• Communications for Statistical Applications and Methods
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• v.19 no.3
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• pp.345-358
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• 2012

In a parametric sample selection model, the distribution assumption is critical to obtain consistent estimates. Conventionally, the normality assumption has been adopted for both error terms in selection and main equations of the model. The normality assumption, however, may excessively restrict the true underlying distribution of the model. This study introduces the $S_U$-normal distribution into the error distribution of a sample selection model. The $S_U$-normal distribution can accommodate a wide range of skewness and kurtosis compared to the normal distribution. It also includes the normal distribution as a limiting distribution. Moreover, the $S_U$-normal distribution can be easily extended to multivariate dimensions. We provide the log-likelihood function and expected value formula based on a bivariate $S_U$-normal distribution in a sample selection model. The results of simulations indicate the $S_U$-normal model outperforms the normal model for the consistency of estimators. As an empirical application, we provide the sample selection model for car ownership and a car expense relationship.

• Water for future
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• v.28 no.5
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• pp.219-233
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• 1995

A non-stationary multivariate model is selected in which the mean and variance of rainfall are not temporally or spatially constant. And the rainfall prediction system is constructed which uses the recursive estimation algorithm, Kalman filter, to estimate system states and parameters of rainfall model simulataneously. The on-line, real-time, multivariate short-term, rainfall prediction for multi-stations and lead-times is carried out through the estimation of non-stationary mean and variance by the storm counter method, the normalized residual covariance and rainfall speed. The results of rainfall prediction system model agree with those generated by non-stationary multivariate model. The longer the lead time is, the larger the root mean square error becomes and the further the model efficiency decreases form 1. Thus, the accuracy of the rainfall prediction decreases as the lead time gets longer. Also it shows that the mean obtained by storm counter method constitutes the most significant part of the rainfall structure.

• Proceedings of the Korea Water Resources Association Conference
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• 2012.05a
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• pp.104-104
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• 2012

최근 기후변화에 의하여 기상현상이 급변하고 있는 추세이며 강우사상의 경향 또한 그러한 변화를 따라가고 있다. 이러한 시점에서 극적인 강우사상에 대하여 대비해야 할 필요성이 대두되고 있으며 빈도해석을 통하여 확률강우량을 제시하는 방법이 연구되고 많은 발전을 거듭하고 있다. 이러한 방법은 모든 설계에 대하여 보편적으로 적용되고 있지만 일변량 빈도해석을 통하여 얻게 되는 확률량(Quantile)은 한 가지 자료계열에 대하여서만 고려할 수 있다. 이러한 단점을 극복하기 위하여서는 다변량 빈도해석을 수행하는 방법이 있으며 이 또한 국내외적으로 활발히 연구되고 있는 분야이다. 본 연구에서는 이변량 빈도해석을 수행하기 위해 3가지의 copula 모형을 선택하였으며 강우량과 강우지속시간을 자료계열로 사용하여 이변량 빈도해석을 수행하였다. 이를 통하여 얻은 확률강우량을 기존의 일변량 빈도해석의 결과와 정량적으로 비교하여 그 결과를 비교 분석하였으며 향후 새로운 빈도해석 방법의 가능성 및 적절성을 판단하고자 하였다.

• The Korean Journal of Applied Statistics
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• v.28 no.2
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• pp.335-342
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• 2015

Joint hierarchical generalized linear models proposed by Molas et al. (2013) extend the simple longitudinal model into multiple models fitted jointly. It can easily handle the correlation of multivariate longitudinal data. In this paper, we apply this method to analyze KoGES cohort dataset. Fixed unknown parameters, random effects and variance components are estimated based on a standard framework of h-likelihood theory. Furthermore, based on the conditional Akaike information criterion the correlated covariance structure of random-effect model is selected rather than an independent structure.

• The Korean Journal of Applied Statistics
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• v.28 no.5
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• pp.1013-1024
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• 2015

We compare the performance of two representative estimation methods for the dynamic conditional correlation (DCC) GARCH model. The first method is the pairwise estimation which exploits partial information from the paired series, irrespective to the time series dimension. The second is the multi-dimensional estimation that uses full information of the time series. As a simulation for the comparison, we generate a multivariate time series similar to those observed in real markets and construct a DCC GARCH model. As an empirical example, we constitute various portfolios using real KOSPI 200 sector indices and estimate volatility and VaR of the portfolios. Through the estimated dynamic correlations from the simulation and the estimated volatility and value at risk (VaR) of the portfolios, we evaluate the performance of the estimations. We observe that the multi-dimensional estimation tends to be superior to pairwise estimation; in addition, relatively-uncorrelated series can improve the performance of the multi-dimensional estimation.

