• Communications for Statistical Applications and Methods
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• 제4권1호
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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..

• 한국전자파학회논문지
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• 제26권9호
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• pp.828-836
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• 2015

본 논문은 위상배열 레이더를 사용하여 실제표적을 추적하였을 때 추적 정확도를 평가하기 위한 알고리듬 연구이다. 실표적에 대한 추적 정확도를 평가하기 위해서는 실표적 위치에 대한 정보가 있어야 하지만, 시험비용 및 시험시간의 증대로 인해 위상배열 레이더에서 획득된 데이터만을 사용하여 실표적의 정확도를 평가하는 알고리듬을 제시한다. 이러한 평가 알고리듬은 위상배열 레이더에서 사용된 ${\alpha}-{\beta}$ 추적필터의 잔차로부터 추적 정확도의 지표인 거리오차와 각도 오차의 표준편차를 도출한 결과이며, 통계적 방법으로 sample variance 개념을 사용하게 된다.

• The Journal of Asian Finance, Economics and Business
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• 제3권3호
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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.

• 대한화장품학회지
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• 제21권2호
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• pp.129-139
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• 1995

FT-IR의 정량 법 중 Partial least-squares(PLS) 방법과 Multiple scattering correction(MSC) 방법을 이용한 계면활성제 분석의 타당성을 조사하기 위하여 LAS, MES 그리고 ELA-9을 이들 방법으로 정량 하였다. 계면활성제 표준품을 각각 다른 비율로, 50% 에탄올에 가열 용해 시킨 다음, 건조 시켜 액막법으로 IR 스펙트럼을 측정하였다. 얻어진 스펙트럼으로부터 Variance(분산 ) 스펙트럼을 구하고 이를 참고하여 여러 파수 영역에서 반복하여 검량선을 작성하고 상관계수를 구하였다. 1245-1130 cm -1 의 범위와 1070-1010 cm -1 범위의 파수를 선정한 결과 상관계수의 값이 모두 1.000이었다. 또한 정량 결과, 오차가 0.32%이하로써 매우 만족할 만한 결과를 얻었다. 따라서 FT-IR을 이용한 정량 법에서 PLS 방법과 MSC 방법은 계면활성제 분석에 유효하며, 본 정량 방법이 매우 간단하므로 품질관리 목적의 분석에 적합하다는 결론에 도달하였다.

• International Journal of Naval Architecture and Ocean Engineering
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• 제6권1호
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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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• 제8권11호
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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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• 제52권9호
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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.

• 한국정밀공학회:학술대회논문집
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• 한국정밀공학회 2005년도 춘계학술대회 논문집
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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.

• 한국경영과학회지
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• 제41권3호
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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.

• 대한기계학회논문집
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• 제12권4호
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• pp.694-704
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• 1988

본 연구에서는 현장에서 흔히 수행되는 가공 후(post-process) 측정만을 이용 한 단일절삭(single-pass)으로써 공작물이 원하는 일정한 직경을 유지할 수 있다는 것 을 실험을 통해 검증해 보이고자 한다. 이와 같은 방식은 이미 보오링 작업 중 보오 링바의 노출 길이 변화에 따른 가공면의 내경 오차를 없애주기 위한 방법으로써 제시 된 바 있다. 즉 반복 최소 자승법(recursive least squares)으로 미리 가정된 절삭 조건과 공작물 처짐 사이의 관계식과 관련된 계수를 가공 후에 가공 공작물의 표면 측 정으로 매 번보정(update)시켜 줌으로써 일정 직경을 얻기위한 절삭조건을 결정하고자 한다.