• The Korean Journal of Applied Statistics
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• v.27 no.6
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• pp.1039-1047
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• 2014

An autoregressive model with normal errors is a natural model that attempts to fit time series data. More flexible models that include normal distribution as a special case are necessary because they can cover normality to non-normality models. The skewed exponential power distribution is a possible candidate for autoregressive models errors that may have tails lighter(platykurtic) or heavier(leptokurtic) than normal and skewness; in addition, the use of skewed exponential power distribution can reduce the influence of outliers and consequently increases the robustness of the analysis. We use SIR algorithm and grid method for an efficient Bayesian estimation.

• Journal of the Korean Data and Information Science Society
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• v.27 no.5
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• pp.1203-1214
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• 2016

Obesity is a risk factor for various diseases as well as itself a disease and associated with socioeconomic factors. The obesity proportion has been increasing in Korea over about 15 years so that investigation of the socioeconomic factors related with obesity is important in terms of preventation of obesity. In particular, the association between obesity and socioeconomic status varies with gender and has spatial dependency. In the paper, we estimate the effects of socioeconomic factors on obesity proportion by gender, considering the spatial correlation. Here, a conditional autoregressive model under the Bayesian framework is used in order to take into account the spatial dependency. For the real applicaiton, we use the obestiy proportion dataset at 25 districts of Seoul in 2010. We compare the proposed spatial model with a non-spatial model in terms of the goodness-of-fit and prediction measures so the spatial model performs well.

• Journal of Korea Port Economic Association
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• v.38 no.4
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• pp.13-23
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• 2022

In this study, from January 2015 to April 2020, we propose a stochastic volatility model to capture the leverage effect on daily freight yields in the dry cargo market and analyze the freight yields. Estimation involving the Bayesian Markov Chain Monte Carlo method for the leverage effect based on the negative correlation that exists between returns and volatility in stochastic volatility analysis yields similar estimates, and the statistcs indicates significant. That is, the results of the empirical analysis show that the degree of correlation between returns and volatility, and the magnitude and sign of fluctuations differ, which suggests that taking into account the leverage effect in the SV model improves the goodness of fit of the estimates. In addition to the statistical significance of the estimated model's leverage effect, the analysis by log predictive power score presents the estimated results with improved predictive power of the model considering the leveraged effect. These astatistically significant empirical results show that the stochastic volatility model considering the leverage effect is important for freight rate risk modeling in the marine industry.

• Proceedings of the Korea Water Resources Association Conference
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• 2011.05a
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• pp.386-386
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• 2011

다양한 연구 분야에서 강수량, 온도, 습도, 일조량은 연구에 필요한 기후 인자로써 사용되어져 왔다. 외국의 경우 기후 인자들과의 관계를 도출해 내는 연구가 이루어 졌지만 국내의 경우는 이러한 연구가 이루어지지 않고 있다. 본 연구에서는 이러한 인자들과의 관계를 강수-온도-습도-일조량이 연동되어 모의되는 기법을 개발하고자 한다. 기존 국내외 연구결과들은 지수함수식의 형태를 가지는 모형을 이용하여 온도-일조량(radiation), 온도-습도, 습도-일조량, 온도와 강수-일조량과 습도를 개별적으로 추정하는 연구들이 있었다. 그러나 온도, 강수량, 습도, 일조량 등은 기상학적 관점에서 모두 연관성을 가지고 각 변량들에 영향을 주고 있다. 이러한 점에 착안하여 본 연구에서는 4가지 변량들이 가지는 관계를 규명하고 각 변량간의 상관관계뿐만 아니라 4가지 변량이 동시에 상관성을 갖도록 모형을 구축하고자 한다. 일반적으로 각 변량들 간의 확률적인 거동을 동시에 고려할 수 있는 Network 모형이 많이 이용된다. 본 연구에서는 Bayesian Network 모형을 활용하여 4가지 변량 간에 Bayesian Network를 구성하고, 통계적 모형으로 발전시켜 기후변화 연구에 활용하고자 한다. 제안된 방법론에 대한 적합성을 평가하기 위해, 서울지점을 대상으로 온도, 강수, 습도, 일조량 값을 이용하였다. 기후변화에 따른 수문순환모형에서 이들 4가지 변량은 기본 입력자료로 이용되고 있으나, 현재까지는 강수 및 온도를 사용한 모형 개발이 이루어지고 있다. 이러한 점에서 본 연구의 결과는 기후변화에 따른 물순환 변동성을 평가하는 기본 자료로서 활용될 수 있을 것으로 판단된다.

• Journal of Korea Water Resources Association
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• v.52 no.4
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• pp.279-289
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• 2019

Unlike other natural disasters, drought is a reoccurring and region-wide phenomenon after being triggered by a prolonged precipitation deficiency. Considering that remote sensing products provide consistent temporal and spatial measurements of precipitation, this study developed a remote sensing data-based drought outlook model. The meteorological drought was defined by the Standardized Precipitation Index (SPI) achieved from PERSIANN_CDR, TRMM 3B42 and GPM IMERG images. Bayesian networks were employed in this study to combine the historical drought information and dynamical prediction products in advance of drought outlook. Drought outlook was determined through a decision-making model considering the current drought condition and forecasted condition from the Bayesian networks. Drought outlook condition was classified by four states such as no drought, drought occurrence, drought persistence, and drought removal. The receiver operating characteristics (ROC) curve analysis were employed to measure the relative outlook performance with the dynamical prediction production, Multi-Model Ensemble (MME). The ROC analysis indicated that the proposed outlook model showed better performance than the MME, especially for drought occurrence and persistence of 2- and 3-month outlook.

