• Journal of the Korean Data and Information Science Society
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• 제24권6호
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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.

• 한국정보과학회논문지:정보통신
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• 제37권1호
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• pp.27-34
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• 2010

본 논문에서는 네트워크 트래픽의 수동적 측정치 분석을 통해 잘 알려진 장거리 상관관계가 광역 네트워크의 능동적 측정치에도 존재하는지 여부를 관련 분석법을 통하여 검정하고자 한다. 이를 위하여 PingER 프로젝트를 통하여 측정된 광역 네트워크 트래픽의 대표적인 능동적 측정치인 RTT(Round Trip Time)와 RTT의 변동성 시계열 데이터에 대하여 분석을 수행하였다. RTT 시계열 데이터는 장거리 상관관계 혹은 1/f 노이즈의 특성을 보였으며, RTT의 고차원 변화량으로 정의된 변동성은 로그정규분포를 따르며 변동성에 대한 장거리 상관관계는 고려하는 시간 간격이 짧은 경우 장거리 상관관계를 보이고, 시간 간격이 긴 경우에는 장거리 상관관계 혹은 1/f 노이즈를 따름을 밝혔다. 본 연구를 통해 볼 때 장거리 상관관계는 비단 패킷 도착의 시간 간격 등과 같은 수동적 측정뿐만 아니라 RTT와 같은 능동적 측정에서도 나타나는 특징이며, 특히 능동적 측정에는 수동적 측정에는 잘 나타나지 않는 1/f 노이즈 특성이 존재함을 밝혔다.

• 노동경제논집
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• 제41권3호
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• pp.95-128
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• 2018

본 연구는 우리나라 기혼여성들의 시간제, 전일제 등 근로형태가 오래 지속되는지 아니면 근로형태간 이동이 활발한지를 상태의존성(state dependence) 추정을 통하여 살펴보고, 최근의 변화를 분석하였다. 동태적 다항로짓모형(dynamic multinomial logit model) 추정결과 시간제와 전일제 상호간 이동성이 최근 낮아지면서 각 근로형태의 상태의존성은 강화되는 모습을 보였다. 따라서 시간제일자리는 전일제와 미취업 사이에서 근로형태간 이동을 활발하게 하는 디딤돌 또는 쉼터의 역할이 약화되고 전일제 외에 노동시장 참여 옵션을 제공하는, 전일제와는 구분된 추가적 일자리형태로 기능하고 있는 것으로 판단된다.

• Communications for Statistical Applications and Methods
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• 제17권6호
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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.

• 한국윤활학회:학술대회논문집
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• 한국윤활학회 2002년도 proceedings of the second asia international conference on tribology
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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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• 제43권1호
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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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• 제8권3호
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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.

• 한국수자원학회논문집
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• 제30권6호
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• pp.641-648
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• 1997

상관계수가 변수간의 선형 상관관계를 나타내듯이 mutual information은 변수간의비선형 상관관계를 나타내준다. 본 논문에서는 mutual information 추정법으로 다변수 핵 미도함수(multivariate kernel density estimator)를 이용한 방법이 여러 time lags값에 대하여 산정 되었다. 많은 수문자료에서 보여지는 비선형 관계를 Mutual Information으로 확인하여 보았고, 또한 Mutual Information값이 거의 0인 점에서 optimal delay time을 구하여, 하나의 자료로부터 다변수 회귀분석 모델을 만들 때 이용할 수 있다.

• 보건교육건강증진학회지
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• 제27권4호
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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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• 제54권3호
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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.