• The Korean Journal of Applied Statistics
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• v.29 no.4
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• pp.689-697
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• 2016

The most useful method for financial market risk management may be Value at Risk (VaR) which estimates the maximum loss amount statistically. The VaR is used as a risk measure for one industry. Many real cases estimate VaRs for many industries or nationwide industries; consequently, it is necessary to estimate the VaR for multivariate distributions when a specific portfolio is established. In this paper, the multivariate quantile vector is proposed to estimate VaR for multivariate distribution, and the Vector at Risk for multivariate space is defined based on the quantile vector. When a weight vector for a specific portfolio is given, one point among Vector at Risk could be found as the best VaR which is called as an alternative VaR. The alternative VaR proposed in this work is compared with the VaR of Morgan with bivariate and trivariate examples; in addition, some properties of the alternative VaR are also explored.

• Journal of Climate Change Research
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• v.9 no.2
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• pp.157-169
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• 2018

This study explores the long?term trends of extreme temperatures of 270 observation stations in East Asia (China, Japan, and Korea) for 1961?2013. The 5th percentile of daily minimum temperatures (TN05%) and 95th percentile of daily maximum temperatures (TX95%), derived from the quantile regression, are particularly examined in term of their linear and nonlinear trends. The warming trends of TN05% are typically stronger than those of TX95% with more significant trends in winter than in summer for most stations. In both seasons, warming trends of TN05% tend to amplify with latitudes. The nonlinear trends, quantified by the $2^{nd}$?order polynomial fitting, exhibit different structures with seasons. While summer TN05% and TX95% were accelerated in time, winter TN05% underwent weakening of warming since the 2000s. These results suggest that extreme temperature trends in East Asia are not homogeneous in time and space.

• Journal of Korea Water Resources Association
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• v.55 no.9
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• pp.701-705
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• 2022

Reliable drought inflow scenarios are required to plan reservoirs in response to the present severe drought-like conditions. However, the previously developed method for generating drought inflows, the K-water cumulative difference method (KCM), is considered inadequate owing to its potential for negative inflow, reversal phenomena, and overestimation. Nevertheless, the occurrence of these aspects has not been theoretically analyzed. Hence, this study employed the quantile function and frequency factor for log-normal and Gumbel distributions to quantify the contributing factors of these limitations. Consequently, it was found that the negative inflows are generated when the difference in the location parameters, during the accumulation process, exceeds that of the scale parameters. In addition, as the standard deviation decrease during the accumulation process, the reversal phenomena, and inflated values prevailed.

• The Korean Journal of Applied Statistics
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• v.37 no.1
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• pp.13-38
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• 2024

As economic uncertainties have increased recently due to COVID-19, there is a growing need to quickly grasp private consumption trends that directly reflect the economic situation of private economic entities. This study proposes a method of estimating private consumption in real-time by comprehensively utilizing big data as well as existing macroeconomic indicators. In particular, it is intended to improve the accuracy of private consumption estimation by comparing and analyzing various machine learning methods that are capable of fitting ultra-high-dimensional big data. As a result of the empirical analysis, it has been demonstrated that when the number of covariates including big data is large, variables can be selected in advance and used for model fit to improve private consumption prediction performance. In addition, as the inclusion of big data greatly improves the predictive performance of private consumption after COVID-19, the benefit of big data that reflects new information in a timely manner has been shown to increase when economic uncertainty is high.

