4
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• pp.339-344
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• 2018

Humans received an exposure dose of 2.4 mSv of natural radiation per year, of which the contribution of spacecraft accounts for about 75%. The crew of the aircraft has increased radiation exposure doses based on cosmic radiation safety management regulations There is no reference to air passengers. Therefore, in this study, we measured the radiation exposure dose received in the sky at high altitude during flight, and tried to compare the radiation exposure dose received by ordinary people during flight. We selected 20 sample specimens, including major tourist spots and the capital by continent with direct flights from Incheon International Airport. Using the CARI-6/6M model and the NAIRAS model, which are cosmic radiation prediction models provided at the National Radio Research Institute, we measured the cosmic radiation exposure dose by the selected flight and departure/arrival place. In the case of exposure dose, Beijing was the lowest at $2.87{\mu}Sv$ (NAIRAS) and $2.05{\mu}Sv$ (CARI - 6/6M), New York had the highest at $146.45{\mu}Sv$ (NAIRAS) and $79.42{\mu}Sv$ (CARI - 6/6M). We found that the route using Arctic routes at the same time and distance will receive more exposure dose than other paths. While the dose of cosmic radiation to be received during flight does not have a decisive influence on the human body, because of the greater risk of stochastic effects in the case of frequent flights and in children with high radiation sensitivity Institutional regulation should be prepared for this.

• Communications for Statistical Applications and Methods
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• v.17 no.5
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• pp.697-712
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• 2010

This paper is concerned with the statistical analysis and development of stochastic models for the demand for life insurance policy loans. For these, firstly the characteristics of the regression trend, periodicity and dependence of the monthly demand for life insurance policy loans are investigated by a statistical analysis of the monthly demand data for the years 1999 through 2008. Secondly, the causal relationships between the demand for life insurance policy loans and the economic variables including unemployment rate and inflation rate for the period are investigated. The results show that inflation rate is main factor influencing policy loan demands. The overall evidence, however, failed to establish unidirectional causality relationships between the demand series and the other variables under study. Finally, based on these, univariate time series model and transfer function model where the demand series is related to one input series are derived, respectively, for the prediction of the demand for life insurance policy loans. A statistical procedure for using the model to predict the demand for life insurance policy loans is also proposed.