• Asian Journal of Business Environment
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• v.11 no.4
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• pp.17-29
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• 2021

Purpose: The aim of this study is to explore the dynamic linkage between conditional stock market volatility and macroeconomic uncertainty of Bangladesh. Research design, data, and methodology: This study uses monthly data covering the time period from January 2005 to December 2018. A comprehensive set of macroeconomic variables, namely industrial production index (IP), consumer price index (CPI), broad money supply (M2), 91-day treasury bill rate (TB), treasury bond yield (GB), exchange rate (EX), inflow of foreign remittance (RT) and stock market index of DSEX are used for analysis. Symmetric and asymmetric univariate GARCH family of models and multivariate VAR model, along with block exogeneity and impulse response functions, are implemented on conditional volatility series to discover the possible interactions and causal relations between macroeconomic forces and stock return. Results: The analysis of the study exhibits time-varying volatility and volatility persistence in all the variables of interest. Moreover, the asymmetric effect is found significant in the stock return and most of the growth series of macroeconomic fundamentals. Results from the multivariate VAR model indicate that only short-term interest rate significantly influence the stock market volatility, while conditional stock return volatility is significant in explaining the volatility of industrial production, inflation, and treasury bill rate. Conclusion: The findings suggest an increasing interdependence between the money market and equity market as well as the macroeconomic fundamentals of Bangladesh.

• Communications for Statistical Applications and Methods
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• v.28 no.1
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• pp.59-79
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• 2021

Value at Risk (VaR) is one of the most common risk management tools in finance. Since a portfolio of several assets, rather than one asset portfolio, is advantageous in the risk diversification for investment, VaR for a portfolio of two or more assets is often used. In such cases, multivariate distributions of asset returns are considered to calculate VaR of the corresponding portfolio. Copulas are one way of generating a multivariate distribution by identifying the dependence structure of asset returns while allowing many different marginal distributions. However, they are used mainly for bivariate distributions and are not widely used in modeling joint distributions for many variables in finance. In this study, we would like to examine the performance of various copulas for high dimensional data and several different dependence structures. This paper compares copulas such as elliptical, vine, and hierarchical copulas in computing the VaR of portfolios to find appropriate copula functions in various dependence structures among asset return distributions. In the simulation studies under various dependence structures and real data analysis, the hierarchical Clayton copula shows the best performance in the VaR calculation using four assets. For marginal distributions of single asset returns, normal inverse Gaussian distribution was used to model asset return distributions, which are generally high-peaked and heavy-tailed.

• Communications for Statistical Applications and Methods
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• v.30 no.1
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• pp.65-73
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• 2023

Contemporary biomedical data often involve an ill-posed problem owing to small sample size and large number of multi-collinear variables. Partial least squares (PLS) method could be a plausible alternative to an ill-conditioned ordinary least squares. However, in the case of a PLS model that includes a random-effect, how to deal with a random-effect or mixed effects remains a widely open question worth further investigation. In the present study, we propose a modified multivariate PLS method implementing mixed-effect model (PLSM). The advantage of PLSM is its versatility in handling serial longitudinal data or its ability for taking a randomeffect into account. We conduct simulations to investigate statistical properties of PLSM, and showcase its real clinical application to predict treatment outcome of esthetic surgical procedures of human faces. The proposed PLSM seemed to be particularly beneficial 1) when random-effect is conspicuous; 2) the number of predictors is relatively large compared to the sample size; 3) the multicollinearity is weak or moderate; and/or 4) the random error is considerable.

• International conference on construction engineering and project management
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• 2005.10a
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• pp.662-666
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• 2005

Using data gathered from expert opinion of plant and equipment professionals; this paper presents the key variables that may constitute a maintenance proficient plant operator. The Multivariate Discriminant Analysis (MDA) was applied to generate data and was tested for sensitivity analysis. Results showed that the MDA model was able to classify plant operators' proficiency at 94.10 percent accuracy and determined nine (9) key variables of a maintenance proficient plant operator. The key variables included: i) number of years of experience as equipment operator (PQ1); ii) eye-hand coordination (PQ9); iii) eye-hand-foot coordination (PQ10); iv) planning skills (TE16); v) pay/wage (MQ1); vi) work satisfaction (MQ4); vii) operator responsibilities as defined by management (MF1); viii) clear management policies (MF4); and ix) management pay scheme (MF5). The classification procedure of nine variables formed the general model with the equation viz: OMP (general) = 0.516PQ1 + 0.309PQ9 + 0.557PQ10 + 0.831TE16 + 0.8MQ1 + 0.0216MQ4 + 0.136MF1 + 0.28MF4 + 0.332MF5 - 4.387

