• Title/Summary/Keyword: 다변량 판별분석

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Dynamic forecasts of bankruptcy with Recurrent Neural Network model (RNN(Recurrent Neural Network)을 이용한 기업부도예측모형에서 회계정보의 동적 변화 연구)

  • Kwon, Hyukkun;Lee, Dongkyu;Shin, Minsoo
    • Journal of Intelligence and Information Systems
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    • v.23 no.3
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    • pp.139-153
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    • 2017
  • Corporate bankruptcy can cause great losses not only to stakeholders but also to many related sectors in society. Through the economic crises, bankruptcy have increased and bankruptcy prediction models have become more and more important. Therefore, corporate bankruptcy has been regarded as one of the major topics of research in business management. Also, many studies in the industry are in progress and important. Previous studies attempted to utilize various methodologies to improve the bankruptcy prediction accuracy and to resolve the overfitting problem, such as Multivariate Discriminant Analysis (MDA), Generalized Linear Model (GLM). These methods are based on statistics. Recently, researchers have used machine learning methodologies such as Support Vector Machine (SVM), Artificial Neural Network (ANN). Furthermore, fuzzy theory and genetic algorithms were used. Because of this change, many of bankruptcy models are developed. Also, performance has been improved. In general, the company's financial and accounting information will change over time. Likewise, the market situation also changes, so there are many difficulties in predicting bankruptcy only with information at a certain point in time. However, even though traditional research has problems that don't take into account the time effect, dynamic model has not been studied much. When we ignore the time effect, we get the biased results. So the static model may not be suitable for predicting bankruptcy. Thus, using the dynamic model, there is a possibility that bankruptcy prediction model is improved. In this paper, we propose RNN (Recurrent Neural Network) which is one of the deep learning methodologies. The RNN learns time series data and the performance is known to be good. Prior to experiment, we selected non-financial firms listed on the KOSPI, KOSDAQ and KONEX markets from 2010 to 2016 for the estimation of the bankruptcy prediction model and the comparison of forecasting performance. In order to prevent a mistake of predicting bankruptcy by using the financial information already reflected in the deterioration of the financial condition of the company, the financial information was collected with a lag of two years, and the default period was defined from January to December of the year. Then we defined the bankruptcy. The bankruptcy we defined is the abolition of the listing due to sluggish earnings. We confirmed abolition of the list at KIND that is corporate stock information website. Then we selected variables at previous papers. The first set of variables are Z-score variables. These variables have become traditional variables in predicting bankruptcy. The second set of variables are dynamic variable set. Finally we selected 240 normal companies and 226 bankrupt companies at the first variable set. Likewise, we selected 229 normal companies and 226 bankrupt companies at the second variable set. We created a model that reflects dynamic changes in time-series financial data and by comparing the suggested model with the analysis of existing bankruptcy predictive models, we found that the suggested model could help to improve the accuracy of bankruptcy predictions. We used financial data in KIS Value (Financial database) and selected Multivariate Discriminant Analysis (MDA), Generalized Linear Model called logistic regression (GLM), Support Vector Machine (SVM), Artificial Neural Network (ANN) model as benchmark. The result of the experiment proved that RNN's performance was better than comparative model. The accuracy of RNN was high in both sets of variables and the Area Under the Curve (AUC) value was also high. Also when we saw the hit-ratio table, the ratio of RNNs that predicted a poor company to be bankrupt was higher than that of other comparative models. However the limitation of this paper is that an overfitting problem occurs during RNN learning. But we expect to be able to solve the overfitting problem by selecting more learning data and appropriate variables. From these result, it is expected that this research will contribute to the development of a bankruptcy prediction by proposing a new dynamic model.

