• The Korean Journal of Applied Statistics
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• v.29 no.3
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• pp.463-470
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• 2016

In analysing a time series on the frequency domain, the spectral estimator (or periodogram) is a very useful statistic to identify the periods of a time series. However, the spectral estimator is very sensitive in nature to outliers, so that the spectral estimator in terms of M-estimation has been studied by some researchers. Pak (2001) proposed an empirical method to choose a tuning parameter for the Huber's M-estimating function. In this article, we try to implement Pak's estimation proposal in the spectral estimator. We use the Korean housing price index as an example data set for comparing various M-estimating results.

• The Korean Journal of Applied Statistics
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• v.22 no.5
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• pp.995-1005
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• 2009

Conditional correlation between financial time series plays an important role in risk management, asset allocation and portfolio selection and therefore diverse efforts for modeling conditional correlations in multivariate-GARCH processes have been made in last two decades. In particular, CCC (cf. Bollerslev, 1990) and DCC(dynamic conditional correlation, cf. Engle, 2002) models have been commonly used since they are relatively parsimonious in the number of parameters involved. This article is concerned with DCC modeling for multivariate GARCH processes in comparison with CCC specification. Various multivariate financial time series are analysed to illustrate possible advantages of DCC over CCC modeling.

• The Korean Journal of Applied Statistics
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• v.21 no.2
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• pp.327-340
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• 2008

This paper derives joint and conditional Lagrange multiplier tests based on information matrix for testing functional form and/or the presence of autocorrelation in a regression model. Small sample properties of these tests are assessed by Monte Carlo study and comparisons are made with LM tests based on Hessian matrix. The results show that the proposed $LM_E$ tests have the most appropriate finite sample performance.

• Journal of the Korean Data and Information Science Society
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• v.25 no.3
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• pp.473-483
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• 2014

Even though the ROC manifold for more than three dimensional space which is an extension of the ROC curve and surface has difficulty to represent graphically, the hypervolume under the ROC manifold (HUM) statistic can be defined and obtained based on AUC and VUS measures for the ROC curve and the ROC surface. Hence the definition and characteristics of the HUM for four dimensional space are studied in this work. By extension of the standard criterion of AUC for probabilities of default based on Basel II, the 13 classes of standard criterion of HUM are proposed in order to discriminate four classification models and some application methods are discussed. In order to explore the standard criterion of HUM whose values are obtained from various distributions, ternary plot is used and explained.

• Water for future
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• v.27 no.4
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• pp.135-143
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• 1994

The purpose of this study was to improve the understanding of the characteristics of the daily urban water use. The city of Kwangju in Korea was selected as a study area. The population of Kwangju in the end of 1993 was more than one million and two hundred thousand peoples. The average of daily water use in 1993 was about three hundred and fifty thousand tons a day. The variation of the urban water demand trend with time for a day was studied. One day was devided into 12 divisions with a 2hour increment. The water use demand for the given time interval of a day was observed. The water use index was defind in percentage that indicates the ratio of the amount of water use for a time interval to the amount of water use for a day. The water use index was found to be useful to manage and to operate the water supply systems. In addition to this, the probability distribution of the water use demand for each time interval was tested using the K-S(Komogorov-Smirnov) method. The normal distribution type was found to be appropriate as the probability distribution type for the variation of water demand for the given time interval of a day.

• The Korean Journal of Applied Statistics
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• v.30 no.2
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• pp.233-241
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• 2017

Interval censored data frequently occur in observation studies where the subject is followed periodically. In this paper, our interest is to suggest a test statistic to compare the CIF of two groups with interval censored failure time data in the presence of competing risks. Gray (1988) suggested a test statistic for right censored data that motivated a well-known Fine and Gray's subdistribution hazard model. A multiple imputation technique is adopted to adopt Gray's test statistic to interval censored data. The powers and sizes of the suggested method are investigated through diverse simulation schemes. The main merit of the suggested method is its simplicity to implement with existing software for right censored data. The method is illustrated by analyzing Bangkok's HIV cohort dataset.

• The Korean Journal of Applied Statistics
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• v.20 no.3
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• pp.561-571
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• 2007

Local linear regression estimator is the most widely used nonparametric regression estimator which has a number of advantages over the traditional kernel estimators. It is well known that local linear estimator can produce erratic result in sparse regions in the realization of the design and the interpolation method of Hall and Turlach (1997) is the very efficient way to resolve this problem. However, it has been never pointed out that Hall and Turlach's interpolation method is very sensitive to outliers. In this paper, we propose the robust version of the interpolation method for adapting to sparse design. The finite sample properties of the method is compared with Hall and Turlach's method by the simulation study.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.12 no.9
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• pp.4001-4007
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• 2011

In this study, we selected ten normal women in their 20's and 4 weeks measured Exercise Intensity, Voluntary Ventilation, Respiratory Exchange Ratio, Oxygen and Calorie Consumption and Ventilation Equivalent of them during Normal Gait, Splint-equipped Gait and Crutch Gait With Splint in order to find out whether the movement limitation and the weight of orthosis could have an effect on energy consumption. Each gait was conducted at a comfortable speed, 2.74 km/h for 30 minutes equipped with splint whose average weight is 1.2 kg. In the result of the study, The Crutch Gait With Splint showed high Exercise Intensity compaired to Normal Gait and Splint-equipped Gait. In addtion, in The Voluntary Ventilation and Oxygen Consumption, The Crutch Gait showed higher figures than two the others and the difference was significant as well(p<0.05). As for The Calorie Consumption, it also showed higher figures than two the others but the difference was not statistically significant. Finally, in The Respiratory Exchange Ratio and The Ventilation Equivalent, there was no significant difference among three conditional variables.

• Journal of Korean Society of Forest Science
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• v.88 no.3
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• pp.408-418
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• 1999

On the basin of RAPD analysis, genetic diversity and structure of the natural populations of Abies holophylla was estimated by AMOVA procedure. The average value of percent of polymorphic markers was 71.9%. Most variation existed among individuals within population(80.2%). Genetic differentiation among populations(${\Phi}_{ST}$) was 0.198. When the populations were grouped as two region(i.e., Taebaek and Sobaek Mountain Regions), 8.5% of the total genetic variation was explained as regional differences. The heterogeneity of molecular variance among populations was investigated with Bartlett's test, which revealed that populations of Mt. Taebaek and Mt. Gariwang were more heterogeneous. Generally, the populations of Taebaek Mountain Reion were more heterogeneous than those of Sobaek Mountain Reion. Finally, the applicability of AMOVA to the populations frenetic study was discussed in comparison with other measures of genetic differentiation which were widely used.

• The Korean Journal of Applied Statistics
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• v.26 no.1
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• pp.141-149
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• 2013

We present methods for studying the log-density ratio that enables the selection of the predictors and the form to be included in the logistic regression model. Under bivariate normal distributional assumptions, we investigate the form of the log-density ratio as a function of two predictors. If two covariance matrices are equal, then the crossproduct and quadratic terms are not needed. If the variables are uncorrelated, we do not need the crossproduct terms, but we still need the linear and quadratic terms. We also explore other conditions in which the crossproduct and quadratic terms are not needed in the logistic regression model.