• Journal of the Korean Data and Information Science Society
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• v.24 no.6
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• pp.1477-1488
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• 2013

In this study, we analyze the dependence structure of KOSPI and NYSE indices based on a two-step estimation procedure. In the rst step, we adopt ARMA-GARCH models with Gaussian mixture innovations for marginal processes. In the second step, time-varying copula parameters are estimated. By using these, we measure the dependence between the two returns with Kendall's tau and Spearman's rho. The two dependence measures for various copulas are illustrated.

• Journal of KIISE:Information Networking
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• v.37 no.1
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• pp.27-34
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• 2010

In this paper, we examine a long-range dependence in an active measurement of a network traffic which has been a well known characteristic from analyses of a passive network traffic measurement. To this end, we utilize RTT(Round Trip Time), which is a typical active measurement measured by PingER project, and perform a relevant analysis to a time series of both RTT and its volatilities. The RTT time series exhibits a long-range dependence or a 1/f noise. The volatilities, defined as a higher-order variation, follow a log-normal distribution. Furthermore, volatilities show a long-range dependence in relatively short time intervals, and a long-range dependence and/or 1/f noise in long time intervals. From this study, we find that the long-range dependence is a characteristic of not only a passive traffic measurement but also an active measurement of network traffic such as RTT. From these findings, we can infer that the long-range dependence is a characteristic of network traffic independent of a type of measurements. In particular, an active measurement exhibits a 1/f noise which cannot be usually found in a passive measurement.

• Journal of Labour Economics
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• v.41 no.3
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• pp.95-128
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• 2018

This study tries to measure the change in the state dependence of the three labor supply choices (part-time, full-time, and the state of unemployed) in Korean married women's labor market by estimating the dynamic multinomial logit model based on MSL (maximum simulated likelihood) method. A component representing individual's unobserved characteristics has been introduced, because it is crucial to control for unobserved heterogeneity in assessing the state dependence. Estimation results show that the state dependences of the three alternatives have strengthened recently. Therefore, part-time job has become more likely to be functioning as an extra option to participate in labor market rather than a bridge(stepping stone) or shelter between unemployment and full-time job.

• Communications for Statistical Applications and Methods
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• v.17 no.6
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• pp.829-843
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• 2010

To test for the serial dependence in time series of counts data, Jung and Tremayne (2003) evaluated the size and power of several tests under the class of INARMA models based on binomial thinning operations for Poisson marginal distributions. The overdispersion phenomenon(i.e., a variance greater than the expectation) is common in the real world. Overdispersed count data can be modeled by using alternative thinning operations such as random coefficient thinning, iterated thinning, and quasi-binomial thinning. Such thinning operations can lead to time series models of counts with negative binomial or generalized Poisson marginal distributions. This paper examines whether the test statistics used by Jung and Tremayne (2003) on serial dependence in time series of counts data are affected by overdispersion.

• Proceedings of the Korean Society of Tribologists and Lubrication Engineers Conference
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• 2002.10b
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• pp.355-356
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• 2002

The dielectric permittance and the dielectric loss factor of several lubricating oils were measured at frequencies from 100 Hz to 1.5 MHz. The measurements were carried out under atmospheric pressure as a function of temperature and under fixed temperature as a function of pressure. Temperature and pressure dependence of dielectric relaxation time were investigated. The temperature dependence of relaxation time obeyed the Vogel-Fulcher-Tammann (VFT) law. We modified the VFT equation in order to express the dielectric relaxation time as a function of temperature and pressure. Furthermore. by taking into consideration the similarity of the temperature and pressure dependence between dielectric relaxation and mechanical relaxation. the prediction of high-pressure viscosity were conducted. The predicted results were compared with the viscosity data obtained from the falling-sphere type viscometer.

