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Long Memory and Covariance Stationarity of Asymmetric Power FIGARCH Model
Lee, O.,Kim, M.J. Korean Data and Information Science Society 2006 한국데이터정보과학회지 Vol.17 No.3
In this paper, we study an asymmetric power fractionally integrated GARCH model and find a region on which the process is stationary ergodic and has long memory property.
Uniform Ergodicity and Exponential α-Mixing for Continuous Time Stochastic Volatility Model
Lee, O. The Korean Statistical Society 2011 Communications for statistical applications and me Vol.18 No.2
A continuous time stochastic volatility model for financial assets suggested by Barndorff-Nielsen and Shephard (2001) is considered, where the volatility process is modelled as an Ornstein-Uhlenbeck type process driven by a general L$\'{e}$vy process and the price process is then obtained by using an independent Brownian motion as the driving noise. The uniform ergodicity of the volatility process and exponential ${\alpha}$-mixing properties of the log price processes of given continuous time stochastic volatility models are obtained.
Continuous Time Approximations to GARCH(1, 1)-Family Models and Their Limiting Properties
Lee, O. The Korean Statistical Society 2014 Communications for statistical applications and me Vol.21 No.4
Various modified GARCH(1, 1) models have been found adequate in many applications. We are interested in their continuous time versions and limiting properties. We first define a stochastic integral that includes useful continuous time versions of modified GARCH(1, 1) processes and give sufficient conditions under which the process is exponentially ergodic and ${\beta}$-mixing. The central limit theorem for the process is also obtained.
ON STRICT STATIONARITY OF NONLINEAR ARMA PROCESSES WITH NONLINEAR GARCH INNOVATIONS
Lee, O. The Korean Statistical Society 2007 Journal of the Korean Statistical Society Vol.36 No.2
We consider a nonlinear autoregressive moving average model with nonlinear GARCH errors, and find sufficient conditions for the existence of a strictly stationary solution of three related time series equations. We also consider a geometric ergodicity and functional central limit theorem for a nonlinear autoregressive model with nonlinear ARCH errors. The given model includes broad classes of nonlinear models. New results are obtained, and known results are shown to emerge as special cases.
A Study on Box-Cox Transformed Threshold GARCH(1,1) Process
Lee, O. The Korean Statistical Society 2007 Communications for statistical applications and me Vol.14 No.1
In this paper, we consider a Box-Cox transformed threshold GARCH(1,1) process and find a sufficient condition under which the process is geometrically ergodic and has the ${\beta}$-mixing property with an exponential decay rate.
CHARACTERIZATION OF SEMIGROUPS BY FLAT AUTOMATA
Lee, O.,Shin, D.W. Korean Mathematical Society 1999 대한수학회지 Vol.36 No.4
In ring theory it is well-known that a ring R is (von Neumann) regular if and only if all right R-modules are flat. But the analogous statement for this result does not hold for a monoid S. Hence, in sense of S-acts, Liu (]10]) showed that, as a weak analogue of this result, a monoid S is regular if and only if all left S-acts satisfying condition (E) ([6]) are flat. Moreover, Bulmann-Fleming ([6]) showed that x is a regular element of a monoid S iff the cyclic right S-act S/p(x, x2) is flat. In this paper, we show that the analogue of this result can be held for automata and them characterize regular semigroups by flat automata.
REAL HYPERSURFACE OF A COMPLEX PROJECTIVE SPACE
Lee, O.,Shin, D.W. Korean Mathematical Society 1999 대한수학회지 Vol.36 No.4
In the present paper we will give a characterization of homogeneous real hypersurfaces of type A1, A2 and B of a complex projective space.
A quantitative study of nanoparticle skin penetration with interactive segmentation
P. Peregrinus Ltd 2016 Medical & biological engineering & computing Vol.54 No.10
<P>In the last decade, the application of nanotechnology techniques has expanded within diverse areas such as pharmacology, medicine, and optical science. Despite such wide-ranging possibilities for implementation into practice, the mechanisms behind nanoparticle skin absorption remain unknown. Moreover, the main mode of investigation has been qualitative analysis. Using interactive segmentation, this study suggests a method of objectively and quantitatively analyzing the mechanisms underlying the skin absorption of nanoparticles. Silica nanoparticles (SNPs) were assessed using transmission electron microscopy and applied to the human skin equivalent model. Captured fluorescence images of this model were used to evaluate degrees of skin penetration. These images underwent interactive segmentation and image processing in addition to statistical quantitative analyses of calculated image parameters including the mean, integrated density, skewness, kurtosis, and area fraction. In images from both groups, the distribution area and intensity of fluorescent silica gradually increased in proportion to time. Since statistical significance was achieved after 2 days in the negative charge group and after 4 days in the positive charge group, there is a periodic difference. Furthermore, the quantity of silica per unit area showed a dramatic change after 6 days in the negative charge group. Although this quantitative result is identical to results obtained by qualitative assessment, it is meaningful in that it was proven by statistical analysis with quantitation by using image processing. The present study suggests that the surface charge of SNPs could play an important role in the percutaneous absorption of NPs. These findings can help achieve a better understanding of the percutaneous transport of NPs. In addition, these results provide important guidance for the design of NPs for biomedical applications.</P>
Toenail elemental analysis of Korean young adults by instrumental neutron activation analysis
Lee, O.,Moon, J. H.,Kim, S. H.,Chung, Y. S.,Sun, G. M. Springer-Verlag 2016 JOURNAL OF RADIOANALYTICAL AND NUCLEAR CHEMISTRY Vol.307 No.3
<P>The element contents in toenail clippings of healthy Korean young adults were measured using an instrumental neutron activation analysis. The average contents of elements such as Na, K, Cl, Ca, Fe, Se, and Zn are 449, 474, 1024, 1677, 66, 0.7 and 94 mg/kg in men, whereas those contents in women respectively 332, 476, 836, 1097, 66, 0.8 and 104 mg/kg. The correlation analysis of toenail elements with chronic disease risks showed positive associations between Na and serum HDL-cholesterol, blood pressure, and negative associations between Se and Hs-CRP, between Zn and hemoglobin level.</P>