• Journal of the Korean Statistical Society
• /
• 제25권3호
• /
• pp.359-368
• /
• 1996

The maximum likelihood estimation is discussed for the NLAR model with Laplacian marginals. Since the explicit form of the estimates cannot be obtained due to the complicated nature of the likelihood function we utilize the automatic computer optimization subroutine using a direct search complex algorithm. The conditional least square estimates are used as initial estimates in maximum likelihood procedures. The results of a simulation study for the maximum likelihood estimates of the NLAR(1) and the NLAR(2) models are presented.

• Communications for Statistical Applications and Methods
• /
• 제30권3호
• /
• pp.273-289
• /
• 2023

In this paper, we develop a new time series model for predicting IPO (initial public offering) data with non-negative integer value. The proposed model is based on integer-valued autoregressive (INAR) model with a Poisson thinning operator. Just as the heterogeneous autoregressive (HAR) model with daily, weekly and monthly averages in a form of cascade, the integer-valued heterogeneous autoregressive (INHAR) model is considered to reflect efficiently the long memory. The parameters of the INHAR model are estimated using the conditional least squares estimate and Yule-Walker estimate. Through simulations, bias and standard error are calculated to compare the performance of the estimates. Effects of model fitting to the Korea's IPO are evaluated using performance measures such as mean square error (MAE), root mean square error (RMSE), mean absolute percentage error (MAPE) etc. The results show that INHAR model provides better performance than traditional INAR model. The empirical analysis of the Korea's IPO indicates that our proposed model is efficient in forecasting monthly IPO volumes.

• Journal of the Korean Statistical Society
• /
• 제31권1호
• /
• pp.77-91
• /
• 2002

This paper considers a functional regression model with truncated errors in explanatory variables. We show that the ordinary least squares (OLS) estimators produce bias in regression parameter estimates under misspecified models with ignored errors in the explanatory variable measurements, and then propose methods for analyzing the functional model. Fully parametric frequentist approaches for analyzing the model are intractable and thus Bayesian methods are pursued using a Markov chain Monte Carlo (MCMC) sampling based approach. Necessary theories involved in modeling and computation are provided. Finally, a simulation study is given to illustrate and examine the proposed methods.

• Communications for Statistical Applications and Methods
• /
• 제28권6호
• /
• pp.627-641
• /
• 2021

An asymmetric least squares estimation method has been employed to estimate linear models for percentile regression. An asymmetric maximum likelihood estimation (AMLE) has been developed for the estimation of Poisson percentile linear models. In this study, we propose generalized nonlinear percentile regression using the AMLE, and the use of the parametric bootstrap method to obtain confidence intervals for the estimates of parameters of interest and smoothing functions of estimates. We consider three conditional distributions of response variables given covariates such as normal, exponential, and Poisson for three mean functions with one linear and two nonlinear models in the simulation studies. The proposed method provides reasonable estimates and confidence interval estimates of parameters, and comparable Monte Carlo asymptotic performance along with the sample size and quantiles. We illustrate applications of the proposed method using real-life data from chemical and radiation epidemiological studies.

• Communications for Statistical Applications and Methods
• /
• 제19권2호
• /
• pp.293-301
• /
• 2012

Quantile regression proposed by Koenker and Bassett (1978) is a statistical technique that estimates conditional quantiles. The advantage of using quantile regression is the robustness in response to large outliers compared to ordinary least squares(OLS) regression. A regression tree approach has been applied to OLS problems to fit flexible models. Loh (2002) proposed the GUIDE algorithm that has a negligible selection bias and relatively low computational cost. Quantile regression can be regarded as an analogue of OLS, therefore it can also be applied to GUIDE regression tree method. Chaudhuri and Loh (2002) proposed a nonparametric quantile regression method that blends key features of piecewise polynomial quantile regression and tree-structured regression based on adaptive recursive partitioning. Lee and Lee (2006) investigated wage determinants in the Korean labor market using the Korean Labor and Income Panel Study(KLIPS). Following Lee and Lee, we fit three kinds of quantile regression tree models to KLIPS data with respect to the quantiles, 0.05, 0.2, 0.5, 0.8, and 0.95. Among the three models, multiple linear piecewise quantile regression model forms the shortest tree structure, while the piecewise constant quantile regression model has a deeper tree structure with more terminal nodes in general. Age, gender, marriage status, and education seem to be the determinants of the wage level throughout the quantiles; in addition, education experience appears as the important determinant of the wage level in the highly paid group.

• 한국토양비료학회지
• /
• 제45권4호
• /
• pp.497-502
• /
• 2012

This study investigates the prediction of soil OM on Korean soils using the Visible-Near Infrared (Vis-NIR) spectroscopy. The ASD Field Spec Pro was used to acquire the reflectance of soil samples to visible to near-infrared radiation (350 to 2500 nm). A total of 503 soil samples from 61 Korean soil series were scanned using the instrument and OM was measured using the Walkley and Black method. For data analysis, the spectra were resampled from 500-2450 nm with 4 nm spacing and converted to the $1^{st}$ derivative of absorbance (log (1/R)). Partial least squares regression (PLSR) and regression rules model (Cubist) were applied to predict soil OM. Regression rules model estimates the target value by building conditional rules, and each rule contains a linear expression predicting OM from selected absorbance values. The regression rules model was shown to give a better prediction compared to PLSR. Although the prediction for Andisols had a larger error, soil order was not found to be useful in stratifying the prediction model. The stratification used by Cubist was mainly based on absorbance at wavelengths of 850 and 2320 nm, which corresponds to the organic absorption bands. These results showed that there could be more information on soil properties useful to classify or group OM data from Korean soils. In conclusion, this study shows it is possible to develop good prediction model of OM from Korean soils and provide data to reexamine the existing prediction models for more accurate prediction.