• The Korean Journal of Applied Statistics
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• v.17 no.3
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• pp.431-443
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• 2004

For the purpose of disease mapping, we consider the four small area estimation techniques to estimate the mortality rate of small areas; direct, Empirical estimation with total moment estimator and local moment estimator, Estimation based on hierarchial generalized linear model. The estimators are compared by empirical study based on lung cancer mortality data from 2000 Annual Reports on the Cause of Death Statistics in Gyeongsang-Do and Jeonla-Do published by Korean National Statistical Office. Also he stability and efficiency of these estimators are investigated in terms of mean square deviation as well as variation of estimates.

• The Journal of Asian Finance, Economics and Business
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• v.6 no.1
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• pp.107-119
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• 2019

This paper examines the impact of financial integration on economic growth in Southeast Asia over the period 1993-2013. This paper further investigates whether the relationship depends on the level of financial and economic development, government corruption, and macroeconomic policy. These questions raise important issues both from a theoretical and a policy perspective. We employ the generalized methods of moment (GMM) in the dynamic panel estimation framework to analyse several factors, including initial income, initial schooling, financial development, inflation, trade openness, corruption, and financial crisis. The study further analyzes the data using the EGLS model to examine the consistency of the GMM model. We found that financial integration has a significant positive effect on economic growth in Southeast Asia. Our findings suggest that increasing financial integration could improve the productive capacity of the economy, including more investments and efficient allocation of capital, and thus enhancing economic growth in this region. More specifically, the results suggest that the government should work towards eliminating corruption and stabilizing macroeconomics in order to enhance financial integration and economic growth. This paper sheds new insights on a better evaluation of the past and present theorizing on the subject of financial integration and economic growth; especially, in Southeast Asia.

• The Korean Journal of Applied Statistics
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• v.26 no.5
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• pp.767-783
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• 2013

Generalized Method of Moment(GMM) is a popular estimation method to estimate model parameters in empirical financial studies. GMM is frequently applied to estimate diffusion models that are basic techniques of modern financial engineering. However, recent research showed that GMM had poor properties to estimate the parameters that pertain to the diffusion coefficient in diffusion models. This research corrects the weakness of GMM and suggests alternatives to improve the statistical properties of GMM estimators. In this study, a simulation method is adopted to compare estimation methods. Out of compared alternatives, NGMM-Y, a version of improved GMM that adopts the NLL idea of Shoji and Ozaki (1998), showed the best properties. Especially NGMM-Y estimator is superior to other versions of GMM estimators for the estimation of diffusion coefficient parameters.

• Communications for Statistical Applications and Methods
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• v.23 no.5
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• pp.363-383
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• 2016

The Weibull family of lifetime distributions play a fundamental role in reliability engineering and life testing problems. This paper investigates the potential usefulness of transmuted new generalized Weibull (TNGW) distribution for modeling lifetime data. This distribution is an important competitive model that contains twenty-three lifetime distributions as special cases. We can obtain the TNGW distribution using the quadratic rank transmutation map (QRTM) technique. We derive the analytical shapes of the density and hazard functions for graphical illustrations. In addition, we explore some mathematical properties of the TNGW model including expressions for the quantile function, moments, entropies, mean deviation, Bonferroni and Lorenz curves and the moments of order statistics. The method of maximum likelihood is used to estimate the model parameters. Finally the applicability of the TNGW model is presented using nicotine in cigarettes data for illustration.

• Journal of the Korean Data and Information Science Society
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• v.25 no.1
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• pp.211-218
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• 2014

Qu et. al. (2000) proposed the quadratic inference functions (QIF) method to marginal model analysis of longitudinal data to improve the generalized estimating equations (GEE). It yields a substantial improvement in efficiency for the estimators of regression parameters when the working correlation is misspecified. But for the longitudinal data with time-dependent covariates, when the implicit full covariates conditional mean (FCCM) assumption is violated, the QIF can not provide more consistent and efficient estimator than GEE (Cho and Dashnyam, 2013). Lai and Small (2007) divided time-dependent covariates into three types and proposed generalized method of moment (GMM) for longitudinal data with time-dependent covariates. They showed that their GMM type II and GMM moment selection methods can be more ecient than GEE with independence working correlation (GEE-ind) in the case of type II time-dependent covariates. We develop upgraded QIF method for type II time-dependent covariates. We show that this upgraded QIF method can provide substantial gains in efficiency over QIF and GEE-ind in the case of type II time-dependent covariates.

