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오창혁,Oh, Changhyuck 한국데이터정보과학회 2014 한국데이터정보과학회지 Vol.25 No.1
계수과정은 다양한 분야에서 활용되고 있으며 그 성질은 강도함수에 의해 결정된다. 일정 구간에서 연속적으로 과정이 관측될 때, 우도함수를 이용하여 강도함수의 모수를 추정할 수 있다. 그러나 기존의 연구는 직관적인 방법에 의한 우도함수 유도이며, 여러 명의 저자에 의해 얻은 우도함수가 일치하지 않아 우도함수를 이용한 최우추정치를 구하는 문제 등의 적용에 어려움이 발생하고 있다. 따라서 이 단신연구에서는 계수과정의 우도함수를 엄밀한 방법으로 유도하여 기존의 문제점을 해결한다. Counting processes are widely used in many fields, whose properties are determined by the intensity function. For estimation of the parameters of the intensity functions when the process is observed continuously over a fixed interval, the likelihood function is of interest. However in the literature there are only heuristic derivations and some results are not coincident. We thus in this note derive the likelihood function of the counting process in a rigorous way. So this note fill up a hole in derivation of the likelihood function.
Risk Management of the Won/Dollar Spot and Futures Exchange Rates
오창혁,임병진,김도형 한국무역연구원 2014 貿易 硏究 Vol.10 No.1
This research has been conducted to determine the optimal hedging ratio of the spot and futures exchange rates in order to reduce exchange risks between the Korean won and the U.S. dollar. Using data of the won/dollar exchange rate spot and futures prices from the Korea Exchange, KRX, four methods were compared to obtain the hedging ratio: the naive method, the minimum variance hedging model, the vector error correction model, and GARCH with error correction model (ECT-GARCH). After comparing hedging performances of the models, the minimum variance hedging model outperformed others even though it does not take nonstationarity, cointegration relationship, and time variant property of the time series into account.
The U.S. Subprime Mortgage Market Turmoil and its Effects on the Korean Capital Markets
오창혁,임병진,강효정 한국로고스경영학회 2013 로고스경영연구 Vol.11 No.3
We studied the relationships between Korea Treasury Bond (Bond) futures, the KOSPI index, and KOSPI200 index futures to determine the interactions and effects among the securities in the periods before and after May 2007 by using daily securities data from January 2, 2007 to October 5, 2007 obtained from KRX. Because non- stationary and co-integration were indicated from a unit root test and a co-integration test, we adopt a vector error correction model to determine the relations between these indices and to obtain forecast error variance decomposition. This study showed the following results. The negative relations between Bond and KOSPI before May 16, 2007 strengthened after the crisis, which was also true for the relations between the Bond and KOSPI200 index futures. The variance decomposition of KOSPI index and KOSPI200 index futures revealed that after the crisis, the explanatory powers of KOSPI index decreased, whereas those of KOSPI200 index futures increased.
Implementaion and Use of a COM Component for Distribution Number Generation
오창혁,정석인,이미라,Oh, Chang-Hyuck,Jung, Suk-In,Lee, Mi-Ra 한국데이터정보과학회 2002 한국데이터정보과학회지 Vol.13 No.1
Microsoft's component technology, COM, is introduced and a COM object for generating distribution numbers is implement ed. Examples using the object in various language environments are given. A strategy for statistical software development using components is discussed.
吳昌赫 嶺南大學校 基礎科學硏究所 1991 基礎科學硏究 Vol.11 No.-
When a simple stochastic epidemic process can be observed only at a discrete set of time points, parameter estimation becomes a quite complicated problem. In this paper, by utilizing a resampling method which was introduced by Efron(1979), we suggest a method of constructing a confidence interval for the infection rate under the adqptive sampling schemes.
吳昌赫 嶺南大學校 基礎科學硏究所 1990 基礎科學硏究 Vol.10 No.-
Oh (1990, Chapter 4) assumed that the infection epochs (i.e., the actual times when new infections begin) between two adjacent observations (i.e., the number of infectives y?-₁and y? observed at respective times t?-₁<t?) occurred at points chosen in ad hoc manner. Rather than use this ad hoc procedure it seems natural to ask why not choose the expectaions of rhe infection epochs conditioned on the data [(t?-₁, y?-₁), (t?, y?)} ? It turns out that finding such conditional expectations involves very tedious algebraic calculations. This general question, however, of how to choose the unobserved infection epochs led to the investigation of this paper.
'통계이론방법연구'의 편집에 관한 소고와 원고 작성 요령
오창혁,O, Chang-Hyeok 한국데이터정보과학회 1996 한국데이터정보과학회지 Vol.7 No.1
이 글에서는 지난 2년 반동안 4권의 '통계이론방법연구'를 편집하면서 얻은 편집에 관련된 경험과 지식을 종합하여 기록하여 둔다. 여기에서 제시된 편집원칙 등이 본 논문집의 형태에 관한 기준이 되고자 한다. 워드프로세서의 선정에 관한 문제, 글씨체와 크기의 선정문제 등 제반의 형식적인 문제를 다룬다. 또한 실제 예시를 통하여 본 잡지에 논문을 투고하는 저자들의 논문작성에 도움이 되도록 한다.