• Bulletin of the Korean Mathematical Society
• /
• v.43 no.4
• /
• pp.813-820
• /
• 2006

We consider a MAR model with ARCH type conditional heteroscedasticity. MAR-ARCH model can be derived as a smoothed version of the double threshold AR-ARCH model by adding a random error to the threshold parameters. Easy to check sufficient conditions for strict stationarity, ${\beta}-mixing$ property and existence of moments of the model are given via Markovian representation technique.

• Communications for Statistical Applications and Methods
• /
• v.2 no.2
• /
• pp.296-302
• /
• 1995

When heteroscedasticity occurs in random effects linear model, the error variance may depend on the values of one or more of the explanatory variables or on other relevant quantities such as time or spatial ordering. In this paper we derive a score test as a diagnostic tool for detecting non-constant error variance in random effefts linear model based on the model expansion on error variance. This score test is compared to loglikelihood ratio test.

• Journal of the Korean Statistical Society
• /
• v.34 no.1
• /
• pp.61-71
• /
• 2005

A class of asymmetric ARCH processes is proposed via binary random power transformations. This class accommodates traditional nonlinear models such as threshold ARCH (Rabemanjara and Zacoian (1993)) and Box-Cox type ARCH models(Higgins and Bera (1992)). Stationarity condition of the model is addressed. Iterative least squares(ILS) and pseudo maximum like-lihood(PML) methods are discussed for estimating parameters and related algorithms are presented. Illustrative analysis for Korea Stock Prices Index (KOSPI) data is conducted.

• Journal of the Korean Statistical Society
• /
• v.24 no.2
• /
• pp.375-387
• /
• 1995

Main purpose of this article is to consider the asymptotic distribution of the rank transformed F statistic for interaction in a two-way layout. Some theorems and sufficient conditions are derived to have the rank transformed F statistic converged in distribution to a chi-squared random variable with (I-1)(J-1) degrees of freedom divided by (I-1)(J-1). These results will be useful for the other theoretical studies of the rank transform procedure in experimental designs.

• Communications for Statistical Applications and Methods
• /
• v.4 no.3
• /
• pp.775-785
• /
• 1997

Robustness rates for repeated measures pairwise multiple comparison procedures were investigated in a split plot design with one between- and one within-subjects factor using untrimmed and trimmed data. Five factors were manipulated in the study: distribution, sphericity, variance-covariance heteroscedasticity, total sample size, and sample size ratio. The Welsch test (W) and the Welsch test on trimmed data $(W_{RT})$ performed better than the other procedures, but had a liberal tendency. The trimmed difference score Bonferroni Procedure $(B_{DT})$ was a good choice in some conditions.

• Journal of the Korean Data and Information Science Society
• /
• v.15 no.2
• /
• pp.441-447
• /
• 2004

Li and Mak (1994) developed a test statistic for detecting the non-linearity and the heteroscedasticity of the time series data. But it is well known that the test statistic may be very sensitive in case of heavy-tailed distributions of the errors. Jiang et al.(2001) suggested the robust method for ARCH models but the calculation procedures for the estimation are very complicated. We suggested the robust method based on Huber's function and our method works quite well rater than the Li and Mak(1994). Also our method is relatively easy to calculate the test statistic.

• Journal of the Korean Data and Information Science Society
• /
• v.15 no.2
• /
• pp.413-422
• /
• 2004

Box-Cox power transformation is employed for analyzing volatilities in Korean financial time series such as KOSPI, KOSDAQ index and interest rates. Statistical procedures for Box-Cox transformed ARCH models are presented. For illustration, diverse financial time series data are analyzed and appropriate power transformations are suggested for each data.

• Journal of the military operations research society of Korea
• /
• v.36 no.3
• /
• pp.43-56
• /
• 2010

Recently, the acquisition environment of the Korean defense weapon system is emphasizing more the importance of cost analysis in terms of efficient execution for defense acquisition budget. While cost analysis, however, is emphasized in law and process, its infrastructures are still insufficient We have been using computerized cost models to obtain an estimate at early phase of project. But those models have been developed by foreign companies, and so they have many limitations when using in Korean defense environment. For this reason, it began to sympathize that we need the development of the Korean version cost estimation model suitable for our defense industry environment, and now many studies are proceeding. In this study, we suggest Cost Estimating Relationships(CERs) developing methodologies which is key logics of Korean version cost estimation model. Especially, we proposed a new CER's development process depending upon data characteristics such as, multicolinearity, outlier, small samples and heteroscedasticity. Also, we presented a case study for artillery weapon system using these methods we developed. We find that these CERs could be verified through theoretical methods.

• IE interfaces
• /
• v.25 no.3
• /
• pp.347-356
• /
• 2012

The acquisition cost of defense weapon system has been continuously increasing because of art-of-technology of it. This phenomenon requires efficiency and transparency in the weapon system acquisition process through cost estimation. Therefore cost estimation is very important to the government acquisition programs to support decisions about funding and to evaluate resource requirement as a key decision point. The Commercial parametric cost estimating models have been using extensively to obtain appropriate cost estimates in early acquisition phase. These models have many restrictions to ensure the cost estimating result in Korean defense environment because they are developed based on foreign R&D data. Also estimation results are different from Korean defense industry accounting system. So, some studies have been tried to develop a CER (Cost Estimation Relationship) based on the Korean historical data. However, there are some restrictions to improve the predictability and ensure the stability of the developed singular CERs which consider the following data characteristics individually. The the abnormal conditions of data that is multicollinearity, outlier and heteroscedasticity under rack of the number of observations. In this paper, a CER's Linear Combining Model is proposed to overcome those limitations which guarantee more accurate estimation (25.42% higher precision) than other singular CERs. At least, this study is meaningful as a first attempt to improve the predictability of CER with insufficient data. The methodology suggested in this study will be useful to develop a complex Korean version cost estimating model development in future.

• The Journal of Fisheries Business Administration
• /
• v.42 no.2
• /
• pp.69-83
• /
• 2011

This paper estimates demand functions of oyster as Kimchi's ingredients of capital area, other areas excluding a capital area, and a whole area in Korea to forecast its demand quantities in 2011~2015. To estimate oyster demand function, this paper uses pooled data produced from Korean housewives over 30 years old in 2009 and 2010. Also, this paper adopts several econometrics methods such as Ordinary Least Squares and Feasible Generalized Least Squares. First of all, to choose appropriate variables of oyster demand functions by area, this paper carries out model's specification with joint significance test. Secondly, to remedy heteroscedasticity with pooled data, this paper attempts residual plotting between estimated squared residuals and estimated dependent variable and then, if it happens, undertakes White test to care the problem. Thirdly, to test multicollinearity between variables with pooled data, this paper checks correlations between variables by area. In this analysis, oyster demand functions of a capital area and a whole area need price of the oyster, price of the cabbage for Gimjang, and income as independent variables. The function on other areas excluding a capital area only needs price of the oyster and income as ones. In addition, the oyster demand function of a whole area needed White test to care a heteroscedasticity problem and demand functions of the other two regions did not have the problem. Thus, first model was estimated by FGLS and second two models were carried out by OLS. The results suggest that oyster demand quantities per a household as Kimchi's ingredients are going to slightly increase in a capital area and a whole area, but slightly decrease in other areas excluding a capital area in 2011~2015. Also, the results show that oyster demand quantities as kimchi's ingredients for total household targeting housewives over 30 years old are going to slightly increase in three areas in 2011~2015.