• Proceedings of the Korean Society of Agricultural Engineers Conference
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• 1999.10c
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• pp.479-485
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• 1999

This study was conducted to derived design floods by Generalized Extreme Value(GEV) distributiion for the annual maximum series at ten watersheds along Han, Nagdong, Geum , Yeongsan and Seomjin river systems. Adequency for the analysis of flood data used in this study was established by the test of Independence, Homogeneity , detection of Outliers. Coefficient of variation , skewness and kurtosis were calculated by the L-Moment, and LH-Moment ratio respectively. Parameters were estimated by the Method of L-Method of LH-Moment. Design floods obtained by Method of L-Moments and LH-Moments using different methods for plotting positions in GEV distributions and were compared with those obatined using the Method of L-Moments and LH-Moments by the Relative Mean Errors and Realtive Absoulte Errors. It was found that desgin floods derived by the method of L-Moments and LH-Moments using Cunnane plotting position foumula in the GEV distribution are much closer to those of the observed data in comparison with those obtained by methods of L-moments and LH-moments using the other formula for poltting postions from the viewpoint of Relative Mean Errors and Relative Absoulte Errors. In view of the fact that hydraulic structures indcluding dams and levees are generally usiong design floods with the return period of two hundred years or so, design floods derived by LH-Moments are seemed to be more reasonable than those of L-Moments in the GEV distribution.

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.4 no.4
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• pp.250-260
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• 1992

Two methods for computing extreme sea levels, which are the extreme probability method and the joint probability method, are examined at five different ports (Incheon, Cheju, Yeosu, Pusan, Mukho). The extreme probability mothod estimates the extreme sea levels from three different probability papers of Gumbel, Weibull and generalized extreme value(GEV) using the least square method, conventional moment method and probability weighted moment method. respectively. The results showed that the extreme sea levels estimated by the Gumbel paper or the least square method appeared higher than those calculated by other papers or methods. The extreme values estimated by the extreme probability method are approximately 5-10 cm lower than the values by the joint probability method.

• International Journal of Naval Architecture and Ocean Engineering
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• v.12 no.1
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• pp.325-342
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• 2020

The current study is focused on the evaluation of the ultimate strength of stiffened panels found in ship hull structures that are subjected to combined uniaxial thrust, in-plane and out-of-plane bending moments. This loading condition, which is in general ignored when performing buckling checks, applies to representative control geometries (stiffener with attached plating) as a consequence of the linearly varying normal stresses along the ship's depth induced by the hull-girder vertical bending moment. The problem is generalized by introducing a non-uniform thrust described by a displacement ratio and rotation angle and by introducing the slenderness ratios, within the practical range of interest. The formed design space is explored through methods sourcing from Design of Experiments and by applying non-linear finite element procedures. Surrogate empirical models have been constructed through regression analysis and Response Surface Methods. An additional empirical model is provided to the literature for predicting the ultimate strength under uniaxial thrust. The numerical experimentation has shown that is a significant influence on the ultimate strength of stiffened panels as the thrust non-uniformity increases.

• Proceedings of the Korean Society of Agricultural Engineers Conference
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• 1998.10a
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• pp.318-324
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• 1998

This study was conducted to derive optimal design floods by Generalized Extreme-value(GEV) distribution for the annual maximum series at ten watersheds along Han, Nagdong, Geum, Yeongsan and Seomjin river systems. Adequacy for the analysis of flood data used in this study was established by the tests of Independence, Homogeneity, detection of Outliers. L-coefficient of variation, L-skewness and L-kurtosis were calculated by L-moment ratio respectively. Parameters were estimated by the Methods of Moments and L-Moments. Design floods obtained by Methods of Moments and L-Moments using different methods for plotting positions in GEV distribution were compared by the relative mean and relative absolute error. It was found that design floods derived by the method of L-moments using weibull plotting position formula in GEV distribution are much closer to those of the observed data in comparison with those obtained by method of moments using different formulas for plotting positions in view of relative mean and relative absolute error.

• Communications for Statistical Applications and Methods
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• v.26 no.3
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• pp.239-259
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• 2019

The transmuted generalized extreme value (TGEV) distribution was first introduced by Aryal and Tsokos (Nonlinear Analysis: Theory, Methods & Applications, 71, 401-407, 2009) and applied by Nascimento et al. (Hacettepe Journal of Mathematics and Statistics, 45, 1847-1864, 2016). However, they did not give explicit expressions for all the moments, tail behaviour, quantiles, survival and risk functions and order statistics. The TGEV distribution is a more flexible model than the simple GEV distribution to model extreme or rare events because the right tail of the TGEV is heavier than the GEV. In addition the TGEV distribution can adjusted various forms of asymmetry. In this article, explicit expressions for these measures of the TGEV are obtained. The tail behavior and the survival and risk functions were determined for positive gamma, the moments for nonzero gamma and the moment generating function for zero gamma. The performance of the maximum likelihood estimators (MLEs) of the TGEV parameters were tested through a series of Monte Carlo simulation experiments. In addition, the model was used to fit three real data sets related to financial returns.