• Nuclear Engineering and Technology
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• v.43 no.1
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• pp.1-6
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• 2011

The behavior of the non-equilibrium grain boundary segregation of boron in low carbon steel was studied through a particle tracking autoradiography. The behavior of the non-equilibrium grain boundary segregation of boron during continuous cooling was compared with the isothermal kinetics of the non-equilibrium grain boundary segregation of boron at the holding temperature using an effective time method. On the basis of the experiments, the cooling rate dependence of the non-equilibrium segregation of boron was explained using the time dependence of the non-equilibrium segregation of boron in low carbon steel. The experimental observations for the cooling rate dependence of the grain boundary segregation of boron are in good agreement with the time dependence of the grain boundary segregation of boron. The mechanisms of the non-equilibrium segregation of boron during cooling in low carbon steel are also discussed.

• Journal of Electrical Engineering and Technology
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• v.8 no.3
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• pp.421-427
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• 2013

The dependence between wind speeds in multiple wind sites has a considerable impact on the reliability of power systems containing wind energy. This paper presents a new method to generate dependent wind speed time series (WSTS) based on copulas theory. The basic feature of the method lies in separating multivariate WSTS into dependence structure and univariate time series. The dependence structure is modeled through the use of copulas, which, unlike the cross-correlation matrix, give a complete description of the joint distribution. An autoregressive moving average (ARMA) model is applied to represent univariate time series of wind speed. The proposed model is illustrated using wind data from two sites in Canada. The IEEE Reliability Test System (IEEE-RTS) is used to examine the proposed model and the impact of wind speed dependence between different wind regimes on the generation system reliability. The results confirm that the wind speed dependence has a negative effect on the generation system reliability.

• Journal of Korea Water Resources Association
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• v.30 no.6
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• pp.641-648
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• 1997

Mutual information is useful for analyzing nonlinear dependence in time series in much the same way as correlation is used to characterize linear dependence. We use multivariate kernel density estimators for the estimation of mutual information at different time lags for single and multiple time series. This approach is tested on a variety of hydrologic data sets, and suggested an appropriate delay time $ au$ at which the mutual information is almost zerothen multi-dimensional phase portraits could be constructed from measurements of a single scalar time series.

• Korean Journal of Health Education and Promotion
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• v.27 no.4
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• pp.123-129
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• 2010

Objectives: The aim of this study is to seek an effective way to support smoking cessation by analyzing any change to the pattern of nicotine dependence according to the change in time. Methods: The study was conducted with 800 male smokers who had participated in smoking cessation programs at public health centers from July 16, 2005 to July 15, 2008. Latent growth curve modeling approach was used for data analysis. Results: From the developmental trajectory of individual nicotine dependence, while nicotine dependence of smokers with high nicotine dependence in the first year was slightly decreased in the third year, smokers with low nicotine dependence in the year showed dramatically lower nicotine dependence in the third year. Compared with those who did not successfully quit smoking, the initial value of nicotine dependence of those who successfully quit smoking in the first and the second year was low. Over the years, nicotine dependence was decreased. Conclusion: From this study it was demonstrated that nicotine dependence was reduced through the practice of smoking cessation and reduced nicotine dependence was a factor which affects successful smoking cessation. These results indicate that multiple attempts to quit smoking finally reduces nicotine dependence. Reduced nicotine dependence is likely to increase the possibility of successful smoking cessation.

• Nuclear Engineering and Technology
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• v.54 no.3
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• pp.948-958
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• 2022

Since reliability and security of man-machine system increasingly depend on reliability of human, human reliability analysis (HRA) has attracted a lot of attention in many fields especially in nuclear engineering. Dependence assessment among human tasks is a important part in HRA which contributes to an appropriate evaluation result. Most of methods in HRA are based on experts' opinions which are subjective and uncertain. Also, the dependence influencing factors are usually considered to be constant, which is unrealistic. In this paper, a new model based on Dempster-Shafer evidence theory (DSET) and fuzzy number is proposed to handle the dependence between two tasks in HRA under uncertain and dynamic situations. First, the dependence influencing factors are identified and the judgments on the factors are represented as basic belief assignments (BBAs). Second, the BBAs of the factors that varying with time are reconstructed based on the correction BBA derived from time value. Then, BBAs of all factors are combined to gain the fused BBA. Finally, conditional human error probability (CHEP) is derived based on the fused BBA. The proposed method can deal with uncertainties in the judgments and dynamics of the dependence influencing factors. A case study is illustrated to show the effectiveness and the flexibility of the proposed method.