• The Korean Journal of Financial Management
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• v.20 no.2
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• pp.95-126
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• 2003

This paper introduces multifractal processes and presents the empirical investigation of the multifractal asset pricing. The multifractal stock price process contains long-tails which focus on Levy-Stable distributions. The process also contains long-dependence, which is the characteristic feature of fractional Brownian motion. Multifractality introduces a new source of heterogeneity through time-varying local reqularity in the price path. This paper investigates multifractality in stock prices. After finding evidence of multifractal scaling, the multifractal spectrum is estimated via the Legendre transform. The distinguishing feature of the multifractal process is multiscaling of the return distribution's moments under time-resealing. More intensive study is required of estimation techniques and inference procedures.

• 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.

• Journal of Korea Water Resources Association
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• v.36 no.3 s.134
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• pp.345-363
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• 2003

From the General Circulation Models(GCMs), it is known that the increases of concentrations of greenhouse gases will have significant implications for climate change in global and regional scales. The GCM has an uncertainty in analyzing the meteorologic processes at individual sites and so the 'downscaling' techniques are used to bridge the spatial and temporal resolution gaps between what, at present, climate modellers can provide and what impact assessors require. This paper describes a method for assessing local climate change impacts using a robust statistical downscaling technique. The method facilitates the rapid development of multiple, low-cost, single-site scenarios of daily surface weather variables under current and future regional climate forcing. The construction of climate change scenarios based on spatial regression(transfer function) downscaling and on the use of a local stochastic weather generator is described. Regression downscaling translates the GCM grid-box predictions with coarse resolution of climate change to site-specific values and the values were then used to perturb the parameters of the stochastic weather generator in order to simulate site-specific daily weather values. In this study, the global climate change scenarios are constructed using the YONU GCM control run and transient experiments.

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.28 no.4
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• pp.191-201
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• 2016

A stochastic process has been used to develop a condition-based model for preventive maintenance of armor units of rubble-mound breakwaters that can make a decision the optimal interval at which some repair actions should be performed under the perfect maintenance. The proposed cost model in this paper based on renewal reward process can take account of the interest rate, also consider the unplanned maintenance cost which has been treated like a constant in the previous studies to be a time-dependent random variable. A function for the unplanned maintenance cost has been mathematically proposed so that the cumulative damage, serviceability limit and importance of structure can be taken into account, by which a age-based maintenance can be extended to a condition-based maintenance straightforwardly. The coefficients involved in the function can also be properly estimated using a method expressed in this paper. Two stochastic processes, Wiener process and gamma process have been applied to armor stones of rubble-mound breakwaters. By evaluating the expected total cost rate as a function of time for various serviceability limits, interest rates and importances of structure, the optimal period of preventive maintenance can easily determined through the minimization of the expected total cost rate. For a fixed serviceability limit, it shows that the optimal period has been delayed while the interest rate increases, so that the expected total cost rate has become lower. In addition, the gamma process tends to estimate the optimal period more conservatively than the Wiener process. Finally, it is found that the more crucial the level of importance of structure becomes, the more often preventive maintenances should be carried out.

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.24 no.5
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• pp.305-318
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• 2012

Although the existing performance-based design method for the vertical breakwater evaluates an average sliding distance during an arbitrary time, it does not calculate the probability of the first occurrence of an event exceeding an allowable sliding distance(i.e. the first-passage probability). Designers need information about the probability that the structure is damaged for the first time for not only design but also maintenance and operation of the structure. Therefore, in this study, a time-dependent reliability design method based on a stochastic process is developed to evaluate the first-passage probability of caisson sliding. Caisson sliding can be formulated by the Poisson spike process because both occurrence time and intensity of severe waves causing caisson sliding are random processes. The occurrence rate of severe waves is expressed as a function of the distribution function of sliding distance and mean occurrence rate of severe waves. These values simulated by a performance-based design method are expressed as multivariate regression functions of design variables. As a result, because the distribution function of sliding distance and the mean occurrence rate of severe waves are expressed as functions of significant wave height, caisson width, and water depth, the first-passage probability of caisson sliding can be easily evaluated.

• Journal of Ecology and Environment
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• v.41 no.8
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• pp.223-234
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• 2017

Background: Spatial structure of plants in a population reflects complex interactions of ecological and evolutionary processes. For dioecious plants, differences in reproduction cost between sexes and sizes might affect their spatial distribution. Abiotic heterogeneity may also affect adaptation activities, and result in a unique spatial structure of the population. Thus, we examined sex- and size-related spatial distributions of old-growth forest of dioecious tree Torreya nucifera in extremely heterogeneous Gotjawal terrain of Jeju Island, South Korea. Methods: We generated a database of location, sex, and size (DBH) of T. nucifera trees for each quadrat ($160{\times}300m$) in each of the three sites previously defined (quadrat A, B, C in Site I, II, and III, respectively). T. nucifera trees were categorized into eight groups based on sex (males vs. females), size (small vs. large trees), and sex by size (small vs. large males, and small vs. large females) for spatial point pattern analysis. Univariate and bivariate spatial analyses were conducted. Results: Univariate spatial analysis showed that spatial patterns of T. nucifera trees differed among the three quadrats. In quadrat A, individual trees showed random distribution at all scales regardless of sex and size groups. When assessing univariate patterns for sex by size groups in quadrat B, small males and small females were distributed randomly at all scales whereas large males and large females were clumped. All groups in quadrat C were clustered at short distances but the pattern changed as distance was increased. Bivariate spatial analyses testing the association between sex and size groups showed that spatial segregation occurred only in quadrat C. Males and females were spatially independent at all scales. However, after controlling for size, males and females were spatially separated. Conclusions: Diverse spatial patterns of T. nucifera trees across the three sites within the Torreya Forest imply that adaptive explanations are not sufficient for understanding spatial structure in this old-growth forest. If so, the role of Gotjawal terrain in terms of creating extremely diverse microhabitats and subsequently stochastic processes of survival and mortality of trees, both of which ultimately determine spatial patterns, needs to be further examined.