A Review of Statistical Methods in the Korean Journal of Orthodontics and the American Journal of Orthodontics and Dentofacial Orthopedics (대한치과교정학회지(KJO)와 미국교정학회지(AJODO)에서 사용된 통계기법의 비교분석 및 고찰(1999-2003))

  • Lim, Hoi-Jeong
    • The korean journal of orthodontics
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    • v.34 no.5 s.106
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    • pp.371-379
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    • 2004
  • The purpose of this study was to investigate the changes and types of statistical methods used in the Korean Journal of Orthodontics (KJO) and the American Journal of Orthodontics and Dentofacial Orthopedics (AJODO) from )999 to 2003. The frequency of use, transitions, assumption check of statistical methods and types of advanced statistical methods were examined from each journal. The study consisted of 247 articles published in the KJO and randomly chosen 50 articles per year which were original articles and used statistical methods T-test, analysis of variance(ANOVA), correlation analysis, nonparametric analysis. regression analysis chi-square test. factor analysis, were the order of statistical methods most frequently used in the KJO, while t-test. ANOVA, nonparametric analysis, correlation analysis, regression analysis, chi-square test. factor analysis. were the order of statistical methods used in the AJODO The changes of statistical methods observed in the KJO were not significant $(X^2=17.4\;p=0.5881)$ but the changes observed in the AJODO was seen to be significant $(x^2=42.4,\;p=0.0397)$ Some of the studies examined had overlooked the assumptions of the statistical methods employed. Data investigation such as outlier should be performed before analysis and alternative statistical approaches are applied for a small sample size. Types of advanced statistical methods were factor analysis and discriminant analysis in the KJO and Intention-To-Treat (ITT) analysis in clinical trials through multi-center, survival analysis and Generalized Estimating Equations (GEE) in the AJODO. Appropriate analysis approaches and interpretations should be applied for the correlated and repeated measurements of the orthodontic data set.

Morphometric Analyses of Damaster(Coptolabrus) jankowskii from Korea(Coleoptera : Carabidae) (한국산(韓國産) 멋쟁이딱정벌레의 계량형태학적(計量形態學的) 분석(分析) (초시목(鞘翅目) : 딱정벌레과(科)))

  • Kwon, Yong Jung;Park, Jong Kyun
    • Current Research on Agriculture and Life Sciences
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    • v.7
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    • pp.127-151
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    • 1989
  • The ground beetles or carabids are essentially predaceous feeding on a wide variety of insects including forest pests, slugs and land snails containing those injurious to livestock or veterinary, thus many are predominantly beneficial and serve as natural enemies. In the present investigation, some morphometric multivariate analysis were done for 9 different populations in 5 subspecies of D. (C.) jankowskii, which are one of the most common ground beetles in Korea As the results, when the comparison was conducted between intraspecific groups regardless of subspecies in external morphological characters, the average group membership revealed 97.46% correct assignment For intersubspecific comparisons alone 96.3% were correctly classified. Between the groups of ssp. jankowskii an average of 100% individuals were classified in their known group. Thus the predict group membership was highly significant(P<0.001), exceeding so-called 'the 75% rule'. Whereas, the average group membership using the male genitalic characters represented less than the 75% assignment, except only in ssp. quelpartianus (85.6%). The population from Is. Chindo were described here as a new subspecies for qualitative as well as the resultant quantitative differences. Therefore, a total of 7 subspecies are represented in Korea. Among them, the nominate subspecies, ssp. jankowskii(sensu lato), revealed distinct intrasubspecific differences between different geographic populations. These differences can be as notable as intersubspecific variation which need substantial revision of the previous intuitional concepts on the infraspecific level.

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Classification of Two-Crewmen Coastal Fishing Boats by the Fish Species caught with A Multivariate Analysis (어획어종의 다변량분석에 의한 2인승 연안어선의 분류)

  • Jeong, Dong-Gun;Choi, Chan-Moon;Kim, Dong-Geun
    • Journal of Fisheries and Marine Sciences Education
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    • v.9 no.2
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    • pp.236-245
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    • 1997
  • On the basis of the seven species of fish caught by fishing boats with two crewmen belonging to the Iwawada Fisheries Cooperative of Chiba Prefecture, the fishing boats were classified by species withhigh market values, and the results obtainedwere reclassified by discriminant function. As a result, the fishing boats were classified into four groups. These four groups are : G1 featuring themain catchesof yellowtailsand skipjack/tunas ; G2 yellowtails and squids ; G3 squids and skipjack/tunas, and G4 octopus and other miscellaneous specles. Furthermore, principal component analysis were carried out on fish catches of the seven species in terms of the value obtained from a catch from the scores of the first, second and third principal components. The results of analysis show that Groups G1, G2 and G3 assume identical fishing form, while only Group G4 asumes a different fishing form.