• Journal of Korea Water Resources Association
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• v.38 no.8 s.157
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• pp.595-604
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• 2005

Precipitation simulation for making the data size larger is an important task for hydrologic analysis. The simulation can be divided into two major categories which are the parametric and nonparametric methods. Also, precipitation simulation depends on time intervals such as daily or hourly rainfall simulations. So far, Markov model is the most favored method for daily precipitation simulation. However, most models are consist of state transition probability by using the homogeneous Markov chain model. In order to make a state vector, the small size of data brings difficulties, and also the assumption of homogeneousness among the state vector in a month causes problems. In other words, the process of daily precipitation mechanism is nonstationary. In order to overcome these problems, this paper focused on the nonparametric method by using uni-variate and multi-variate when simulating a precipitation instead of currently used parametric method.

• Communications for Statistical Applications and Methods
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• v.19 no.1
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• pp.107-115
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• 2012

Yoo and Cook (2007) developed an optimal sufficient dimension reduction methodology for the conditional mean in multivariate regression and it is known that their method is asymptotically optimal and its test statistic has a chi-squared distribution asymptotically under the null hypothesis. To check the effect of dimension used in estimation on regression coefficients and the explanatory power of the conditional mean model in multivariate regression, we applied their method to several simulated data sets with various dimensions. A small simulation study showed that it is quite helpful to search for an appropriate dimension for a given data set if we use the asymptotic test for the dimension as well as results from the estimation with several dimensions simultaneously.

• The Korean Journal of Applied Statistics
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• v.31 no.6
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• pp.721-732
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• 2018

Latent class analysis (LCA) is an important tool to explore unseen latent groups in multivariate categorical data. In practice, it is important to select a suitable set of variables because the inclusion of too many variables in the model makes the model complicated and reduces the accuracy of the parameter estimates. Dean and Raftery (Annals of the Institute of Statistical Mathematics, 62, 11-35, 2010) proposed a headlong search algorithm based on Bayesian information criteria values to choose meaningful variables for LCA. In this paper, we propose a new variable selection procedure for LCA by utilizing posterior probabilities obtained from each fitted model. We propose a new statistic to measure the adequacy of LCA and develop a variable selection procedure. The effectiveness of the proposed method is also presented through some numerical studies.

• Journal of Korean Library and Information Science Society
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• v.53 no.4
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• pp.293-318
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• 2022

The purpose of this study is to analyze the impact of reading on self-efficacy and multicultural acceptance. The Korean Education and Employment Pannel II data were used for the analysis. Through analyzing the data with latent growth model, the growth trajectories for reading, self-efficacy, and multicultural acceptance were identified, and the relationship between three variances were analyzed using multi-variate latent growth model. As results, reading books, self-efficacy, and multicultural acceptance were decreased, as times go by. Next, the intercept of reading was postively related with self-efficacy and multicultural acceptance. Finally, self-efficacy mediated between the intercept of reading and the multicultural acceptance, and it's statistically significant.

• Management & Information Systems Review
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• v.32 no.3
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• pp.1-23
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• 2013

In this study, we try to investigate the spillover effects of volatility in international tourists arrivals between Korea and US, Japan, China by using the multivariate BEKK model from January 2005 to January 2013. In the results of this study, after the global financial crisis, we found a cointegration relationship and tourist arrivals of Japan were adjusted to recovery in the short term. Also tourists arrivals from China and Japan showed the long-term elasticity. In the conditional mean equation of a BEKK model, there were the spillover effects. And in the conditional variance equation, ARCH(${\epsilon}^2_t$) coefficients showed a strong influence on the arrivals of their own and the spillover effects and the asymmetric effects on the volatility of China and Japan arrivals. In GARCH(${\sigma}^2_t$) coefficients showed the asymmetric effects and the spillover effects of the conditional volatility among source arrivals. Therefore, we examined the asymmetric reaction of one-way or two-way tourist arrivals between source countries and Korea and the spillover effects related to tourists arrivals of source countries to Korea. We has confirmed a causal relationship between some of the tourists arrivals from source countries to korea.