• The Korean Journal of Applied Statistics
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• v.29 no.4
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• pp.689-697
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• 2016

The most useful method for financial market risk management may be Value at Risk (VaR) which estimates the maximum loss amount statistically. The VaR is used as a risk measure for one industry. Many real cases estimate VaRs for many industries or nationwide industries; consequently, it is necessary to estimate the VaR for multivariate distributions when a specific portfolio is established. In this paper, the multivariate quantile vector is proposed to estimate VaR for multivariate distribution, and the Vector at Risk for multivariate space is defined based on the quantile vector. When a weight vector for a specific portfolio is given, one point among Vector at Risk could be found as the best VaR which is called as an alternative VaR. The alternative VaR proposed in this work is compared with the VaR of Morgan with bivariate and trivariate examples; in addition, some properties of the alternative VaR are also explored.

• The Korean Journal of Applied Statistics
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• v.18 no.3
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• pp.689-699
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• 2005

We usually use $S^2=\frac{{\Sigma}^n_{i=1}(X_i-\={X})^2}{n-1}$ as sample variance. Korean high school text-books use $S^2_n=\frac{{\Sigma}^n_{i=1}(X_i-\={X})^2}{n}$as sample variance. We can compare the above two definitions of sample variance through their theoretical relationship and simulation.

• Transactions of the Korean Society for Noise and Vibration Engineering
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• v.13 no.8
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• pp.583-590
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• 2003

For the preestimate of the vibration level of the ground next to a dwelling, a multivariate statistical analysis on the experiment data acquired from a variety of construction sites was performed, and then a new estimate model for the value of K and n that can be applied in the diagnosis of the damage was offered. The results maybe summarized as follows : First, the $K_{95}$ and n showed high correlation at P$\leq$0.05. Specially the correlation coefficient about $W_{max}$, S were higher in $K_{95}$ than in n. indicating that $K_{95}$ is generally associated with source conditions. Second, the factor analysis permitted to identify two major sources in each fraction. These sources accounted for at least 73 % of valiance of $K_{95}$. Third, the multiple regression model for the estimate of $K_{95}$ was developed from Fac1 which depend upon the source conditions and Fac2 which depend upon the transmission conditions. The n value is able to determine from the correlation relationship associated with $K_{95}$./.

• Korean Journal of Food Science and Technology
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• v.26 no.6
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• pp.750-758
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• 1994

Flavour components of seven Korean folk sojues, five Chinese kaoliangchiews and Japanese shochu were determined by GC and GC-MS after solid phase extraction with polydivinyl benzene. Less volatile ethyl succinate and ethyl pelargonate were present in Korean folk sojues while volatile ethyl acetate and ethyl butyrate in Chinese kaoliangchiews. In the case of alcohols, the amount of isopentyl alcohol was relatively higher than that of isobutyl alcohol or n-propyl alcohol in Korean folk sojues. On the contrary, less volatile n-propyl alcohol was present more than isopentyl alcohol in Chinese kaoliangchiews. Multivariate statistical analyses involving principal components analysis (PCA) and discriminant analysis (DA) were applied to the GC data. The results of PCA clearly demonstrate that the first principal scores of Korean folk sojues were similar but the second principal scores were different from each other. Classification of Korean sojues and Chinese kaoliangchiews into two groups could be conducted by DA. These results suggested that the common charateristics and identities as a distilled liquors was found in Korean folk sojues.

• The Korean Journal of Applied Statistics
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• v.30 no.2
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• pp.259-269
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• 2017

Due to the nonnegativity of variance, most of nonparametric estimations of discontinuous variance function have used the Nadaraya-Watson estimation with residuals. By the modification of Chen et al. (2009) and Yu and Jones (2004), Huh (2014, 2016a) proposed the estimators of the log-variance function instead of the variance function using the local linear estimator which has no boundary effect. Huh (2016b) estimated the variance function using the adjusted squared residuals by the estimated jump size in the discontinuous variance function. In this paper, we propose an estimator of the discontinuous log-variance function using the local linear estimator with the adjusted log-squared residuals by the estimated jump size of log-variance function like Huh (2016b). The numerical work demonstrates the performance of the proposed method with simulated and real examples.

