• The Korean Journal of Applied Statistics
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• v.28 no.3
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• pp.393-406
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• 2015

We examine how to model mortality risk using the adaptation of the mean-reverting processes for the two factor model proposed by Cairns et al. (2006b). Mortality improvements have been recently observed in some countries such as United Kingdom; therefore, we assume long-run mortality converges towards a trend at some unknown time and the mean-reverting processes could therefore be an appropriate stochastic model. We estimate the parameters of the two-factor model incorporated with mean-reverting processes by a Metropolis-Hastings algorithm to fit United Kingdom mortality data from 1991 to 2015. We forecast the evolution of the mortality from 2014 to 2040 based on the estimation results in order to evaluate the issue price of a longevity bond of 25 years maturity. As an application, we propose a method to quantify the speed of mortality improvement by the average mean reverting times of the processes.

• The Korean Journal of Financial Management
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• v.21 no.1
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• pp.149-181
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• 2004

In this study we perform empirical tests using KOSPI return to investigate the existence of nonlinear characteristics in the generating process of stock returns. There are three categories in empirical tests; the test of nonlinear dependence, nonlinear stochastic process and nonlinear deterministic chaos. According to the analysis of nonlinearity, stock returns are not normally distributed but leptokurtic, and appear to have nonlinear dependence. And it's decided that the nonlinear structure of stock returns can not be completely explained using nonlinear stochastic models of ARCH-type. Nonlinear deterministic chaos system is the feedback system, which the past incidents influence the present, and it is the fractal structure with self-similarity and has the sensitive dependence on initial conditions. To summarize the results of chaos analysis for KOSPI return, it is the persistent time series, which is not IID and has long memory, takes biased random walk, and is estimated to be fractal distribution. Also correlation dimension, as the approximation of fractal dimension, converged stably within 3 and 4, and maximum Lyapunov exponent has positive value. This suggests that chaotic attractor and the sensitive dependence on initial conditions exist in stock returns. These results fit into the characteristics of chaos system. Therefore it's decided that the generating process of stock returns has nonlinear deterministic structure and follow chaotic process.

• Korea journal of population studies
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• v.32 no.2
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• pp.59-85
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• 2009

본 연구는 최근 인구학에서 공간적 접근을 시도하는 논의들이 활발해지는 경향과 함께 지역 적합적 저출산 대응정책의 필요성의 대두라는 정책적 수요에 부합하고자 자녀출산계획에 있어 지역의 공간적 효과가 미치는 효과를 분석하였다. 또한, 기혼여성의 연령, 출산한 자녀의 수가 자녀를 출산할 계획을 가질 확률에 대한 비선형적 효과를 실증적으로 분석하였다. 다층모형과 같이 최근 지역연구에서 이용되고 있는 실증분석방법들의 한계점을 살펴보고, 그 대안으로 Geo-Additive Model을 적용하였다. 동 방법론은 한 모형 내에서 공간의 구조적 효과와 비구조적 효과, 연속형 변인의 비선형효과 등을 동시에 추정할 수 있다. 이를 위한 분석자료로 통계청의 2005년도 인구주택총조사의 마이크로데이터 중 2% B형 자료를 이용하였다. 분석결과 기혼여성이 자녀를 출산할 계획을 가질 확률에 기혼여성의 연령과 출산한 자녀의 수는 비선형적 효과를 주었으며, 특히 각 개인들은 현재의 출산 상태에서 자녀 한명을 추가로 출산하는 것이 동일한 부담으로 작용하지 않음을 알 수 있었다. 이를 통해 기혼여성들의 첫출산 시점이 결혼연령에 따라 차이가 있고 결혼코호트에 따라 다르더라도 첫출산 자체가 여전히 보편적인 현상이라는 가정을 받아들인다면, 출산율 제고를 위한 정책의 대상은 첫째아를 이미 출산한 여성들이 되어야 할 것으로 보인다. 또한, 자녀를 출산할 계획을 가질 확률에 지역의 구조적 공간효과가 유의미한 영향을 주는 것으로 분석되었다. 지역별 합계출산율의 공간 자기상관분석 결과와 비교해 본 결과 출산계획의 구조적 공간효과가 양의 효과를 미치는 지역에서는 실제 출산행위인 합계출산율도 높지만, 구조적 공간효과가 부적인 효과를 가지고 있는 지역에서는 합계출산율도 낮게 나타남을 알 수 있었다. 따라서 각 지방자치단체에서는 지자체들의 정책수요나 자원 및 재정의 부담능력 등 지역별 차이를 고려하지 않은 일률적인 정책의 추진을 지양하고, 지역 특수성을 고려하여 지역에 적합한 출산정책을 추진해야 할 것이다.