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Earnings Management and Division System in the KOSDAQ Market (코스닥소속부제와 이익조정)

  • Kwak, Young-Min
    • Management & Information Systems Review
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    • v.34 no.3
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    • pp.125-140
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    • 2015
  • KOSDAQ market reorganized their division system from two types to four types of division departments such as blue chip, venture, medium, and technology development departments in 2011. However, under the current new division system, financially unhealthy firms attempting to take advantage of the classifying opportunity of blue chip department are likely to engage in pernicious earnings management. The objective of this study is to investigate the earnings management behavior surrounding the time of KOSDAQ firms entering the blue chip department via new division system. More specifically, we test whether the firms classified blue chip department tend to engage in upward earnings management using accruals and real activities before and after they achieve blue chip status. In this study, we analyzed 111 firms classified blue chip department in 2011 according to new division system in KOSDAQ market. Major test results indicate that firms entering the blue chip department according to current KOSDAQ division system in general, tend to inflate reported earnings by means both of accruals and real activities right before the entering year. This result suggests that the firms classified blue chip department engage in opportunistic earnings management with a view to uplifting their market values. Our study is expected to provide clues useful for searching policy directions which intend to ameliorate adverse side effects of the current KOSDAQ division system. In sum, the regulatory authorities and enforcement bodies need to exercise caution in deliberating more stringent review procedures so that financially healthy and promising candidates are properly segregated from their poor and risky counterparts, thus enhancing the beneficial effects, while mitigating adverse side effects of the system.

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인공신경망을 이용한 부실기업예측모형 개발에 관한 연구

  • Jung, Yoon;Hwang, Seok-Hae
    • Proceedings of the Korea Database Society Conference
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    • 1999.06a
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    • pp.415-421
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    • 1999
  • Altman의 연구(1965, 1977)나 Beaver의 연구(1986)와 같은 전통적 예측모형은 분석자의 판단에 따른 예측도가 높은 재무비율을 선정하여 다변량판별분석(MDA: multiple discriminant analysis), 로지스틱회귀분석 등과 같은 통계기법을 주로 이용해 왔으나 1980년 후반부터 인공지능 기법인 귀납적 학습방법, 인공신경망모형, 유전모형 둥이 부실기업예측에 응용되기 시작했다. 최근 연구에서는 인공신경망을 활용한 변수 및 모형개발에 관한 보고가 있다. 그러나 지금까지의 연구가 주로 기업의 재무적 비율지표를 고려한 모형에 치중되었으며 정성적 자료인 비재무지표에 대한 검증과 선정이 자의적으로 이루어져온 경향이었다. 또한 너무 많은 입력변수를 사용할 경우 다중공선성 문제를 유발시킬 위험을 내포하고 있다. 본 연구에서는 부실기업예측모형을 수립하기 위하여 정량적 요인인 재무적 지표변수와 정성적요인인 비재무적 지표변수를 모두 고려하였다. 재무적 지표변수는 상관분석 및 요인분석들을 통하여 유의한 변수들을 도출하였으며 비재무적 지표변수는 조직생태학내에서의 조직군내 조직사멸과 관련된 생태적 과정에 대한 요인들 중 조직군 내적요인으로 조직의 연령, 조직의 규모, 조직의 산업밀도를 도출하여 4개의 실험집단으로 분류하여 비재무적 지표변수를 보완하였다. 인공신경망은 다층퍼셉트론(multi-layer perceptrons)과 역방향 학습(back-propagation )알고리듬으로 입력변수와 출력변수, 그리고 하나의 은닉층을 가지는 3층 퍼셉트론(three layer perceptron)을 사용하였으며 은닉충의 노드(node)수는 3개를 사용하였다. 입력변수로 안정성, 활동성, 수익성, 성장성을 나타내는 재무적 지표변수와 조직규모, 조직연령, 그 조직이 속한 산업의 밀도를 비재무적 지표변수로 산정하여 로지스틱회귀 분석과 인공신경망 기법으로 검증하였다. 로지스틱회귀분석 결과에서는 재무적 지표변수 모형의 전체적 예측적중률이 87.50%인 반면에 재무/비재무적 지표모형은 90.18%로서 비재무적 지표변수 사용에 대한 개선의 효과가 나타났다. 표본기업들을 훈련과 시험용으로 구분하여 분석한 결과는 전체적으로 재무/비재무적 지표를 고려한 인공신경망기법의 예측적중률이 높은 것으로 나타났다. 즉, 로지스틱회귀분석의 재무적 지표모형은 훈련, 시험용이 84.45%, 85.10%인 반면, 재무/비재무적 지표모형은 84.45%, 85.08%로서 거의 동일한 예측적중률을 가졌으나 인공신경망기법 분석에서는 재무적 지표모형이 92.23%, 85.10%인 반면, 재무/비재무적 지표모형에서는 91.12%, 88.06%로서 향상된 예측적 중률을 나타내었다.

