• Communications for Statistical Applications and Methods
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• v.4 no.1
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• pp.229-241
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• 1997

We consider discrimination curve and minimum dwell time for Poisson distribution and Poisson-power function distribution. Let the random variable X has Poisson distribution with mean .lambda.. For the hypothesis testing H$\_$0/:.lambda. = t vs. H$\_$1/:.lambda. = d (d$\_$0/ if X.leq.c. Since a critical value c can not be determined to satisfy both types of errors .alpha. and .beta., we considered discrimination curve that gives the maximum d such that it can be discriminated from t for a given .alpha. and .beta.. We also considered an algorithm to compute the minimum dwell time which is needed to discriminate at the given .alpha. and .beta. for the Poisson counts and proved its convergence property. For the Poisson-power function distribution, we reject H$\_$0/ if X.leq..'{c}.. Since a critical value .'{c}. can not be determined to satisfy both .alpha. and .beta., similar to the Poisson case we considered discrimination curve and computation algorithm to find the minimum dwell time for the Poisson-power function distribution. We prosent this algorithm and an example of computation. It is found that the minimum dwell time algorithm fails for the Poisson-power function distribution if the aiming error variance .sigma.$\^$2/$\_$2/ is too large relative to the variance .sigma.$\^$2/$\_$1/ of the Gaussian distribution of intensity. In other words, if .ell. is too small, we can not find the minimum dwell time for a given .alpha. and .beta..

• The Journal of Korean Institute of Electromagnetic Engineering and Science
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• v.26 no.9
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• pp.828-836
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• 2015

In this paper, the assessment technique for track accuracy in the phased array radar is proposed. It is assumed that ${\alpha}-{\beta}$ tracking filter to track the target is established in the phased array radar. In order to assess the track accuracy strictly, we should use the real target position data acquired from the special instrument, ACMI(Air Combat Maneuvering Instrument) pod or DGPS(Differential Global Positioning System). However, this method leads to increase the experiment cost and test time. We derive the relationship between the residuals of tracking filter and the standard deviations of range and angle tracking errors which are assigned as track assessment index. The theory of sample variance is introduced in this assessment because track accuracy has to be calculated with many residual samples.

• The Journal of Asian Finance, Economics and Business
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• v.3 no.3
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• pp.79-91
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• 2016

This paper is the first of its kind using a non-linear approach based on cross-correlation function (CCF) to investigate the information arrival hypothesis in crude palm oil (CPO) futures market. Based on daily data from 1986 to 2010, our empirical results reveal that: First, the volume of volatility is not a proxy of information flow. Second, dependence causality running from current return to future volume in conditional variance exhibit an asymmetric pattern of time span with different signs of correlation between price and volume series. This finding indicates the presence of noise traders' hypothesis of price-volume interaction in CPO futures market. Both findings suggest that this futures market is weak-form inefficiency. In terms of investors' behavior, they tend to change their expectations on current return based on errors made in previous trade in generating abnormal volume in the subsequent period. As implied, it is advisable for the investors devise their future trading strategies according to time span and changes of return.

• Journal of the Society of Cosmetic Scientists of Korea
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• v.21 no.2
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• pp.129-139
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• 1995

To confirm the usefulness of partial least-squares(PLS) and multiple scattering correction(MSC) method for quantitation of surfactants in [quantitative methods using FT-lR, reconsitituted mixtures of LAS, MES and ELA-9 were tested. Each mixture was dissolved in 50% EtOH, dried, and applied to the KBr cell. From the IR spectra of these mixture, the variance spectrum was obtained. After repeated calibrations for the various regios of this spectrum, we found that 1245-1130cm-1 and 1070-1010cm-1 showed the strong correlation with each component of the sample mixture: all the correlation coefficients were 1.000 and quantitative errors did not exceed 0.32%. From this result, we concluded that PLS method and MSC method are very useful and can be successfully applied to Quality control.

• International Journal of Naval Architecture and Ocean Engineering
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• v.6 no.1
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• pp.74-86
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• 2014

The optimization techniques are explored in the direction of arrival (DOA) estimation based on single acoustic pressure gradient vector sensor (APGVS). By analyzing the working principle and measurement errors of the APGVS, acoustic intensity approaches (AI) and the minimum variance distortionless response beamforming approach based on single APGVS (VMVDR) are deduced. The radius to wavelength ratio of the APGVS must be not bigger than 0.1 in the actual application, otherwise its DOA estimation performance will degrade significantly. To improve the robustness and estimation performance of the DOA estimation approaches based on single APGVS, two modified processing approaches based on single APGVS are presented. Simulation and lake trial results indicate that the performance of the modified approaches based on single APGVS are better than AI and VMVDR approaches based on single APGVS when the radius to wavelength ratio is not bigger than 0.1, and the two modified DOA estimation methods have excellent estimation performance when the radius to wavelength ratio is bigger than 0.1.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.11
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• pp.1-10
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• 2021