• Journal of Nutrition and Health
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• v.49 no.5
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• pp.335-346
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• 2016

Purpose: This study was conducted to conduct dietary assessment of Korean adults according to intake of Korean soup and stew. Methods: To accomplish this study, 20,926 adults aged 19 yr or higher who participated in the dietary intake survey (24 h recall method) were analyzed from the data of the 2011~2014 Korea National Health and Nutrition Examination Survey (KNHANES). The items included in the soup and stew were guk, tang, jjigae, jijimi, and jeongol. Results: Intakes of soup and stew of subjects were divided into quartiles; intake range by quartile was Q1: < 22.96 g, Q2: 22.96~98.75 g, Q3: 98.75~212.23 g, and Q4: $${\geq_-}212.24g$$. In the case of the Q4 group, male, married, employed, higher educated, and high income subjects showed increased intakes of soup and stew. In addition, sodium intake among nutrient intakes increased from 3,849.04 mg in Q1 group to 5,363.57 mg in Q4 group. Intakes of cereals/grains, potatoes/starches, legumes, seeds/nuts, vegetables, mushrooms, fruits, meat, fishes/shell fishes, milks/dairy products, oils/fats, and seasonings among all foods significantly increased from Q1 group to Q4 group. Lastly, in the multivariable regression analysis, male, higher age, married, eating breakfast, consumption of snacks, prepared meals from home/institution, average eating-out frequency per week, energy consumption, and sodium intake related parameters increased intake of Korean soup and stew. Conclusion: Excessive intake of sodium was related to high blood pressure and metabolic syndrome. Thus, there are needs to improve dietary guidelines and nutrition education for balanced intake of soup and stew.

• Korean Journal of Cognitive Science
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• v.32 no.1
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• pp.1-53
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• 2021

The aim of this study was to analyze word frequency effects on eye fixation duration in Korean reading with a one-boundary diffusion model and to show how these phenomena differ between adults (20-28yrs) and adolescents (13-14yrs). We predicted that the drift rate parameter in the boundary diffusion model would reflect the information processing of the fovea during silent reading. Through an eye movement tracking experiment while controlling word properties such as the word frequency and the age of acquisition, Experiment 1 and Experiment 2 show that the information processing pertaining to words to be placed in the fovea is connected to the drift rate of the one-boundary diffusion model parameters. In Experiment 1,in the adult group, the mean difference in the fixation time in the response proportion between the presence of high-frequency condition and low-frequency condition in the adult group was higher in quantile 0.9 than it was in the 0.1 quantile, but in the adolescent group, the mean difference in the fixation time in the response proportion between the two conditions was not significantly in the 0.9 quartile.In Experiment 2, the mean difference in the fixation time in the response proportion between early-acquired condition and late-acquired condition in both groups was also higher in the quantile 0.9 than in the 0.1 quantile. The distribution of the two conditions in the both groups was positively skewed, and the difference showed the same pattern found in the results of Ratcliff(Ratcliff & McKoon, 2008). Based on the experimental results, we propose one-boundary diffusion model as a tool to explain word property effects and individual differences in reading. In particular, we suggest that the drift rate parameter in the boundary diffusion model reflects the information processing of the fovea during reading. In addition, the results show that one-boundary diffusion model can be used to predict the aforementioned phenomena in reading.

• Journal of agricultural medicine and community health
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• v.47 no.3
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• pp.181-188
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• 2022

Objectives: The prevalence of diabetes mellitus was approximately 16% in populations of over age 30 years, and deaths from diabetes mellitus became the sixth most prevalent cause of death by disease. To assess the relationship between HbA1c and heavy metal level in blood and urine, targeted residents were evaluated in a vast steel industrial complex. Methods: We selected 414 subjects for analysis after applying the following exclusion criterion: 18 persons with diabetes mellitus. They took part in a questionnaire survey and underwent blood and urinary assessments. HbA1c and lead (Pb) level were measured in blood and, cadmium (Cd), inorganic arsenic (iAs) and mercury (Hg) were evaluated in urine. Two subgroups were divided by HbA1c 6.5%. Each subgroup was divided by 10th, 20th, 30th, 40th, 50th, 60th, 70th, 80th and 90th percentile levels of biological exposure index of the heavy metals for logistic regression. Results: Odd ratios have a tendency to increase as they go from the 90th to the 10th percentile of cadmium. However, lead, arsenic and mercury did not have significant relationships with HbA1c. In correction of age, region, gender and smoking history, a higher distribution in the subgroup with cadmium above 0.8318 ㎍/g creatinine (30th percentile) was demonstrated in the subgroup with HbA1c levels above the 6.5%, with an odds ratio of 5.26 (95% C.I. ; 1.44~19.17). Conclusion: This study found a significant correlation between urinary levels of cadmium and HbA1c in correction of several factors. It is meaningful that this outcome may be used as a basis for a study to establish the acceptable limit of urinary cadmium in Korea.