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인공신경망을 이용한 부실기업예측모형 개발에 관한 연구

  • Jung, Yoon;Hwang, Seok-Hae
    • Proceedings of the Korea Inteligent Information System Society Conference
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    • 1999.03a
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    • pp.415-421
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    • 1999
  • Altman의 연구(1965, 1977)나 Beaver의 연구(1986)와 같은 전통적 예측모형은 분석자의 판단에 따른 예측도가 높은 재무비율을 선정하여 다변량판별분석(MDA:multiple discriminant analysis), 로지스틱회귀분석 등과 같은 통계기법을 주로 이용해 왔으나 1980년 후반부터 인공지능 기법인 귀납적 학습방법, 인공신경망모형, 유전모형 등이 부실기업예측에 응용되기 시작했다. 최근 연구에서는 인공신경망을 활용한 변수 및 모형개발에 관한 보고가 있다. 그러나 지금까지의 연구가 주로 기업의 재무적 비율지표를 고려한 모형에 치중되었으며 정성적 자료인 비재무지표에 대한 검증과 선정이 자의적으로 이루어져온 경향이었다. 또한 너무 많은 입력변수를 사용할 경우 다중공선성 문제를 유발시킬 위험을 내포하고 있다. 본 연구에서는 부실기업예측모형을 수립하기 위하여 정량적 요인인 재무적 지표변수와 정성적 요인인 비재무적 지표변수를 모두 고려하였다. 재무적 지표변수는 상관분석 및 요인분석들을 통하여 유의한 변수들을 도출하였으며 비재무적 지표변수는 조직생태학내에서의 조직군내 조직사멸과 관련된 생태적 과정에 대한 요인들 중 조직군 내적요인으로 조직의 연령, 조직의 규모, 조직의 산업밀도를 도출하여 4개의 실험집단으로 분류하여 비재무적 지표변수를 보완하였다. 인공신경망은 다층퍼셉트론(multi-layer perceptrons)과 역방향 학습(back-propagation)알고리듬으로 입력변수와 출력변수, 그리고 하나의 은닉층을 가지는 3층 퍼셉트론(three layer perceptron)을 사용하였으며 은닉층의 노드(node)수는 3개를 사용하였다. 입력변수로 안정성, 활동성, 수익성, 성장성을 나타내는 재무적 지표변수와 조직규모, 조직연령, 그 조직이 속한 산업의 밀도를 비재무적 지표변수로 산정하여 로지스틱회귀 분석과 인공신경망 기법으로 검증하였다. 로지스틱회귀분석 결과에서는 재무적 지표변수 모형의 전체적 예측적중률이 87.50%인 반면에 재무/비재무적 지표모형은 90.18%로서 비재무적 지표변수 사용에 대한 개선의 효과가 나타났다. 표본기업들을 훈련과 시험용으로 구분하여 분석한 결과는 전체적으로 재무/비재무적 지표를 고려한 인공신경망기법의 예측적중률이 높은 것으로 나타났다. 즉, 로지스틱회귀 분석의 재무적 지표모형은 훈련, 시험용이 84.45%, 85.10%인 반면, 재무/비재무적 지표모형은 84.45%, 85.08%로서 거의 동일한 예측적중률을 가졌으나 인공신경망기법 분석에서는 재무적 지표모형이 92.23%, 85.10%인 반면, 재무/비재무적 지표모형에서는 91.12%, 88.06%로서 향상된 예측적중률을 나타내었다.

