• 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.

• The Transactions of the Korea Information Processing Society
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• v.6 no.8
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• pp.2060-2071
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• 1999

The complicate software failure system is defined to the superposition of the points of failure from several component point process. Because the likelihood function is difficulty in computing, we consider Gibbs sampler using iteration sampling based method. For each observed failure epoch, we applied to latent variables that indicates with component of the superposition mode. For model selection, we explored the posterior Bayesian criterion and the sum of relative errors for the comparison simple pattern with superposition model. A numerical example with NHPP simulated data set applies the thinning method proposed by Lewis and Shedler[25] is given, we consider Goel-Okumoto model and Weibull model with GOS, inference of parameter is studied. Using the posterior Bayesian criterion and the sum of relative errors, as we would expect, the superposition model is best on model under diffuse priors.

• The Korean Journal of Applied Statistics
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• v.16 no.1
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• pp.101-115
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• 2003

Lately there has been much theoretical and applied interest in linear models with non-normal heavy tailed error distributions. Starting Zellner(1976)'s study, many authors have explored the consequences of non-normality and heavy-tailed error distributions. We consider hierarchical models including selection models under a skewed heavy-tailed e..o. distribution proposed originally by Chen, Dey and Shao(1999) and Branco and Dey(2001) with Dirichlet process prior(Ferguson, 1973) in order to use a meta-analysis. A general calss of skewed elliptical distribution is reviewed and developed. Also, we consider the detail computational scheme under skew normal and skew t distribution using MCMC method. Finally, we introduce one example from Johnson(1993)'s real data and apply our proposed methodology.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.99-112
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• 2016

Asymmetric jump-diffusion models are effectively used to model the dynamic behavior of asset prices with abrupt asymmetric upward and downward changes. However, the estimation of their extension to the multivariate asymmetric jump-diffusion model has been hampered by the analytically intractable likelihood function. This article confronts the problem using a data augmentation method and proposes a new Bayesian method for a multivariate asymmetric Laplace jump-diffusion model. Unlike the previous models, the proposed model is rich enough to incorporate all possible correlated jumps as well as mention individual and common jumps. The proposed model and methodology are illustrated with a simulation study and applied to daily returns for the KOSPI, S&P500, and Nikkei225 indices data from January 2005 to September 2015.

• Journal of Animal Science and Technology
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• v.57 no.5
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• pp.19.1-19.6
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• 2015

The objective of this study was to estimate variance components and genetic parameters for growth curve parameters in Guilan sheep. Studied traits were parameters of Brody growth model which included A (asymptotic mature weight), B (initial animal weight) and K (maturation rate). The data set and pedigree information used in this study were obtained from the Agricultural Organization of Guilan province (Rasht, Iran) and comprised 8647 growth curve records of lambs from birth to 240 days of age during 1994 to 2014. Marginal posterior distributions of parameters and variance components were estimated using TM program. The Gibbs sampler was run 300000 rounds and the first 60000 rounds were discarded as a burn-in period. Posterior mean estimates of direct heritabilities for A, B and K were 0.39, 0.23 and 0.039, respectively. Estimates of direct genetic correlation between growth curve parameters were 0.57, 0.03 and -0.01 between A-B, A-K and B-K, respectively. Estimates of direct genetic trends for A, B and K were positive and their corresponding values were $0.014{\pm}0.003$ (P < 0.001), $0.0012{\pm}0.0009$ (P > 0.05) and $0.000002{\pm}0.0001$ (P > 0.05), respectively. Residual correlations between growth curve parameters varied form -0.52 (between A-K) to 0.48 (between A-B). Also, phenotypic correlations between growth curve parameters varied form -0.49 (between A-K) to 0.47 (between A-B). The results of this study indicated that improvement of growth curve parameters of Guilan sheep seems feasible in selection programs. It is worthwhile to develop a selection strategy to obtain an appropriate shape of growth curve through changing genetically the parameters of growth model.