• The Korean Journal of Applied Statistics
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• v.18 no.2
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• pp.381-393
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• 2005

As a promising technique for dimension reduction in regression analysis, Sliced Inverse Regression (SIR) and an associated chi-square test for dimensionality were introduced by Li (1991). However, Li's test needs assumption of Normality for predictors and found to be heavily dependent on the number of slices. We will provide a unified asymptotic test for determining the dimensionality of the SIR model which is based on the probabilistic principal component analysis and free of normality assumption on predictors. Illustrative results with simulated and real examples will also be provided.

• Proceedings of the Korea Water Resources Association Conference
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• 2017.05a
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• pp.224-224
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• 2017

지구온난화로 인한 기후변화 등으로 안전한 하천구조물을 설계하기 위해서는 신뢰할 수 있는 홍수량 산정이 필요하다. 신뢰할 수 있는 홍수량 산정을 위해서는 정도 높은 과거 수문자료가 필요하나 국내의 많은 중소 규모유역이 미계측 유역 또는 과거 수문자료 부족으로 신뢰 할 수 있는 홍수량 산정이 어려운 실정이다. 본 연구에서는 미계측 유역의 홍수량 산정을 위하여 확률분포모형(PDM)의 매개변수 지역화를 수행하였다. 매개변수 지역화 연구를 수행하기 위하여, 금강 25개 유역을 대상으로 유역별 9~18개의 단기홍수수문사상을 선정하였다. 선정된 단기홍수수문사상을 확률분포모형에 적용하기위하여, MCAT (Monte Carlo Analysis Toolbox)을 활용하여 검정 및 검증을 수행하였으며, 목적함수는 수문곡선 모든 구간을 반영하는 NSE (Nash Sutcliffe Efficiency)와 고유량 부분을 반영하는 RMSE (Root Mean Squared Error) - FH를 적용하였다. 각각의 목적함수에 대하여 검정 모형 매개변수와 유역 특성인자의 다중 선형회귀식을 강우유출모형 매개변수 지역화 모형으로 제시하였다. 매개변수 지역화 결과의 평가를 위하여 청주 유역을 미계측 유역으로 가정하였다. 청주 유역에 대하여 지역화 매개변수를 적용한 결과, 17개의 사상 중 11개의 사상에서 NSE 목적함수 값이 0.5이상으로 전체적인 수문곡선의 경향성을 보였으며, 첨두 홍수량은 17개 사상 중 11개 사상에서 관측 첨두 홍수량 값의 20%이내를 제시하여 적합한 결과를 제시하였다. 또한 금강 25개 유역에 Jackknife 방법으로 검정 결과 관측 첨두 홍수량 값 20%이내의 성능을 보이는 사상이 56%를 포함하고 있어 의미있는 지역화 모형을 제시하였다고 판단된다. 본 연구에서 제시한 매개변수 지역화 방법은 미계측 유역의 유출모의에 활용될 수 있음을 확인하였다.

