• The Korean Journal of Financial Management
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• v.16 no.2
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• pp.285-308
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• 1999

증권의 가격형성에 유리한 뉴스와 불리한 뉴스가 도착할 때 이 뉴스가 주가의 변동성에 미치는 영향의 정도는 차이가 있다. 불리한 뉴스가 변동성에 미치는 영향도가 유리한 뉴스가 변동성에 미치는 영향도보다 크다. 따라서 불리한 뉴스가 발생할 때 형성되는 변동성의 양이 유리한 뉴스의 도착시보다 크다. 그리고 충격의 크기에 따라 이 충격이 야기하는 변동성의 양의 크기에도 차이가 존재한다. 일반 자기회귀 조건부 이분산 과정은 유리한 뉴스와 불리한 뉴스를 대칭적으로 반영하고 있다. 이 뉴스들을 비대칭적으로 포착하는 자기회귀 조건부 이분산 과정의 모형들을 실증적으로 분석하였다. 뉴스의 비대칭성과 규모를 적절히 포착하고 있는 모형들이 비선형 일반 자기회귀 조건부 이분산 과정, 지수 일반 자기회귀 조건부 이분산 과정과 정보 포착 자기회귀 조건부 이분간 과정임이 발견되었다. 이 중 비선형 일반 자기회귀 조건부 이분산 과정이 가장 좋은 모형으로 보인다. 비선형 일반 자기회귀 조건부 이분산 과정의 경우 예측오차의 승멱(power)이 약 1.5이다. 따라서 일반 자기회귀 조건부 이분산 과정의 예측오차의 승멱인 2에 비하여 작다. 이 사실은 일반 자기회귀 조건부 이분산의 예측오차의 승멱이 과도하게 측정되고 없음을 알 수 있다. 뉴스의 비대칭성과 규모를 반영하고 있는 모형들은 한결같이 예측오차의 크기에 적절한 가중치를 부여하여 예측오차의 크기를 조정하고 있다. 이 모형의 성질과 실증분석의 결과에 의하여 예측오차의 승멱은 2 이하로 수정하여 사용해야 한다는 점이 시사되고 있다. 음의 충격이 양의 충격보다 주가의 변동성을 크게 하고 없음이 발견되었다. 주가형성에 유리한 뉴스와 불리한 뉴스가 주가의 변동성에 미치는 영향의 차이와 충격의 중대성을 양으로 표시하는 규모의 차이를 반영해주는 변수들의 추정된 계수가 미국과 일본보다 절대값에 있어서 상당히 작다. 이 현상은 뉴스의 비대칭성과 규모보다는 발생하는 충격, 즉 뉴스 자체에 보다 민감하게 반응하고 있음을 보여주고 있다. 물론 투자자들이 뉴스의 비대칭성과 규모를 완전히 무시하고 투자활동을 전개하고 있다는 것을 의미하는 것은 아니다.

• Proceedings of the Korea Water Resources Association Conference
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• 2015.05a
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• pp.182-182
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• 2015

우리나라에서는 강우관측시스템의 지역적 불균형으로 상대적으로 소규모 저수지의 경우 미계측유역의 특성을 가지며, 신뢰성 있는 강우량, 유출량, 증발량 자료가 매우 부족한 실정이다. 다목적댐 유역과 같은 계측유역의 경우 상류유역의 유입량 자료의 확보가 용이하지만 대부분의 유역의 경우 계측장비가 부족하여 신뢰성이 확보된 유입량 자료를 얻는데 많은 어려움이 있다. 본 연구에서는 미계측유역의 유입량 산정을 위하여 계측유역을 대상으로 강우-유출 모형의 매개변수를 산정하였으며, 산정된 매개변수를 유역특성인자와의 상관성을 토대로 다중선형회귀분석기법(multiple linear regression, MLR)을 적용하여 지역화(regionalization)를 위한 회귀식을 도출하였다. 이를 위해 양질의 유량자료가 확보된 K-water 17개 댐 유역을 대상으로 매개변수를 산정하였으며 이 중 2개의 댐 유역을 미계측유역으로 간주하여 개발된 모형을 검증하였다. 대부분의 통계 지표에서 우수한 모의능력을 확인하였으며, 본 연구를 통하여 개발된 지역화 기법을 미계측유역에 활용한다면 보다 정량적이고 효율적인 수자원 계획이 가능할 것으로 판단된다. 향후 연구로는 불확실성을 고려한 Bayesian GLM 모형을 이용한 지역화기법을 개발하여 매개변수의 불확실성까지 고려할 수 있는 방안을 모색하고자 한다.

• Journal of the Korean Data and Information Science Society
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• v.26 no.1
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• pp.65-75
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• 2015

This paper analyzes the determinants of wage for the college and university graduates utilizing both individual-level and industry-level variables. We note that wage determination has multi-level structure in the sense that individual wage is influenced by individual-level variables (level-1) and industry-level (level-2) variables. Then, the assumption that individual wage is independent in the classical regression is violated. Therefore, this paper utilizes the hierarchical linear model (HLM). The major results are the followings. First, the multiple correspondence analysis including level-1 and 2 variables reveals that both level 1 and level 2 variables affects individual wages judging from the fact that the values of level 1 and level 2 variables differ across the different level of individual wage groups. Second, the decision tree analysis including level-1 and 2 variables shows that the most influential variable in wage determination is industry-level wage and the next is industry-level working hour, ages and sex in the decling order in. This suggests that the utilization of the HLM is appropriate since the characteristics of industry is important in determining the individual wage. Third, it is shown that the HLM model is the best compared to the other models which do not take level-1 and level-2 variables simultaneously into account.