• Journal of the Korean association of regional geographers
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• v.13 no.3
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• pp.290-300
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• 2007

In this study, web document frequency of city place name is analyzed and it is used as the dataset for rank-size analysis. The search keywords are compared in the context of spatial meaning and the different domain corpus is applied. The acquired search results are applied for the further analysis. Firstly, the rank-size analysis is applied to compare the result between population and document frequency. Secondly, in case of correlation analysis, the significant changes are revealed when the spatial criteria for search keywords are increased. In case of corpus, COM, NET, and ORG shows the higher coefficient values. Lastly, the cluster analysis is applied to classify the list of cities that shows the similarity and difference. These analyses have a significant role in representing the rank-size distribution of city names that are reflected on the web documents in the information society.

• Restorative Dentistry and Endodontics
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• v.35 no.1
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• pp.40-50
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• 2010

This study evaluated the efficacy of an office bleaching gel (RemeWhite, Remedent Inc., Deurle, Belgium) containing 30% hydrogen peroxide. 31 volunteers were recieved office bleaching with the RemeWhite for 3 times at one visit, total 2 visits. As control group, the same gel in which hydrogen peroxide was not included was applied to 31 volunteers with the same protocol. The shade change (${\Delta}E^*$, color difference) of 12 anterior teeth was measured using Colorimerter and Vitapan classical shade guide. The shade change of overall teeth in the experimental group was significantly greater than that in the control group which was measured using Colorimeter. There was also a significant difference between baseline and 14 weeks or 26 weeks though color rebounding phenomenon occurred as time went by. Small shade change difference can be measured accurately using Colorimeter than using Vitapan classical shade guide.

• The Korean Journal of Applied Statistics
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• v.28 no.6
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• pp.1289-1312
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• 2015

This paper studies the comovement of industry defaults among listed companies. Rank correlation coefficients of Spearman's ${\rho}$ and Kendall's ${\tau}$ measure the concordance of default. These non-parametric coefficients do not require distributional assumptions and are easily used even with less data and extreme values. This study predicts a future financial crisis by looking at the comovement of industry defaults. We expect our analyses will aid market participants (including company executives) in making investment or risk management decisions.

• The Korean Journal of Applied Statistics
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• v.22 no.2
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• pp.261-270
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• 2009

Current financial crisis triggered by shaky U.S. banking system adds to the emphasis on the importance of the volatility in controlling and understanding financial time series data. The ARCH and GARCH models have been useful in analyzing economic time series volatilities. In particular, multivariate GARCH(MGARCH, for short) provides both volatilities and conditional correlations between several time series and these are in turn applied to computations of hedge-ratio and VaR. In this short article, we try to assess various MGARCH models with respect to the back-testing performances in VaR study. To this end, 14 korean stock prices are analyzed and it is found that MGARCH outperforms rolling window, and BEKK and CCC are relatively conservative in back-testing performance.

• The Korean Journal of Applied Statistics
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• v.13 no.2
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• pp.343-352
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• 2000

In this study. the author proposes a nonhierarchical clustering method. called the "Double K-Means Clustering", which performs clustering of multivariate observations with the following algorithm: Step I: Carry out the ordinary K-means clmitering and obtain k temporary clusters with sizes $n_1$,... , $n_k$, centroids $c_$1,..., $c_k$ and pooled covariance matrix S. $\bullet$ Step II-I: Allocate the observation x, to the cluster F if it satisfies ..... where N is the total number of observations, for -i = 1, . ,N. $\bullet$ Step II-2: Update cluster sizes $n_1$,... , $n_k$, centroids $c_$1,..., $c_k$ and pooled covariance matrix S. $\bullet$ Step II-3: Repeat Steps II-I and II-2 until the change becomes negligible. The double K-means clustering is nearly "optimal" under the mixture of k multivariate normal distributions with the common covariance matrix. Also, it is nearly affine invariant, with the data-analytic implication that variable standardizations are not that required. The method is numerically demonstrated on Fisher's iris data.