• Journal of Korean Society of Disaster and Security
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• v.13 no.1
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• pp.1-11
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• 2020

One of the important problem in statistical hydrology is to estimate the appropriated probability distribution for a given sample data. For the problem, a goodness-of-fit test is conducted based on the similarity between estimated probability distribution and assumed theoretical probability distribution. Probability plot correlation coefficient test (PPCC) is one of the goodness-of-fit test method. PPCC has high rejection power and its application is simple. In this study, test statistics of PPCC were derived for generalized extreme value distribution (GEV) models based on L-moments and these statistics were suggested by the multiple and nonlinear regression equations for its usability. To review the rejection power of the newly proposed method in this study, Monte Carlo simulation was performed with other goodness-of-fit tests including the existing PPCC test. The results showed that PPCC-A test which is proposed in this study demonstrated better rejection power than other methods, including the existing PPCC test. It is expected that the new method will be helpful to estimate the appropriate probability distribution model.

• The Korean Journal of Applied Statistics
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• v.30 no.5
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• pp.665-679
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• 2017

When measuring productive efficiency, often it is necessary to have knowledge of the production frontier function that shows the maximum possible output of production units as a function of inputs. Canonical parametric forms of the frontier function were initially considered under the framework of stochastic frontier model; however, several additional nonparametric methods have been developed over the last decade. Efforts have been recently made to impose shape constraints such as monotonicity and concavity on the non-parametric estimation of the frontier function; however, most existing methods along that direction suffer from unnecessary non-smooth points of the frontier function. In this paper, we propose methods to estimate the smooth frontier function with monotonicity for stochastic frontier models and investigate the effect of imposing a monotonicity constraint into the estimation of the frontier function and the finite dimensional parameters of the model. Simulation studies suggest that imposing the constraint provide better performance to estimate the frontier function, especially when the sample size is small or moderate. However, no apparent gain was observed concerning the estimation of the parameters of the error distribution regardless of sample size.

• Journal of the Korean Data and Information Science Society
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• v.20 no.2
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• pp.251-260
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• 2009

In this study, we propose a new estimation method based on autocovariance for selecting optimal estimators of the regression coefficients in the simple linear regression model. Although this method does not seem to be intuitively attractive, these estimators are unbiased for the corresponding regression coefficients. When the exploratory variable takes the equally spaced values between 0 and 1, under mild conditions which are satisfied when errors follow an autoregressive moving average model, we show that these estimators have asymptotically the same distributions as the least squares estimators. Additionally, under the same conditions as before, we provide a self-contained proof that these estimators converge in probability to the corresponding regression coefficients.

• Journal of the Korean Data and Information Science Society
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• v.22 no.5
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• pp.839-847
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• 2011

In this study, we derive an estimator based on autocovariance for the regression coefficients vector in the multiple linear regression model. This method is suggested by Park (2009), and although this method does not seem to be intuitively attractive, this estimator is unbiased for the regression coefficients vector. When the vectors of exploratory variables satisfy some regularity conditions, under mild conditions which are satisfied when errors are from autoregressive and moving average models, this estimator has asymptotically the same distribution as the least squares estimator and also converges in probability to the regression coefficients vector. Finally we provide a simulation study that the forementioned theoretical results hold for small sample cases.

• Journal of Korea Water Resources Association
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• v.38 no.6 s.155
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• pp.471-483
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• 2005

A monthly Ensemble Streamflow Prediction (ESP) system was developed by applying a daily rainfall-runoff model known as the Streamflow Synthesis and Reservoir Regulation (SSARR) model to the Han, Nakdong, and Seomjin River basins in Korea. This study first assesses the accuracy of the averaged monthly runoffs simulated by SSARR for the 3 basins and proposes some improvements. The study found that the SSARR modeling of the Han and Nakdong River basins tended to significantly underestimate the actual runoff levels and the modeling of the Seomjin River basinshowed a large error variance. However, by implementing optimal linear correction (OLC), the accuracy of the SSARR model was considerably improved in predicting averaged monthly runoffs of the Han and Nakdong River basins. This improvement was not seen in the modeling of the Seomjin River basin. In addition, the ESP system was applied to forecast probabilistic runoff forecasts one month in advance for the 3 river basins from 1998 to 2003. Considerably improvement was also achieved with OLC in probabilistic forecasting accuracy for the Han and Nakdong River basins, but not in that of the Seomjin River basin.