• The Korean Journal of Applied Statistics
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• v.35 no.1
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• pp.131-146
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• 2022

Logit models are commonly used to predicting and classifying categorical response variables. Most Bayesian approaches to logit models are implemented based on the Metropolis-Hastings algorithm. However, the algorithm has disadvantages of slow convergence and difficulty in ensuring adequacy for the proposal distribution. Therefore, we use auxiliary mixture sampler proposed by Frühwirth-Schnatter and Frühwirth (2007) to estimate logit models. This method introduces two sequences of auxiliary latent variables to make logit models satisfy normality and linearity. As a result, the method leads that logit model can be easily implemented by Gibbs sampling. We applied the proposed method to diabetes data from the Community Health Survey (2020) of the Korea Disease Control and Prevention Agency and compared performance with Metropolis-Hastings algorithm. In addition, we showed that the logit model using auxiliary mixture sampling has a great classification performance comparable to that of the machine learning models.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.30 no.4B
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• pp.389-397
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• 2010

This study introduced a Bayesian based frequency analysis in which the statistical trend analysis for hydrologic extreme series is incorporated. The proposed model employed Gumbel extreme distribution to characterize extreme events and a fully coupled bayesian frequency model was finally utilized to estimate design rainfalls in Seoul. Posterior distributions of the model parameters in both Gumbel distribution and trend analysis were updated through Markov Chain Monte Carlo Simulation mainly utilizing Gibbs sampler. This study proposed a way to make use of nonstationary frequency model for dynamic risk analysis, and showed an increase of hydrologic risk with time varying probability density functions. The proposed study showed advantage in assessing statistical significance of parameters associated with trend analysis through statistical inference utilizing derived posterior distributions.

• The Korean Journal of Applied Statistics
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• v.37 no.1
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• pp.103-118
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• 2024

The horseshoe prior is notably one of the most popular priors in sparse regression models, where only a small fraction of coefficients are nonzero. The parameter space of the horseshoe prior is much smaller than that of the spike and slab prior, so it enables us to efficiently explore the parameter space even in high-dimensions. However, on the other hand, the horseshoe prior has a high computational cost for each iteration in the Gibbs sampler. To overcome this issue, various MCMC algorithms for the horseshoe prior have been proposed to reduce the computational burden. Especially, Johndrow et al. (2020) recently proposes an approximate algorithm that can significantly improve the mixing and speed of the MCMC algorithm. In this paper, we compare (1) the traditional MCMC algorithm, (2) the approximate MCMC algorithm proposed by Johndrow et al. (2020) and (3) its variant in terms of computing times, estimation and variable selection performance. For the variable selection, we adopt the sequential clustering-based method suggested by Li and Pati (2017). Practical performances of the MCMC methods are demonstrated via numerical studies.

• Animal Bioscience
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• v.36 no.12
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• pp.1806-1820
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• 2023

Objective: The present study was aimed primarily for estimating various genetic parameters (heritability, genetic correlations) of reproduction (age at first calving [AFC], first service period [FSP]); production (first lactation milk, solid-not fat, and fat yield) and lifetime traits (lifetime milk yield, productive life [PL], herd life [HL]) in Tharparkar cattle to check the association of reproduction traits with lifetime traits through two different methods (Frequentist and Bayesian) for comparative purpose. Methods: Animal breeding data of Tharparkar cattle (n = 964) collected from Livestock farm unit of ICAR-NDRI Karnal for the period 1990 through 2019 were analyzed using a Frequentist least squares maximum likelihood method (LSML; Harvey, 1990) and a multi-trait Bayesian-Gibbs sampler approach (MTGSAM) for genetic correlations estimation of all the traits. Estimated breeding values of sires was obtained by BLUP and Bayesian analysis for the production traits. Results: Heritability estimates of most of the traits were medium to high with the LSML (0.20±0.44 to 0.49±0.71) and Bayesian approach (0.24±0.009 to 0.61±0.017), respectively. However, more reliable estimates were obtained using the Bayesian technique. A higher heritability estimate was obtained for AFC (0.61±0.017) followed by first lactation fat yield, first lactation solid-not fat yield, FSP, first lactation milk yield (FLMY), PL (0.60±0.013, 0.60±0.006, 0.57±0.024, 0.57±0.020, 0.42±0.025); while a lower estimate for HL (0.38±0.034) by MTGSAM approach. Genetic and phenotypic correlations were negative for AFC-PL, AFC-HL, FSP-PL, and FSP-HL (-0.59±0.19, -0.59±0.24, -0.38±0.101 and -0.34±0.076) by the multi-trait Bayesian analysis. Conclusion: Breed and traits of economic importance are important for selection decisions to ensure genetic gain in cattle breeding programs. Favourable genetic and phenotypic correlations of AFC with production and lifetime traits compared to that of FSP indicated better scope of AFC for indirect selection of life-time traits at an early age. This also indicated that the present Tharparkar cattle herd had sufficient genetic diversity through the selection of AFC for the improvement of first lactation production and lifetime traits.