• Journal of Korea Water Resources Association
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• v.30 no.2
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• pp.155-163
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• 1997

In this study, drought analysis of annual flows of Jindong, Hyunpoong, and Waekwan stations located at Nakdong River Basins was performed based on multivariate stochastic models. The stochastic models used were multivariate autoregressive model (MAR) and multivariate contemporaneous (MCAR) model. MCAR(1) and MAR(1) models were selected to be a appropriate models for these stations based on skewness test of normality, test of uncorrelated residuals, and correlograms of the residual series of each model. The statistics generated by MCAR(1) model and MAR(1) model resembled very closely those computed from historical series. The drought characteristics such as run len호, run sum, and run intensity were fairly well reproduced for the various lengths of generated annual flows based on the MCAR(1) and MAR(1) models. Thus, these drought characteristics may give the important informations in planning mid or long term water supplying systems.

• Asia-Pacific Journal of Business
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• v.6 no.2
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• pp.1-17
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• 2015

This study compares the most widely used parametric and non-parametric techniques to measure cost and profit efficiency of banks, namely the Stochastic Frontier Analysis (SFA) and Data Envelopment Analysis (DEA). We formulate the specification form of both stochastic cost and profit frontier models and constant return to scale Cost DEA and Profit DEA models and provide an empirical assessment of the cost and profit frontiers based on a panel dataset of National Commercial Banks (NCBs) and Private Banks (PBs) in Bangladesh over the 2001-2010 period. The cost inefficiency and profit efficiency are slightly higher for PBs than NCBs in case of both SFA and DEA. The coefficients of advance and off-balance sheet items are significant that positively influence the banks in stochastic cost frontier model while the advance, other earning assets, price of borrowed fund are significant and negative effects on the banks in stochastic profit frontier model. The average cost inefficiency and average profit efficiency are recorded with 16.3% and 91% respectively. The highest and lowest cost inefficiency are observed for Janata Bank and United Commercial Bank Limited whilst the highest and lowest profit efficiency are recorded for Eastern Bank Limited and Janata Bank respectively. The average technical and allocative efficiency are 68.8% and 35.9%, respectively in case of CRS cost-DEA model whereas they are 70.3% and 31.8% in case of CRS profit-DEA model. The average cost inefficiency is recorded 6.3% by SFA whereas it is 24.5% by DEA. The average profit efficiency is found 91% by SFA while it is 22.1% by DEA, and SFA method shows better bank efficiency than DEA.

• The Korean Journal of Financial Management
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• v.22 no.2
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• pp.43-69
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• 2005

This study provides empirical evidence that the stochastic beta model based on Bayesian analysis outperforms the existing conditional beta model and GARCH model in terms of the estimation accuracy and the explanatory power in the cross-section of stock returns in Korea. Betas estimated by the stochastic beta model explain $30{\sim}50%$ of the cross-sectional variation in stock-returns, whereas other time-varying beta models account for less than 3%. Such a difference in explanatory power across models turns out to come from the fact that the stochastic beta model absorbs the variation due to the market anomalies such as size, BE/ME, and idiosyncratic volatility. These results support the rational asset pricing model in that market anomalies are closely related to the variation of expected returns generated by time-varying betas.

• Journal of Mechanical Science and Technology
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• v.19 no.8
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• pp.1582-1596
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• 2005

Groundwater flow and behavior have to be investigated based on heterogeneous subsurface formation since the homogeneity assumption of this formation is not valid. Over the past twenty years, stochastic approach and Monte Carlo technique have been utilized very efficiently to understand the groundwater flow behavior. However, these techniques require lots of computational and numerical efforts according to the various researchers' comments. Therefore, utilizing new techniques with much less computational efforts such as Artificial Neural Network (ANN) in the prediction of the stochastic behavior for the groundwater based on heterogeneous subsurface formation is highly appreciated. The current paper introduces the ANN technique to investigate and predict the stochastic behavior of a well draw down in a confined aquifer based on subsurface heterogeneous hydraulic conductivity. Several ANN models are developed in this research to predict the unsteady two dimensional well draw down and its stochastic characteristics in a confined aquifer. The results of this study showed that ANN method with less computational efforts was very efficiently capable of simulating and predicting the stochastic behavior of the well draw down resulted from the continuous constant pumping in the middle of a confined aquifer with subsurface heterogeneous hydraulic conductivity.