This paper compares the performance of Fama-French three-factor and five-factor models using a dataset of 20 Pakistani commercial banks for the period 2011 to 2020. We focus on an emerging economy as the findings from earlier studies on developed countries cannot be generalized in emerging markets. For empirical analysis, twelve portfolios were developed based on size, market capitalization, investment strategy, and growth. Subsequently, we constructed five Fama-French factors namely, R_M, SMB, HML, RMW, and CMA. The OLS regression technique with robust standard errors was applied to compare the predictive power of both the Fama-French models. Further, we also compared the mean-variance efficiency of the Fama-French models through the GRS test. Our empirical analysis provides three unique and interesting findings. First, both asset pricing models have similar predictive power to explain the expected portfolio returns in most cases. Second, our results from the GRS test suggest that there is no noticeable difference in the mean-variance efficiency of one asset pricing model over the other. Third, we find that all factors of both Fama-French models are statistically significant and are important for explaining the volatility of expected commercial bank returns in the context of Pakistan.

• Nuclear Engineering and Technology
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• v.52 no.9
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• pp.2119-2129
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• 2020

Flow-accelerated corrosion (FAC), liquid droplet impingement erosion (LDIE), cavitation and flashing can cause continuous wall-thinning in nuclear secondary pipes. In order to prevent pipe rupture events resulting from the wall-thinning, most NPPs (nuclear power plants) implement their management programs, which include periodic thickness inspection using UT (ultrasonic test). Meanwhile, it is well known in field experiences that the thickness measurement errors (or deviations) are often comparable with the amount of thickness reduction. Because of these errors, it is difficult to estimate wall-thinning exactly whether the significant thinning has occurred in the inspected components or not. In the previous study, the authors presented an approximate estimation procedure as the first step for thickness measurement deviations at each inspected component and the statistical & quantitative characteristics of the measurement deviations using plant experience data. In this study, statistical significance was quantified for the current methods used for wall-thinning determination. Also, the authors proposed new estimation procedures for determining local wall-thinning to overcome the weakness of the current methods, in which the proposed procedure is based on analysis of variance (ANOVA) method using subgrouping of measured thinning values at all measurement grids. The new procedures were also quantified for their statistical significance. As the results, it is confirmed that the new methods have better estimation confidence than the methods having used until now.

• Proceedings of the Korean Society of Precision Engineering Conference
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• 2005.06a
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• pp.602-606
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• 2005

A systematic procedure of probability analysis for general distributions is developed based on the first four moments estimated from polynomial interpolation of the system response function and the Pearson system. The function approximation is based on a specially selected experimental region for accuracy and the number of function evaluations is taken equal to that of the unknown coefficient for efficiency. For this purpose, three error-minimizing conditions are proposed and corresponding canonical experimental regions are formed for popular probability. This approach is applied to study the stochastic properties of the performance functions of a MEMS structure, which has quite large fabrication errors compared to other structures. Especially, the vibratory micro-gyroscope is studied using the statistical moments and probability density function (PDF) of the performance function to be the difference between resonant frequencies corresponding to sensing and driving mode. The results show that it is very sensitive to the fabrication errors and that the types of PDF of each variable also affect the stochastic properties of the performance function although they have same the mean and variance.

• Journal of the Korean Operations Research and Management Science Society
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• v.41 no.3
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• pp.1-21
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• 2016

The Markowitz portfolio selection model uses estimators to deduce input parameters. However, the estimation errors of input parameters negatively influence the performance of portfolios. Therefore, this model cannot be reliably applied to real-world investments. To overcome this problem, we suggest an algorithm that can exclude stocks with large estimation error from the portfolio by applying a tracking signal to the Markowitz portfolio selection model. By calculating the tracking signal of each stock, we can monitor whether unexpected departures occur on the outcomes of the forecasts on rate of returns. Thereafter, unreliable stocks are removed. By using this approach, portfolios can comprise relatively reliable stocks that have comparatively small estimation errors. To evaluate the performance of the proposed approach, a 10-year investment experiment was conducted using historical stock returns data from 6 different stock markets around the world. Performance was assessed and compared by the Markowitz portfolio selection model with additional constraints and other benchmarks such as minimum variance portfolio and the index of each stock market. Results showed that a portfolio using the proposed approach exhibited a better Sharpe ratio and rate of return than other benchmarks.

• Transactions of the Korean Society of Mechanical Engineers
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• v.12 no.4
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• pp.694-704
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• 1988

A recursive parameter estimation scheme utilizing the variance perturbation method is applied to the workpiece deflection model during CNC turning process, in order to improve the cylindricity of slender workpiece. It features that it is based on exponentially weighted recursive least squares method with post-process measurement of finish surfaces at two locations and it does not require a priori knowledge on the time varying deflection model parameter. The measurements of finish surfaces by using two proximity sensors mounted face to face enable one to identify the straightness, guide-way, run-out eccentricity errors. Preliminary cutting tests show that the straightness error of the finish surface due to workpiece deflection during cutting is most dominant. Identifying the errors and recursive updating the parameter, the off-line control is carried out to compensate the workpiece deflection error, through single pass cutting. Experimental results show that the proposed method is superior to the conventional multi-pass cutting and the direct compensation control in cutting accuracy and efficiency.