• 응용통계연구
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• 제24권6호
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• pp.1197-1211
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• 2011

The actual power performance of historical structural change tests are compared under various alternatives. The tests of interest are F, CUSUM, MOSUM, Moving Estimates and empirical distribution function tests with both recursive and ordinary least-squares residuals. Our comparison of the structural tests involves limiting distributions under the hypothesis, the ability to detect the alternative hypotheses under one or double structural change, and smooth change in parameters. Even though no version is uniformly superior to the other, the knowledge about the properties of those tests and connections between these tests can be used in practical structural change tests and in further research on other change tests.

• 응용통계연구
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• 제26권1호
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• pp.1-14
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• 2013

미국 달러에 대한 한국원화의 17년간 일별 원/달러 환율 시계열 데이터에 대하여 정상 시계열 ARIMA 모형과 변동성을 포함한 시계열 모형인 ARIMA+IGARCH 모형을 적합하여 비교하고 예측을 실시하였다. 또한 환율 데이터에 구조변화가 있어 보이므로 선형구조를 포함한 구조 변화 모형과 자기상관 구조를 포함한 구조 변화 모형을 이용하여 변화점을 추정하고자 한다.

• Journal of the Korean Data and Information Science Society
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• 제28권4호
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• pp.889-898
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• 2017

In this research multiple change-points estimation for South Korean electricity generation data is considered. We analyze the South Korean electricity data via deterministically trending dynamic time series model with multiple structural changes in trends in a Bayesian approach. The number of change-points and the timing are unknown. The goal is to find the best model with the appropriate number of change-points and the length of the segments. A genetic algorithm is implemented to solve this optimization problem with a variable dimension of parameters. We estimate the structural change-points for South Korean electricity generation data and Nile River flow data additionally.

• 한국경영과학회지
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• 제12권1호
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• pp.19-26
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• 1987

In analyzing time series, estimating the level or the current mean of the process plays an important role in understanding its structure and in being able to make forecasts. The studies the class of time series models where the level of the process is assumed to follow a random walk and the deviation from the level follow an ARMA process. The estimation and forecasting problem in a Bayesian framework and uses the Kalman filter to obtain forecasts based on estimates of level. In the analysis of time series, we usually make the assumption that the time series is generated by one model. However, in many situations the time series undergoes a structural change at one point in time. For example there may be a change in the distribution of random variables or in parameter values. Another example occurs when the level of the process changes abruptly at one period. In order to study such problems, the assumption that level follows a random walk process is relaxed to include a major level change at a particular point in time. The major level change is detected by examining the likelihood raio under a null hypothesis of no change and an alternative hypothesis of a major level change. The author proposes a method for estimation the size of the level change by adding one state variable to the state space model of the original Kalman filter. Detailed theoretical and numerical results are obtained for th first order autoregressive process wirth level changes.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제15권2호
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• pp.151-160
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• 2011

Typically, it is hard to find a closed form solution of option pricing formula under an asset governed by a change point process. In this paper we derive a closed-form solution of the valuation function for an American perpetual put option under an asset having a change point. Structural changes are formulated through a change-point process with a Markov chain. The modified smooth-fit technique is used to obtain the closed-form valuation function. We also guarantee the optimality of the solution via the proof of a corresponding verification theorem. Numerical examples are included to illustrate the results.

• 한국지구물리탐사학회:학술대회논문집
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• 한국지구물리탐사학회 2003년도 Proceedings of the international symposium on the fusion technology
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• pp.669-675
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• 2003

This paper examines structural breaks and asymmetries of prices of four domestic petroleum products, i.e., gasoline, kerosene, diesel, and bunker-C, following the changes in the pricing policies pertaining to petroleum products in Korea from the government-controlled pricing system to the market pricing system. We use the monthly wholesale market price data for the sample period between July 1988 and December 2001. Using the four methods: the Chow test, the CUSUM/CUSUMQ tests, the Bayesian approach and the Dufour test, the structural behaviors of the petroleum product prices are examined. We found that structural change occurred in all petroleum products, with the exception of Kerosene, at the point of pricing policy change from government-controlled to the spot-price related pricing system. We, also conducted asymmetric analysis using the Borenstein, Cameron, and Gilbert (1997)'s model and found evidences of price asymmetry for all four product types, but in different pattern for each product.

• 한국실내디자인학회논문집
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• 제16권1호
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• pp.48-55
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• 2007

Proceedings in a new field of sciences and technologies like genetic engineering challenge to conventional concepts. It demonstrates a certain disappearance in conventional concepts that dominants our perceptions, such as organic, mechanical, and dichotomic concept of informative materials, and that is to be extended as a potential possibility. Then, what is a new space where our bodies that feel and cherish in their mind should live in these days as well as it makes senses by itself and should affect the principle that makes worlds? In addition, this study proposes a frame in the analysis in order to understand a section of modern designs with the question of 'what is the change in the relationship between relative structures in spaces and objects from a design point of view according to new structural concepts of body?' The major point of this analysis can be realized based on the assumption of the extension of the characteristics in the change of structural relationship in the aspect of post structuralism that includes non-structuralized relationship represented in modern philosophy, arts, and architectural works. Then, it can be accomplished as positive ideas in the foundation of space designs in future including the understand of 'new structural relationship' that can't be expressed as rationality and causal sequence by considering how the experiment conducted using several topics on body can be projected onto spaces through the process applied in the experiment.

• 건축역사연구
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• 제28권2호
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• pp.31-40
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• 2019

Considering the situation in the early 20th century when the existing urban system centered on urban areas began to change, the biggest factors causing urban structural changes in urban areas are construction of railroad and urban dismantling. The change process of Eupseong, in the microscopic viewpoint, can be understood as a process of change in the course of dismantlement of town's demarcation, improvement of accessibility and urban expansion due to the construction of railroads, process of urban expansion following the crumbling boundaries and structural changes. This study aimed to look at the transformation process of the Eupseong in the early 20th century, focusing on the demolition of the castle and the railway construction from a microscopic point of view of city.

• 한국소음진동공학회:학술대회논문집
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• 한국소음진동공학회 2005년도 춘계학술대회논문집
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• pp.128-131
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• 2005

Structural Dynamics Modification (SDM) is a very effective technique to improve structure's dynamic characteristics by adding or removing auxiliary structures. changing material properties and shape of structure. Among those of SDM technique, the method to change shape of structure has been mostly relied on engineer's experience and trial-and-error process which are very time consuming. In order to develop a systematic method to change structure shape, surface grooving technique is studied and successfully applied to HDD cover model. To check the effectiveness of this surface grooving technique, the grooved HDD cover design was manufactured using rapid prototyping and experimentally tested to prove the effectiveness of the grooving method as one of SDM techniques. And the modal strain energy and eigenvalue sensitivity method for choosing the initial starting point are compared.

• 한국생산제조학회지
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• 제8권5호
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• pp.90-95
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• 1999

Chucking for workpieces is very important for productivity and efficiency in lathe operations. In point of productivity top jaws of the chuck should be changed as quickly as possible in order to reduce idle times wherever workpieces are regripped. A quick change power chuck which can change top jaws quickly by using a jaw change handle without any assembly/disassembly processes of screws is analyzed for this study. strength and stiffness of top jaws by centrifugal force are considered for the design. Structural analysis for the chuck is executed and the finite element method is introduced using MSC/NASTRAN software. Also, the performance of the chuck is evaluated by experiments.