• Journal of the Korea Society for Simulation
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• v.1 no.1
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• pp.77-86
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• 1992

In this paper, we study validation test methods of DEVSA(Descrete Event system Specification) models using SPN(Stochastic Petri Net) models. We discuss conventional validation test methods, by which DEVS models can be transformed to SPN models, by reviewing the features of DEVS model. Based on the model transformation method, we define a new homogeneous function for validation test and suggest a new validation test method of DEVS models using the property of SPN models and the new homogeneous function.

• ETRI Journal
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• v.34 no.6
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• pp.858-868
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• 2012

In this paper, stochastic models for the cross-correlation of multiple channels are established based on measurement data collected using a wideband multiple-input multiple-output relay Band Exploration and Channel Sounder system at 3.7 GHz. We propose models for the cross-correlation characteristics of large-scale parameters (LSPs) between two links, that is, the base station and mobile station (MS) link and the relay station and MS link. The LSPs include shadow fading, Rician K-factor, delay spread, angle spread of arrival, and angle spread of departure. Furthermore, models are established for the cross-correlation of the small-scale fading in the impulse responses of two links. The statistics of these model parameters are investigated as functions of geometrical features of the multilink. They are extracted from a large amount of cross-correlation observations, which are obtained in three measurement sites along more than one hundred measurement routes. These models can be used together with the standard single-link channel models for the generation of correlated components, for example, path clusters, in two separate channels.

• Journal of Korean Institute of Industrial Engineers
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• v.5 no.2
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• pp.21-36
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• 1979

Static muscle contractions when prolonged or frequently repeated result in discomfort, fatigue, and musculosketal injuries. An analytic and quantitative model has been developed in order to expand the working knowledge on muscle fatigue. In this paper, three Markov models of muscle fatigue are developed. These models are based on motor unit fatigue-recovery characteristics obtained from information on motor unit behavior as it relates to fatigue and graded exertions. Three successively more realistic models are developed that involve: (1) homogeneous motor units with intensity-dependent fatigue rates and state-independent recovery rates (the HMSI model); (2) homogeneous motor units, intensity-dependent fatigue rates and state-dependent recovery rates (the HMSD model); and (3) non-homogeneous motor units (i.e., Type S and Type F), intensity-dependent fatigue rates and state-dependent recovery rates (the HMSD model). The result indicate that a simple stochastic model provide a means to analyze the complex nature of muscle fatigue in sequential static exertions.

• Proceedings of the Korean Institute of Intelligent Systems Conference
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• 2004.04a
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• pp.515-518
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• 2004

This paper presents a method that improves the performance of the personal voice dialling system in which speaker Independent phoneme HMM's are used. Since the speaker independent phoneme HMM based voice dialing system uses only the phone transcription of the input sentence, the storage space could be reduced greatly. However, the performance of the system is worse than that of the system which uses the speaker dependent models due to the phone recognition errors generated when the speaker Independent models are used. In order to solve this problem, a new method that jointly estimates transformation vectors for the speaker adaptation and transcriptions from training utterances is presented. The biases and transcriptions are estimated iteratively from the training data of each user with maximum likelihood approach to the stochastic matching using speaker-independent phone models. Experimental result shows that the proposed method is superior to the conventional method which used transcriptions only.

• Journal of the Korean Data and Information Science Society
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• v.19 no.4
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• pp.1449-1463
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• 2008

This paper considers three different models with two functional forms, Cobb-Douglas and Translog, for the stochastic frontier production function of food manufacturing industry of Bangladesh over the period 1981-1982 to 1999-2000. The models are proposed by Battese and Coelli (1992, 1995) and Huang and Liu (1994). The technical efficiency, total factor productivity, technological change and technical efficiency change have been estimated in the frontier models. The results indicate that 41.47%, 59.30% and 70.98% of the potential output are being realized in this sector. The mean increments in total factor productivity are approximately 2%, 9% and 4% respectively.

• Proceedings of the Korea Society for Simulation Conference
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• 1999.10a
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• pp.210-216
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• 1999

Todays computer communication technology let people to do many unrealistic things possible and the use of those technologies is becoming increasingly prevalent throughout the military operation. Both DIS and ADS are welled defined computer aided military simulations. This study discusses a simulation of stochastic combat network modeling through Internet. We have developed two separate simulation models, one for clients and another for server, and validated for conducting studies with these two models. The object-oriented design was necessary to define the system entities and their relationship, to partition functionality into system entities, and to transform functional metrics into realizations derived from system component behaviors. Heterogeneous forces for each side are assumed at any battle node. The time trajectories for mean number of survivors at each node, some important combat measures, and relative difference computations between models were made. We observe and may conclude that the differences exist and some fo these are significant based on a limited number of experiments.