• Proceedings of the Korea Water Resources Association Conference
• /
• 2016.05a
• /
• pp.197-197
• /
• 2016

Forecasting future drought events in a region plays a major role in water management and risk assessment of drought occurrences. The creeping characteristics of drought make it possible to mitigate drought's effects with accurate forecasting models. Drought forecasts are inevitably plagued by uncertainties, making it necessary to derive forecasts in a probabilistic framework. In this study, a new probabilistic scheme is proposed to forecast droughts, in which a discrete-time finite state-space hidden Markov model (HMM) is used aggregated with the Representative Concentration Pathway 8.5 (RCP) precipitation projection (HMM-RCP). The 3-month standardized precipitation index (SPI) is employed to assess the drought severity over the selected five stations in South Kore. A reversible jump Markov chain Monte Carlo algorithm is used for inference on the model parameters which includes several hidden states and the state specific parameters. We perform an RCP precipitation projection transformed SPI (RCP-SPI) weight-corrected post-processing for the HMM-based drought forecasting to derive a probabilistic forecast that considers uncertainties. Results showed that the HMM-RCP forecast mean values, as measured by forecasting skill scores, are much more accurate than those from conventional models and a climatology reference model at various lead times over the study sites. In addition, the probabilistic forecast verification technique, which includes the ranked probability skill score and the relative operating characteristic, is performed on the proposed model to check the performance. It is found that the HMM-RCP provides a probabilistic forecast with satisfactory evaluation for different drought severity categories, even with a long lead time. The overall results indicate that the proposed HMM-RCP shows a powerful skill for probabilistic drought forecasting.

• The Bulletin of The Korean Astronomical Society
• /
• v.41 no.2
• /
• pp.62.2-62.2
• /
• 2016

We present a newly developed algorithm based on a Bayesian method for 2D tilted-ring analysis of disk galaxies which operates on velocity fields. Compared to the conventional ones based on a chi-squared minimisation procedure, this new Bayesian-based algorithm less suffers from local minima of the model parameters even with high multi-modality of their posterior distributions. Moreover, the Bayesian analysis implemented via Markov Chain Monte Carlo (MCMC) sampling only requires broad ranges of posterior distributions of the parameters, which makes the fitting procedure fully automated. This feature is essential for performing kinematic analysis of an unprecedented number of resolved galaxies from the upcoming Square Kilometre Array (SKA) pathfinders' galaxy surveys. A standalone code, the so-called '2D Bayesian Automated Tilted-ring fitter' (2DBAT) that implements the Bayesian fits of 2D tilted-ring models is developed for deriving rotation curves of galaxies that are at least marginally resolved (> 3 beams across the semi-major axis) and moderately inclined (20 < i < 70 degree). The main layout of 2DBAT and its performance test are discussed using sample galaxies from Australia Telescope Compact Array (ATCA) observations as well as artificial data cubes built based on representative rotation curves of intermediate-mass and massive spiral galaxies.

• Communications for Statistical Applications and Methods
• /
• v.25 no.5
• /
• pp.471-488
• /
• 2018

In this paper, we propose extending proportional hazards frailty models to allow a discrete distribution for the frailty variable. Having zero frailty can be interpreted as being immune or cured. Thus, we develop a new survival model induced by discrete frailty with zero-inflated power series distribution, which can account for overdispersion. This proposal also allows for a realistic description of non-risk individuals, since individuals cured due to intrinsic factors (immunes) are modeled by a deterministic fraction of zero-risk while those cured due to an intervention are modeled by a random fraction. We put the proposed model in a Bayesian framework and use a Markov chain Monte Carlo algorithm for the computation of posterior distribution. A simulation study is conducted to assess the proposed model and the computation algorithm. We also discuss model selection based on pseudo-Bayes factors as well as developing case influence diagnostics for the joint posterior distribution through ${\psi}-divergence$ measures. The motivating cutaneous melanoma data is analyzed for illustration purposes.

