• Communications for Statistical Applications and Methods
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• 제27권5호
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• pp.579-588
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• 2020

Obligor defaults are cross-sectionally correlated as obligors share common economic conditions; in addition obligors are longitudinally correlated so that an economic shock like the IMF crisis in 1998 lasts for a period of time. A longitudinal correlation should be used to construct statistical scenarios of stress test with which we replace a type of artificial scenario that the banks have used. We propose a Bayesian model to accommodate such correlation structures. Using 402 obligors to a domestic bank in Korea, our model with a dynamic correlation is compared to a Bayesian model with a stationary longitudinal correlation and the classical logistic regression model. Our model generates statistical financial statement under a stress situation on individual obligor basis so that the genearted financial statement produces a similar distribution of credit grades to when the IMF crisis occurred and complies with Basel IV (Basel Committee on Banking Supervision, 2017) requirement that the credit grades under a stress situation are not sensitive to the business cycle.

• 응용통계연구
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• 제24권6호
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• pp.1149-1160
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• 2011

기존의 frequentist 추론에 비해 Bayesian 추론에서의 가설 검정 및 모형 선택 문제는 학자들 간에 일치된 견해를 보이지 못하고 있으며 아직도 논란이 되는 것들이 많다. Bayesian 추론에서 가설 검정 및 모형 선택의 기준으로 널리 쓰이는 Bayes factor는 이해하기 쉬우나 여러 경우에 구하기 어려운 단점이 존재한다. 그 외에 다른 기준으로 Spiegelhalter 등 (2002)가 제시한 DIC(Deviance Information Criterion)과 frequentist 추론에서의 P-value에 대비되는 Bayesian P-value가 있다. 본 논문에서는 Swiss banknote 자료를 Bayesian 로지스틱 회귀모형으로 분석하고 관련 기준들을 구하여 각 기준들이 일관성 있는 결론을 보이는지 확인하고자 한다.

• 한국데이터정보과학회:학술대회논문집
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• 한국데이터정보과학회 2003년도 추계학술대회
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• pp.49-56
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• 2003

When X and Y have independent normal distributions, we develop a Bayesian testing procedure for the equality of two coefficients of variation. Under the reference prior of the coefficient of variation, we propose a Bayesian test procedure for the equality of two coefficients of variation using fractional Bayes factor. A real data example is provided.

• Journal of the Korean Data and Information Science Society
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• 제17권4호
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• pp.1413-1425
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• 2006

When X and Y have independent gamma distributions, we develop a Bayesian procedure for testing the equality of two gamma means. The reference prior is derived. Using the derived reference prior, we propose a Bayesian test procedure for the equality of two gamma means using fractional Bayes factor and intrinsic Bayes factor. Simulation study and a real data example are provided.

• Journal of the Korean Data and Information Science Society
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• 제14권4호
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• pp.1023-1030
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• 2003

When X and Y have independent normal distributions, we develop a Bayesian testing procedure for the equality of two coefficients of variation. Under the reference prior of the coefficient of variation, we propose a Bayesian test procedure for the equality of two coefficients of variation using fractional Bayes factor. A real data example is provided.

• Journal of the Korean Data and Information Science Society
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• 제16권4호
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• pp.1095-1106
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• 2005

When X and Y have independent two parameter exponential distributions, we develop a Bayesian testing procedures for the equality of two location parameters. The reference prior in non-regular exponential model is derived. Under this reference prior, we propose a Bayesian test procedures for the equality of two location parameters using fractional Bayes factor and intrinsic Bayes factor. Simulation study and some real data examples are provided.

• 한국데이터정보과학회:학술대회논문집
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• 한국데이터정보과학회 2004년도 춘계학술대회
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• pp.15-23
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• 2004

When X and Y have independent two parameter exponential distributions, we develop a Bayesian testing procedures for the equality of two location parameters. Under the noninformative prior, we propose a Bayesian test procedures for the equality of two location parameters using fractional Bayes factor and intrinsic Bayes factor. Simulation study and some real data examples are provided.

• Communications for Statistical Applications and Methods
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• 제19권3호
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• pp.495-500
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• 2012

We consider a Bayesian test of independence in a two-way contingency table that has some zero cells. To do this, we take a three-stage hierarchical Bayesian model under each hypothesis. For prior, we use Dirichlet density to model the marginal cell and each cell probabilities. Our method does not require complicated computation such as a Metropolis-Hastings algorithm to draw samples from each posterior density of parameters. We draw samples using a Gibbs sampler with a grid method. For complicated posterior formulas, we apply the Monte-Carlo integration and the sampling important resampling algorithm. We compare the values of the Bayes factor with the results of a chi-square test and the likelihood ratio test.

• 대한산업공학회지
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• 제20권1호
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• pp.15-25
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• 1994

The Bayesian approach to reliability acceptance sampling has several advantages over the non-Bayesian approach. For instance, the former usually requires less amount of testing time and smaller sample sizes than the latter. In this article, a Bayesian acceptance sampling plan(ASP) based on a failure-free period life test is developed under the assumption of exponential lifetime distribution, and is compared with the corresponding Bayesian hybrid ASP in terms of the expected completion time. It is found that the proposed ASP tends to have a smaller expected completion time than the Bayesian hybrid ASP as the prior assessment of the reliability of a lot becomes optimistic, and vice versa. Tables of failure-free period Bayesian ASP's are also included.

• Journal of the Korean Data and Information Science Society
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• 제27권1호
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• pp.9-18
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• 2016

모수불확실성을 반영하는 손실모형으로는 Heckman과 Meyers가 제안한 모형이 주로 인용되고 있다. 이 모형은 모수 자체가 어떤 확률분포를 따른다는 가정을 하고 있으며 IAA, Swiss Solvency Test, EU Solvency II 등에서 참고하고 있다. 반면 베이지안 기법을 이용한 연구는 모수에 대한 선험적 정보 즉, 사전분포를 이용하여 모수불확실성을 반영한다. 그러나 현실에서는 두 가지 방법을 동시에 고려해야 하는 상황이 빈번히 발생한다. 이에 본 연구는 Heckman-Meyers의 모형과 베이지안 접근법을 동시에 고려한 베이지안 H-M CRM모형을 제안하고 그 특성을 분석하였다.