• The KIPS Transactions:PartC
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• v.10C no.7
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• pp.899-914
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• 2003

It is generally accepted that self-similar (or fractal) processes may provide better models for teletraffic in modern telecommunication networks than Poisson Processes. If this is not taken into account, it can lead to inaccurate conclusions about performance of telecommunication networks. Thus, an important requirement for conducting simulation studies of telecommunication networks is the ability to generate long synthetic stochastic self-similar sequences. Three generators of pseudo-random self-similar sequences, based on the FFT〔20〕, RMD〔12〕 and SRA methods〔5, 10〕, are compared and analysed in this paper. Properties of these generators were experimentally studied in the sense of their statistical accuracy and times required to produce sequences of a given (long) length. While all three generators show similar levels of accuracy of the output data (in the sense of relative accuracy of the Horst parameter), the RMD- and SRA-based generators appear to be much faster than the generator based on FFT. Our results also show that a robust method for comparative studies of self-similarity in pseudo-random sequences is needed.

• The KIPS Transactions:PartC
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• v.12C no.2 s.98
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• pp.281-288
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• 2005

It is generally accepted that self-similar (or fractal) Processes may provide better models for teletraffic in modem computer networks than Poisson processes. f this is not taken into account, it can lead to inaccurate conclusions about performance of computer networks. Thus, an important requirement for conducting simulation studies of telecommunication networks is the ability to generate long synthetic stochastic self-similar sequences. A generator of pseudo-random self similar sequences, based on the SRA (successive random addition) method, is implemented and analysed in this paper. Properties of this generator were experimentally studied in the sense of its statistical accuracy and the time required to produce sequences of a given (long) length. This generator shows acceptable level of accuracy of the output data (in the sense of relative accuracy of the Hurst parameter) and is fast. The theoretical algorithmic complexity is O(n).

• Proceedings of the Korean Society of Precision Engineering Conference
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• 2005.10a
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• pp.748-753
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• 2005

Among processes to manufacture parts from footwear materials like upper leathers, one of the most essential processes is the cutting one optimally arranging lots of parts on raw footwear materials and cutting. A new nesting strategy was proposed for the 2-dimensional part layout by using a two-stage approach, where which can be effectively used for water jet cutting. In the initial layout stage, a SOAL(Self-Organization Assisted Layout) based on the combination of FCM(Fuzzy C-Means) and SOM was adopted. In the layout improvement stage, SA(Simulated Annealing) based approach was adopted for a finer layout. The proposed approach saves much CPU time through a two-stage approach scheme, while other annealing-based algorithm so far reported fur a nesting problem are computationally expensive. The proposed nesting approach uses the stochastic process, and has a much higher possibility to obtain a global solution than the deterministic searching technique. We developed the automatic nesting software of NST(ver.1.1) software for footwear industry by implementing of these proposed algorithms. The NST software was applied by the optimized automatic arrangement algorithm to cut without the loss of leathers. if possible, after detecting damage areas. Also, NST software can consider about several features in not only natural loathers but artificial ones. Lastly, the NST software can reduce a required time to implement generation of NC code. cutting time, and waste of raw materials because the NST software automatically performs parts arrangement, cutting paths generation and finally NC code generation, which are needed much effect and time to generate them manually.

• Journal of Ecology and Environment
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• v.44 no.4
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• pp.241-255
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• 2020

Background: The stem exclusion stage is a stage of forest development that is important for understanding the subsequent understory reinitiation stage and maturation stage during which horizontal heterogeneity is formed. Over the past 11 years (2009-2019), we observed a deciduous broad-leaved forest in the Albongbunji Basin in Ulleungdo, South Korea in its stem exclusion stage, where Fagus engleriana (Engler's beech) is the dominant species, thereby analyzing the changes in the structure (density and size distributions), function (biomass and species richness), and demographics. Results: The mean stem density data presented a bell-shaped curve with initially increasing, peaking, and subsequently decreasing trends in stem density over time, and the mean biomass data showed a sigmoidal pattern indicating that the rate of biomass accumulation slowed over time. Changes in the density and biomass of Fagus engleriana showed a similar trend to the changes in density and biomass at the community level, which is indicative of the strong influence of this species on the changing patterns of forest structure and function. Around 2015, a shift between recruitment and mortality rates was observed. Deterministic processes were the predominant cause of tree mortality in our study; however, soil deposition that began in 2017 in some of the quadrats resulted in an increase in the contribution of stochastic processes (15% in 2019) to tree mortality. The development of horizontal heterogeneity was observed in forest gaps. Conclusions: Our observations showed a dramatic shift between the recruitment and mortality rates in the stem exclusion stage, and that disturbance increases the uncertainty in forest development increases. The minor changes in species composition are likely linked to regional species pool and the limited role of the life-history strategy of species such as shade tolerance and habitat affinity. Our midterm records of ecological succession exhibited detailed demographic dynamics and contributed to the improvement of an ecological perspective in the stem exclusion stage.