• Journal of Korean Society of Disaster and Security
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• v.13 no.4
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• pp.25-36
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• 2020

An increasing frequency and intensity of natural disasters have been observed due to climate change. To better prepare for these, the MOIS (ministry of the interior and safety) announced a comprehensive plan for minimizing damages associated with natural disasters, including drought and heavy snowfall. The spatial-temporal pattern of snowfall is greatly influenced by temperature and geographical features. Heavy snowfalls are often observed in Gangwon-do, surrounded by mountains, whereas less snowfall is dominant in the southern part of the country due to relatively high temperatures. Thus, snow depth data often contains zeros that can lead to difficulties in the selection of probability distribution and estimation of the parameters. A generalized mixture distribution approach to a maximum snow depth series over the southern part of Korea (i.e., Changwon, Tongyeoung, Jinju weather stations) are located is proposed to better estimate a threshold (𝛿) classifying discrete and continuous distribution parts. The model parameters, including the threshold in the mixture model, are effectively estimated within a Bayesian modeling framework, and the uncertainty associated with the parameters is also provided. Comparing to the Daegwallyeong weather station, It was found that the proposed model is more effective for the regions in which less snow depth is observed.

• Proceedings of the Korea Water Resources Association Conference
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• 2015.05a
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• pp.20-20
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• 2015

최근 기후변화의 영향으로 전 세계적으로 홍수와 가뭄의 발생빈도가 증가하고 있다. 특히, 가뭄은 우리나라에서 겨울과 봄철을 중심으로 매년 발생되고 있다. 가뭄의 정확한 발생을 판단하기는 어려우나, 가뭄이 발생되면 그 진행속도는 홍수보다 느리기 때문에 초기에 가뭄의 발생가능성을 예측한다면 가뭄에 대한 피해를 줄일 수 있다. 따라서 최근 가뭄 예측에 대한 다양한 연구가 이루어지고 있다. 본 연구에서는 가뭄발생의 불확실성을 내포하기 위하여 Bayesian Network (BN) 모형과 SPI의 자기상관성을 바탕으로 가까운 미래의 가뭄 발생확률을 예측하는 방법을 제안하였다. BN은 변수들 간의 인과관계를 확률적으로 나타낼 수 있는 네트워크 모형으로, 자연현상에 대한 위험도 분석 및 의학 분야에서 질병추정을 위한 모형으로 활용되고 있다. 본 연구에서는 가까운 미래의 가뭄 예측을 위하여 APEC 기후센터(APEC Climate Center, APCC)에서 제공하는 다중모형앙상블(Multi-model Ensemble, MME) 강우예측 결과로 도출한 미래 SPI 및 과거 강우량 자료로 구축한 SPI를 부모노드로, 예측 SPI를 자식노드로 BN을 구축하였다. BN의 각각의 노드를 Gaussian 확률분포모형으로 가정한 뒤, Likelihood weighting 방법으로 주변사후분포확률(Marginal posterior distribution)을 추정하여 미래의 SPI의 발생확률을 계산하였다. 2008년부터 2013년의 BN 가뭄 예측값과 MME 강우예측 결과로 도출한 SPI를 실제 관측 강우량으로 산정한 SPI와 비교하였으며, BN이 실제 관측결과에 가까운 결과가 도출되었다. 본 연구에서는 BN을 활용하여 가까운 미래의 가뭄 발생가능성을 확률적으로 나타낼 수 있는 방법을 제시하였으며, 그 결과 가뭄상태별 가뭄 발생확률이 산정되었다.

• The Korean Journal of Applied Statistics
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• v.27 no.6
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• pp.991-1002
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• 2014

Both Bayesian and maximum likelihood methods are efficient for the estimation of regression coefficients of various Tobit regression models (see. e.g. Chib, 1992; Greene, 1990; Lee and Choi, 2013); however, some researchers recognized that the maximum likelihood method tends to underestimate the disturbance variance, which has implications for the estimation of marginal effects and the asymptotic standard error of estimates. The underestimation of the maximum likelihood estimate in a seemingly unrelated Tobit regression model is examined. A Bayesian method based on an objective noninformative prior is shown to provide proper estimates of the disturbance variance as well as other regression parameters

• The Korean Journal of Applied Statistics
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• v.27 no.6
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• pp.947-958
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• 2014

Understanding extreme precipitation events is very important for flood planning purposes. Especially, the r-year return level is a common measure of extreme events. In this paper, we present a spatial analysis of precipitation return level using hierarchical Bayesian modeling. For intensity, we model annual maximum daily precipitations and daily precipitation above a high threshold at 62 stations in Korea with generalized extreme value(GEV) and generalized Pareto distribution(GPD), respectively. The spatial dependence among return levels is incorporated to the model through a latent Gaussian process of the GEV and GPD model parameters. We apply the proposed model to precipitation data collected at 62 stations in Korea from 1973 to 2011.

• The Korean Journal of Applied Statistics
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• v.18 no.1
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• pp.1-13
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• 2005

Latent Class model has been considered recently by many researchers and practitioners as a tool for identifying heterogeneous segments or groups in a population, and grouping objects into the segments. In this paper we consider data on prostate cancer patients from Korean National Cancer Institute and propose a method for grouping prostate cancer patients by using latent class Poisson model. A Bayesian approach equipped with a Markov chain Monte Carlo method is used to overcome the limit of classical likelihood approaches. Advantages of the proposed Bayesian method are easy estimation of parameters with their standard errors, segmentation of objects into groups, and provision of uncertainty measures for the segmentation. In addition, we provide a method to determine an appropriate number of segments for the given data so that the method automatically chooses the number of segments and partitions objects into heterogeneous segments.