• Proceedings of the Korea Water Resources Association Conference
• /
• 2020.06a
• /
• pp.123-123
• /
• 2020

The present study is aimed to correcting radar-based mean areal precipitation forecasts to improve urban flood predictions and uncertainty analysis of water levels contributed at each stage in the process. For this reason, a long short-term memory (LSTM) network is used to reproduce three-hour mean areal precipitation (MAP) forecasts from the quantitative precipitation forecasts (QPFs) of the McGill Algorithm for Precipitation nowcasting by Lagrangian Extrapolation (MAPLE). The Gangnam urban catchment located in Seoul, South Korea, was selected as a case study for the purpose. A database was established based on 24 heavy rainfall events, 22 grid points from the MAPLE system and the observed MAP values estimated from five ground rain gauges of KMA Automatic Weather System. The corrected MAP forecasts were input into the developed coupled 1D/2D model to predict water levels and relevant inundation areas. The results indicate the viability of the proposed framework for generating three-hour MAP forecasts and urban flooding predictions. For the analysis uncertainty contributions of the source related to the process, the Bayesian Markov Chain Monte Carlo (MCMC) using delayed rejection and adaptive metropolis algorithm is applied. For this purpose, the uncertainty contributions of the stages such as QPE input, QPF MAP source LSTM-corrected source, and MAP input and the coupled model is discussed.

• The Korean Journal of Applied Statistics
• /
• v.26 no.2
• /
• pp.267-280
• /
• 2013

College tuition is a significant economic, social, and political issue in Korea. We conduct a Bayesian analysis of a hierarchical model to address the factors related to college tuition based on a survey data collected by Statistics Korea. A binary response variable is selected depending on if more than 70% of tuition costs are supported by parents, and a hierarchical Probit model is constructed with areas as groups. A set of explanatory variables is selected from a factor analysis of available variables in the survey. A Markov chain Monte Carlo algorithm is used to estimate parameters. From the analysis results, income and stress are significantly related to college tuition support from parents. Parents with high income tend to support children's college tuition and students with parents' financial support tend to be mentally less stressed; subsequently, this shows that the economic status of parents significantly affects the mental health of college students. Gender, a healthy life style, and college satisfaction are not significant factors. Comparing areas in terms of the degrees of correlation between stress/income and tuition support from parents, students in Kangwon-do are the most mentally stressed when parents' support is limited; in addition, the positive correlation between parents support and income is stronger in big cities compared to provincial areas.

• Communications for Statistical Applications and Methods
• /
• v.23 no.2
• /
• pp.131-146
• /
• 2016

In research on behavioral studies, significant attention has been paid to the stage-sequential process for longitudinal data. Latent class profile analysis (LCPA) is an useful method to study sequential patterns of the behavioral development by the two-step identification process: identifying a small number of latent classes at each measurement occasion and two or more homogeneous subgroups in which individuals exhibit a similar sequence of latent class membership over time. Maximum likelihood (ML) estimates for LCPA are easily obtained by expectation-maximization (EM) algorithm, and Bayesian inference can be implemented via Markov chain Monte Carlo (MCMC). However, unusual properties in the likelihood of LCPA can cause difficulties in ML and Bayesian inference as well as estimation in small samples. This article describes and addresses erratic problems that involve conventional ML and Bayesian estimates for LCPA with small samples. We argue that these problems can be alleviated with a small amount of prior input. This study evaluates the performance of likelihood and MCMC-based estimates with the proposed prior in drawing inference over repeated sampling. Our simulation shows that estimates from the proposed methods perform better than those from the conventional ML and Bayesian method.

• The Korean Journal of Applied Statistics
• /
• v.15 no.1
• /
• pp.73-84
• /
• 2002

Linear regression models with inequality constraints on the coefficients are frequently used in economic models due to sign or order constraints on the coefficients. In this paper, we propose a Bayesian approach to selecting significant explanatory variables in linear regression models with inequality constraints on the coefficients. Bayesian variable selection requires computation of posterior probability of each candidate model. We propose a method which computes all the necessary posterior model probabilities simultaneously. In specific, we obtain posterior samples form the most general model via Gibbs sampling algorithm (Gelfand and Smith, 1990) and compute the posterior probabilities by using the samples. A real example is given to illustrate the method.