• The Korean Journal of Applied Statistics
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• v.29 no.7
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• pp.1201-1212
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• 2016

Value at Risk (VaR) for market risk management is a favorite method used by financial companies; however, there are some problems that cannot be explained for the amount of loss when a specific investment fails. Conditional Tail Expectation (CTE) is an alternative risk measure defined as the conditional expectation exceeded VaR. Multivariate loss rates are transformed into a univariate distribution in real financial markets in order to obtain CTE for some portfolio as well as to estimate CTE. We propose multivariate CTEs using multivariate quantile vectors. A relationship among multivariate CTEs is also derived by extending univariate CTEs. Multivariate CTEs are obtained from bivariate and trivariate normal distributions; in addition, relationships among multivariate CTEs are also explored. We then discuss the extensibility to high dimension as well as illustrate some examples. Multivariate CTEs (using variance-covariance matrix and multivariate quantile vector) are found to have smaller values than CTEs transformed to univariate. Therefore, it can be concluded that the proposed multivariate CTEs provides smaller estimates that represent less risk than others and that a drastic investment using this CTE is also possible when a diversified investment strategy includes many companies in a portfolio.

• The Korean Journal of Applied Statistics
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• v.20 no.2
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• pp.267-280
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• 2007

Various single-valued design optimality criteria such as D-, G-, and V-optimality are used often in constructing optimal experimental designs for mixture experiments in a constrained region R where lower and upper bound constraints are imposed on the ingredients proportions. Even though they are optimal in the strict sense of particular optimality criterion used, it is known that their performance is unsatisfactory with respect to the prediction capability over a constrained region. (Vining et at., 1993; Khuri et at., 1999) We assume the quadratic polynomial model as the mixture response surface model and are interested in finding efficient designs in the constrained design space for a mixture. In this paper, we make an expanded list of candidate design points by adding interior points to the extreme vertices, edge midpoints, constrained face centroids and the overall centroid. Then, we want to propose a robust design with respect to D-optimality, G-optimality, V-optimality and distance-based U-optimality. Comparing scaled prediction variance quantile plots (SPVQP) of robust designs with that of recommended designs in Khuri et al. (1999) and Vining et al. (1993) in the well-known examples of a four-component fertilizer experiment as well as McLean and Anderson's Railroad Flare Experiment, robust designs turned out to be superior to those recommended designs.

• Journal of the Korea Concrete Institute
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• v.21 no.4
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• pp.401-408
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• 2009

A compression lap splice becomes an important issue due to development of ultra-high strength concrete. Current design codes regarding compression lap splice do not utilize merits of the improved strength of ultra-high strength concrete. Especially, a compression lap splice can be calculated longer than a tension lap splice according to the codes because they do not consider effects of compressive strength of concrete and transverse reinforcement. This anomaly confuses engineers in practice. Design equation is proposed for compression lap splice in 40 to 70 MPa of compressive strength of concrete. The proposed equation is based on 51 specimens conducted by authors. Basic form of the equation includes main parameters which are derived from investigating test results. Through two-variable non-linear regression analysis of measured splice strengths, a strength equation of compression lap splices is then derived. A specified splice strength is defined using a 5% fractile coefficient and a lap length equation is constructed. By the proposed equation, the anomaly of lap lengths in tension and compression is got rid of. In addition, the equation has a reliability equivalent to those of the specified strengths of materials.