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Corporate Default Prediction Model Using Deep Learning Time Series Algorithm, RNN and LSTM (딥러닝 시계열 알고리즘 적용한 기업부도예측모형 유용성 검증)

  • Cha, Sungjae;Kang, Jungseok
    • Journal of Intelligence and Information Systems
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    • v.24 no.4
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    • pp.1-32
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    • 2018
  • In addition to stakeholders including managers, employees, creditors, and investors of bankrupt companies, corporate defaults have a ripple effect on the local and national economy. Before the Asian financial crisis, the Korean government only analyzed SMEs and tried to improve the forecasting power of a default prediction model, rather than developing various corporate default models. As a result, even large corporations called 'chaebol enterprises' become bankrupt. Even after that, the analysis of past corporate defaults has been focused on specific variables, and when the government restructured immediately after the global financial crisis, they only focused on certain main variables such as 'debt ratio'. A multifaceted study of corporate default prediction models is essential to ensure diverse interests, to avoid situations like the 'Lehman Brothers Case' of the global financial crisis, to avoid total collapse in a single moment. The key variables used in corporate defaults vary over time. This is confirmed by Beaver (1967, 1968) and Altman's (1968) analysis that Deakins'(1972) study shows that the major factors affecting corporate failure have changed. In Grice's (2001) study, the importance of predictive variables was also found through Zmijewski's (1984) and Ohlson's (1980) models. However, the studies that have been carried out in the past use static models. Most of them do not consider the changes that occur in the course of time. Therefore, in order to construct consistent prediction models, it is necessary to compensate the time-dependent bias by means of a time series analysis algorithm reflecting dynamic change. Based on the global financial crisis, which has had a significant impact on Korea, this study is conducted using 10 years of annual corporate data from 2000 to 2009. Data are divided into training data, validation data, and test data respectively, and are divided into 7, 2, and 1 years respectively. In order to construct a consistent bankruptcy model in the flow of time change, we first train a time series deep learning algorithm model using the data before the financial crisis (2000~2006). The parameter tuning of the existing model and the deep learning time series algorithm is conducted with validation data including the financial crisis period (2007~2008). As a result, we construct a model that shows similar pattern to the results of the learning data and shows excellent prediction power. After that, each bankruptcy prediction model is restructured by integrating the learning data and validation data again (2000 ~ 2008), applying the optimal parameters as in the previous validation. Finally, each corporate default prediction model is evaluated and compared using test data (2009) based on the trained models over nine years. Then, the usefulness of the corporate default prediction model based on the deep learning time series algorithm is proved. In addition, by adding the Lasso regression analysis to the existing methods (multiple discriminant analysis, logit model) which select the variables, it is proved that the deep learning time series algorithm model based on the three bundles of variables is useful for robust corporate default prediction. The definition of bankruptcy used is the same as that of Lee (2015). Independent variables include financial information such as financial ratios used in previous studies. Multivariate discriminant analysis, logit model, and Lasso regression model are used to select the optimal variable group. The influence of the Multivariate discriminant analysis model proposed by Altman (1968), the Logit model proposed by Ohlson (1980), the non-time series machine learning algorithms, and the deep learning time series algorithms are compared. In the case of corporate data, there are limitations of 'nonlinear variables', 'multi-collinearity' of variables, and 'lack of data'. While the logit model is nonlinear, the Lasso regression model solves the multi-collinearity problem, and the deep learning time series algorithm using the variable data generation method complements the lack of data. Big Data Technology, a leading technology in the future, is moving from simple human analysis, to automated AI analysis, and finally towards future intertwined AI applications. Although the study of the corporate default prediction model using the time series algorithm is still in its early stages, deep learning algorithm is much faster than regression analysis at corporate default prediction modeling. Also, it is more effective on prediction power. Through the Fourth Industrial Revolution, the current government and other overseas governments are working hard to integrate the system in everyday life of their nation and society. Yet the field of deep learning time series research for the financial industry is still insufficient. This is an initial study on deep learning time series algorithm analysis of corporate defaults. Therefore it is hoped that it will be used as a comparative analysis data for non-specialists who start a study combining financial data and deep learning time series algorithm.

