• The Korean Journal of Applied Statistics
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• v.14 no.1
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• pp.81-90
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• 2001

One of the Repeated survey which estimates variability of population, we can be consider rotation sample survey. There are two kinds of rotation sample survey - onelevel rotation sample survey and multi-level rotation sample survey. In rotation sample survey, Composite estimator is used to measure level or level change of the population. This study suggests Generalized Composite estimator as considering intraclass correlation in multi-level rotation sample survey, and optimal weight minimizing variance of estimator. Numerical example shows efficiency of Generalized Composite estimator as considering intraclass correlation according to the sample unit and change degree of intraclass correlation in the rotation group.

• Journal of the Korean Statistical Society
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• v.34 no.3
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• pp.219-233
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• 2005

The 3-way balanced multi-level rotation design has been discussed (Park Kim and Kim, 2003), where the 3-way balancing is done on interview time, in monthly sample and rotation group and recall time. A greater advantage of 3-way balanced design is accomplished by an estimator. To obtain the advantage, we generalized previous generalized composite estimator (GCE). We call this as l-step GCE. The variance of the l-step GCE's of various characteristics of interest are presented. Also, we provide the coefficients which minimize the variance of the l-step GCE. Minimizing a weighted sum of variances of all concerned estimators of interest, we drive one set of the compromise coefficient of l-step GCE's to preserve additivity of estimates.

• Proceedings of the Korean Statistical Society Conference
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• 2003.10a
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• pp.123-130
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• 2003

We define a broad class of rotation designs whose monthly sample is balanced in interview time, level of recall, and rotation group, and whose rotation scheme is time-invariant. The necessary and sufficient conditions are obtained for such designs. Using these conditions, we derive a minimum variance unbiased generalized composite estimator (MVUGCE). To examine the existence of time-in-sample bias and recall bias, we also propose unbiased estimators and their variances. Numerical examples investigate the impacts of design gap, non-sampling error sources, and two types of correlations on the variance of MVUGCE.

• Communications for Statistical Applications and Methods
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• v.11 no.3
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• pp.583-595
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• 2004

For the Korean Economically Active Population Survey(EAPS), we consider the composite estimator based on logistic regression model to estimate the unemployment rate for small areas(Si/Gun). Also, small area estimation technique based on hierarchical generalized linear model is proposed to include the random effect which reflect the characteristic of the small areas. The proposed estimation techniques are applied to real domestic data which is from the Korean EAPS of Choongbuk. The MSE of these estimators are estimated by Jackknife method, and the efficiencies of small area estimators are evaluated by the RRMSE. As a result, the composite estimator based on logistic model is much more efficient than others and it turns out that the composite estimator can produce the reliable estimates under the current EAPS system.

• Proceedings of the Korean Association for Survey Research Conference
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• 2002.11a
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• pp.255-274
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• 2002

We classify rotation sampling designs into two classes. The first class replaces sample units within the same rotation group while the second class replaces sample units between different rotation groups. The first class is specified by the three-way balanced design which is a multi-level version of previous balanced designs. We introduce an extended generalized composite estimator (EGCE) and derive its variance and mean squared error for each of the two classes of design, cooperating two types of correlations and three types of biases. Unbiased estimators are derived for difference between interview time biases, between recall time biases, and between rotation group biases. Using the variance and mean squared error, since any rotation design belongs to one of the two classes and the EGCE is a most general estimator for rotation design, we evaluate the efficiency of EGCE to simple weighted estimator and the effects of levels, design gaps, and rotation patterns on variance and mean squared error.

• The Korean Journal of Applied Statistics
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• v.15 no.1
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• pp.45-55
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• 2002

The 2-level rotation design based on 3 rotation groups is discussed in view of Monthly Retail Trade Survey conducted by the Bureau of Census in U.S., and composite estimators for population characteristics are concerned. The generalized composite estimators and the recursive composite estimators are presented at 2-level rotation design with design gap and variance formulas for the composite estimators are provided. Also under the response variability related with covariance structure and correlation structure from repeated response, relative efficiencies of the composite estimators are compared.

• Journal of the Korean Statistical Society
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• v.29 no.1
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• pp.45-62
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• 2000

Rotation design is a sampling technique to reduce response burden and to estimate the population characteristics varying in time. Park and Kim(1999) discussed a generation of one-level rotation design which is called as {{{{r_1^m ~-r_2^m-1}}}} design has more applicable form than existing before. In the structure of {{{{r_1^m ~-r_2^m-1}}}} design, we derive the exact variances of generalized composite estimators for level, change and aggregate level characteristics of interest, and optimal coefficients minimizing their variances. Finally numerical examples are shown by the efficiency of alternative designs relative to widely used 4-8-4 rotation design. This is continuous work of Part Ⅰ studied by Park and Kim(1999).

• The Korean Journal of Applied Statistics
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• v.17 no.1
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• pp.61-73
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• 2004

Rotation sampling designs may be classified into two categories. The first type uses the same sample unit for the entire life of the survey. The second type uses the sample unit only for a fixed number of times. In both type of designs, the entire sample is partitioned into a finite number(=G) of rotation groups. This paper is generalization of the first type designs. Since the generalized design can be identified by only G rotation groups and recall level 1, we denote this rotation system as l/G rotation design. Under l/G rotation design, variance and mean squared error (MSE) of generalized composite estimator are derived, incorporating two type of biases and exponentially decaying correlation pattern. Compromising MSE's of some selected l/G designs, we investigate design efficiency, design gap effect, ans the effects of correlation and bias.

• The Korean Journal of Applied Statistics
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• v.23 no.4
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• pp.651-668
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• 2010

Various estimators of two risk measures of a specific financial portfolio, Value-at-Risk and Expected Shortfall, are compared for each case of 1-day and 10-day horizons. We use the Korea Composite Stock Price Index data of 20-year period including the year 2008 of the global financial crisis. Indexes of five foreign stock markets are also used for the empirical comparison study. The estimator considering both the heavy tail of loss distribution and the conditional heteroscedasticity of time series is of main concern, while other standard and new estimators are considered too. We investigate which estimator is best for the Korean stock market and which one shows the best overall performance.