• Proceedings of the Korea Water Resources Association Conference
• /
• 2019.05a
• /
• pp.361-361
• /
• 2019

기존의 Markov Chain 모형으로 일강우량 모의시에 강우의 발생여부를 모의하고 강우일의 강우량은 Monte Carlo 시뮬레이션을 통해 일강우 분포 특성에 맞는 분포형에서 랜덤으로 강우량을 추정하는 것이 일반적이다. 이때 강우 지속기간에 따른 강도 및 강우의 시간별 분포 등의 강우 사상의 특성을 반영할 수 없다는 한계가 있다. 본 연구에서는 이를 개선하기 위해 강우 사상을 지속기간에 따라 강우량을 추정하였다. 즉 강우 사상의 강우 지속일별로 총강우량의 분포형을 비매개변수 추정이 가능한 핵밀도추정(Kernel Density Estimation, KDE)를 적용하여 각각 추정하고, 강우가 지속될 경우에 지속일별로 해당하는 분포형에서 강우량을 구하였다. 각 강우사상에 대해 추정된 총 강우량은 k-최근접 이웃 알고리즘(k-Nearest Neighbor algorithm, KNN)을 통해 관측 강우자료에서 가장 유사한 강우량을 가지는 강우사상의 강우량 일분포 형태에 따라 각 일강우량으로 분배하였다. 본 연구는 기존의 강우량 추정 방법의 한계점을 개선하고자 하였으며, 연구 결과는 미래 강우에 대한 예측에도 활용될 수 있으며 수자원 설계에 있어서 기초자료로 활용될 수 있을 것으로 기대된다.

• The Journal of Asian Finance, Economics and Business
• /
• v.8 no.4
• /
• pp.665-672
• /
• 2021

The paper examines the impact of shadow economy and corruption, along with public expenditure, trade openness, foreign direct investment (FDI), inflation, and tax revenue on the economic growth of the BRICS countries. Data were collected from the World Bank, Transparency International, and Heritage Foundation over the 1991-2017 period. The Bayesian linear regression method is used to examine whether shadow economy, corruption and other indicators affect the economic growth of countries studied. This paper applies the normal prior suggested by Lemoine (2019) while the posterior distribution is simulated using Monte Carlo Markov Chain (MCMC) technique through the Gibbs sampling algorithm. The results indicate that public expenditure and trade openness can enhance the BRICS countries' economic growth, with the positive impact probability of 75.69% and 67.11%, respectively. Also, FDI, inflation, and tax revenue positively affect this growth, though the probability of positive effect is ambiguous, ranging from 51.13% to 56.36%. Further, the research's major finding is that shadow economy and control of corruption have a positive effect on the economic growth of the BRICS countries. Nevertheless, the posterior probabilities of these two factors are 62.23% and 65.25%, respectively. This result suggests that their positive effect probability is not high.

• Communications for Statistical Applications and Methods
• /
• v.30 no.2
• /
• pp.163-178
• /
• 2023

GARCH-X(1, 1) model specifies that conditional variance follows an AR(1) process and includes a past exogenous variable. This study proposes a new class from that model by allowing a more general (non-linear) variance function to follow an AR(1) process. The functions applied to the variance equation include exponential, Tukey's ladder, and Yeo-Johnson transformations. In the framework of normal and student-t distributions for return errors, the empirical analysis focuses on two stock indices data in developed countries (FTSE100 and SP500) over the daily period from January 2000 to December 2020. This study uses 10-minute realized volatility as the exogenous component. The parameters of considered models are estimated using the adaptive random walk metropolis method in the Monte Carlo Markov chain algorithm and implemented in the Matlab program. The 95% highest posterior density intervals show that the three transformations are significant for the GARCHX(1, 1) model. In general, based on the Akaike information criterion, the GARCH-X(1, 1) model that has return errors with student-t distribution and variance transformed by Tukey's ladder function provides the best data fit. In forecasting value-at-risk with the 95% confidence level, the Christoffersen's independence test suggest that non-linear models is the most suitable for modeling return data, especially model with the Tukey's ladder transformation.