• Journal of the Korean Data and Information Science Society
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• v.24 no.6
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• pp.1285-1296
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• 2013

The fundamental concerns of this paper are to analyze the effects of student course evaluation using subject characteristic and student characteristic variables. We use a 2-level hierarchical linear model since the data structure of subject characteristic and student characteristic variables is multilevel. Four models we consider are as follows; (1) null model, (2) random coefficient model, (3) mean as outcomes model, (4) intercepts and slopes as outcomes model. The results of the analysis were given as follows. First, the result of null model was that subject characteristics effects on course evaluation had much larger than student characteristics. Second, the result of conditional model specifying subject and student level predictors revealed that class size, grade, tenure, mean GPA of the class, native class for level-1, and sex, department category, admission method, mean GPA of the student for level-2 had statistically significant effects on course evaluation. The explained variance was 13% in subject level, 13% in student level.

• Journal of Korean Society of Transportation
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• v.26 no.2
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• pp.35-46
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• 2008

The purposes of this study are to analyze the characteristics and to develop the models of traffic accidents. In pursuing the above, this study gives particular attentions to developing the models(multiple linear, poisson and negative binomial regression) using the data of Cheongju and Cheongwon signalized intersections. The main results analyzed are as follows. First, the accident characteristics of rural area were defined by factor. Second, 4 accident models which are all statistically significant were developed. Finally, such the variables as $X_2$ and $X_{11}$ were evaluated to be specific variables which reflect the characteristics of rural area.

• Economic and Environmental Geology
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• v.39 no.3 s.178
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• pp.255-268
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• 2006

Recent 22-year (1981-2002) meteorological data of 58 Korea Meteorological Adminstration (KMA) station were analyzed to investigate spatial and temporal variation of surface air temperature (SAT) and ground surface temperature (GST) in Korea. Based on the KMA data, multiple linear regression (MLR) models, having two regression variables of latitude and altitude, were presented to predict mean surface air temperature (MSAT) and mean ground surface temperature (MGST). Both models showed a high accuracy of prediction with $R^2$ values of 0.92 and 0.94, respectively. The prediction of MGST is particularly important in the areas of geothermal energy utilization, since it is a critical parameter of input for designing the ground source heat pump system. Thus, due to a good performance of the MGST regression model, it is expected that the model can be a useful tool for preliminary evaluation of MGST in the area of interest with no reliable data. By a simple linear regression, temporal variation of SAT was analyzed to examine long-term increase of SAT due to the global warming and the urbanization effect. All of the KMA stations except one showed an increasing trend of SAT with a range between 0.005 and $0.088^{\circ}C/yr$ and a mean of $0.043^{\circ}C/yr$. In terms of meteorological factors controlling variation of GST, the effects of solar radiation, terrestrial radiation, precipitation, and snow cover were also discussed based on quantitative and qualitative analysis of the meteorological data.

• The Korean Journal of Applied Statistics
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• v.11 no.2
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• pp.451-459
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• 1998

The analysis of data from a multiresponse experiment requires careful consideration of the multivariate nature of the data. In a multiresponse sitation, the optimization problem is more complex than in the single response case. The biplot is a graphical tool which make the analyst to understand the correlation of the response variables, the relation of the response variables arid the explanatory variables and the relative importance of the explanatory variables. In case of good fitting of the first order model, we can draw the biplot with the first order experimental design. Otherwise, we can make the biplot with the second order experimental design by adding other experimental points.

• Journal of the Korean Data and Information Science Society
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• v.28 no.5
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• pp.1021-1026
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• 2017

Mixture experiments are commonly encountered in many fields including food, chemical and pharmaceutical industries. In mixture experiments, measured response depends on the proportions of the components present in the mixture and not on the amount of the mixture. Statistical analysis of the data from mixture experiments has mainly focused on a continuous response variable. In the example of quantal response data in mixture experiments, however, the tumor incidence data have been analyzed in Chen et al. (1996) to study the effects of 3 dietary components on the expression of mammary gland tumor. In this paper, we compared the logistic regression models with linear predictors such as second degree Scheffe polynomial model, Becker model and Akay model in terms of classification accuracy.

• Journal of Korea Water Resources Association
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• v.55 no.3
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• pp.229-243
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• 2022

The effects of monthly meteorological data measured at 11 stations in South Korea on pan coefficient were analyzed to develop the four types of multiple linear regression models for estimating pan coefficients. To evaluate the applicability of developed models, the models were compared with six previous models. Pan coefficients were most affected by air temperature for January, February, March, July, November and December, and by solar radiation for other months. On the whole, for 12 months of the year, the effects of wind speed and relative humidity on pan coefficient were less significant, compared with those of air temperature and solar radiation. For all meteorological stations and months, the model developed by applying 5 independent variables (wind speed, relative humidity, air temperature, ratio of sunshine duration and daylight duration, and solar radiation) for each station was the most effective for evaporation estimation. The model validation results indicate that the multiple linear regression models can be applied to some particular stations and months.

• Phonetics and Speech Sciences
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• v.16 no.2
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• pp.91-97
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• 2024

The aim of this study was to develop and validate the Acoustic Voice Tremor index (AVTI) for the acoustic measurement of voice tremor. A total of 71 normal adults and 41 patients with voice tremor participated in the study. Vowels /a/ were recorded for at least five seconds. Three seconds of vowel stable duration were edited to identify measures of 18 variables related to voice tremor using a Praat script. These variables and the overall severity (OS) of auditory-perceptual assessment were used to design the AVTI using linear regression analysis. The linear regression analysis identified four out of the 18 variables as significant, and a regression equation was constructed. Furthermore, internal and external validity studies demonstrated high correlations, with an average of over 0.8. The AVTI demonstrated a high correlation of 0.841 with OS. The AVTI was found to be capable of predicting voice tremor. Further studies should include a larger number of voice samples and a complementary Praat script for further analysis.