Classification of One-Crewmen Coastal Fishing Boats by the Fish Species caught with A Multivariate Analysis (어획어종의 다변량분석에 의한 1인승 연안어선의 분류)

  • Jeong, Dong-Gun;Choi, Chan-Moon
    • Journal of Fisheries and Marine Sciences Education
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    • v.9 no.2
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    • pp.222-235
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    • 1997
  • On the basis of the seven species of fish caught by fishing boats with one crewmen belonging to the Iwawada Fisheries Cooperative of Chiba Prefecture, the fishing boats were classified by species with high market values, and the results obtained were reclassified by discriminant function. As a result, the fishing boats were classified into six groups. These six groups are : G1 featuring the main catches of yellowtails ; G2 flounders ; G3 skipjack tunas, G4 squids ; G5 demersal fish, and G6 other miscellaneous species. Furthermore, principal component analysis were carried out on fish catches of the seven species in terms of the value obtained from a catch from the scores of the first, second, third and fourth principal components. The results of analysis show that fishing boats with one crewman can be broadly classified into three groups ; i.e., Groups G1/G2, Groups G3/G4/G5 and Group G6.

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Brain F-18 FDG PET for localization of epileptogenic zones in frontal lobe epilepsy: visual assessment and statistical parametric mapping analysis (전두엽 간질에서 F-18-FDG PET의 간질병소 국소화 성능: 육안 판독과 SPM에 의한 분석)

  • Kim, Yu-Kyeong;Lee, Dong-Soo;Lee, Sang-Kun;Chung, Chun-Kee;Yeo, Jeong-Seok;Chung, June-Key;Lee, Myung-Chul
    • The Korean Journal of Nuclear Medicine
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    • v.35 no.3
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    • pp.131-141
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    • 2001
  • Purpose: We evaluated the sensitivity of the F-18 FDG PET by visual assessment and statistical parametric mapping (SPM) analysis for the localization of the epileptogenic zones in frontal lobe epilepsy. Materials and Methods: Twenty-four patients with frontal lobe epilepsy were examined. All patients exhibited improvements after surgical resection (Engel class I or II). Upon pathological examination, 18 patients revealed cortical dysplasia, 4 patients revealed tumor, and 2 patients revealed cortical scar. The hypometabolic lesions were found in F-18 FDG PET by visual assessment and SPM analysis. On SPM analysis, cutoff threshold was changed. Results: MRI showed structural lesions in 12 patients and normal results in the remaining 12. F-18 FDG PET correctly localized epileptogenic zones in 13 patients (54%) by visual assessment. Sensitivity of F-18 FDG PET in MR-negative patients (50%) was similar to that in MR-positive patients (67%). On SPM analysis, sensitivity decreased according to the decrease of p value. Using uncorrected p value of 0.05 as threshold, sensitivity of SPM analysis was 53%, which was not statistically different from that of visual assessment. Conclusion: F-18 FDG PET was sensitive in finding epileptogenic zones by revealing hypometabolic areas even in MR-negative patients with frontal lobe epilepsy as well as in MR-positive patients. SPM analysis showed comparable sensitivity to visual assessment and could be used as an aid in the diagnosis of epileptogenic zones in frontal lobe epilepsy.

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