• Proceedings of the Korea Water Resources Association Conference
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• 2022.05a
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• pp.150-150
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• 2022

This study investigates the roles of decomposition methods on high accuracy in daily rainfall prediction from light gradient boosting machine (LightGBM) algorithm. Here, empirical mode decomposition (EMD) and singular spectrum analysis (SSA) methods were considered to decompose and reconstruct input time series into trend terms, fluctuating terms, and noise components. The decomposed time series from EMD and SSA methods were used as input data for LightGBM algorithm in two hybrid models, including empirical mode-based light gradient boosting machine (EMDGBM) and singular spectrum analysis-based light gradient boosting machine (SSAGBM), respectively. A total of four parameters (i.e., temperature, humidity, wind speed, and rainfall) at a daily scale from 2003 to 2017 is used as input data for daily rainfall prediction. As results from statistical performance indicators, it indicates that the SSAGBM model shows a better performance than the EMDGBM model and the original LightGBM algorithm with no decomposition methods. It represents that the accuracy of LightGBM algorithm in rainfall prediction was improved with the SSA method when using multivariate dataset.

• Geomechanics and Engineering
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• v.37 no.3
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• pp.197-211
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• 2024

This research studies the effect of geotechnical factors on EPB-TBM performance parameters. The modeling was performed using simple and multivariate linear regression methods, artificial neural networks (ANNs), and Sugeno fuzzy logic (SFL) algorithm. In ANN, 80% of the data were randomly allocated to training and 20% to network testing. Meanwhile, in the SFL algorithm, 75% of the data were used for training and 25% for testing. The coefficient of determination (R²) obtained between the observed and estimated values in this model for the thrust force and cutterhead torque was 0.19 and 0.52, respectively. The results showed that the SFL outperformed the other models in predicting the target parameters. In this method, the R² obtained between observed and predicted values for thrust force and cutterhead torque is 0.73 and 0.63, respectively. The sensitivity analysis results show that the internal friction angle (φ) and standard penetration number (SPT) have the greatest impact on thrust force. Also, earth pressure and overburden thickness have the highest effect on cutterhead torque.

• Korean Journal of Ecology and Environment
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• v.57 no.1
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• pp.51-59
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• 2024

This note summarizes the application of zooplankton indices for water quality management and estimation based on main research topics of articles focusing on wetland ecosystems, topics that are remained poorly investigated in S. Korea. The aquatic ecosystem-based consists of indices that respond to different target environmental factors, including environmental disturbance. Among the major indicator species and biota, we reviewed that management strategy for the wetland environment has to be focused more on small-sizes, in terms of zooplankton ecology and indices. The ecology of zooplankton communities in freshwater ecosystem has been the focus of an increasing number of studies since 2019, and considerable progress has been made in understanding the major mechanisms involved in regulating their abundance, diversity and spatio-temporal patterns. Even though studies on the freshwater ecosystem in Korea have a long history, a few of studies on zooplankton biota were conducted at wetlands. We suggested the candidate zooplankton indices proposed by the U.S. EPA and EU to suit Korean conditions. In the step of selecting metrics, the best available metrics are species-related variables, such as composition and abundance, as well as richness and diversity. Overall, in spite of several limitations, the development of a plankton-based multivariate assessment method in Korea wetlands is possible using mostly field research data. Later, it could be improved based on qualitative metrics on zooplankton, and with the emergence of further survey data. The present information can be used as basic information for researchers who are dealing with aquatic environments and its interaction with organisms.

• Proceedings of the IEEK Conference
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• 2002.07a
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• pp.698-701
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• 2002

Subspace analysis (which includes PCA) seeks for feature subspace (which corresponds to the eigenspace), given multivariate input data and has been widely used in computer vision and pattern recognition. Typically data space belongs to very high dimension, but only a few principal components need to be extracted. In this paper I present a fast sequential algorithm for subspace analysis or tracking. Useful behavior of the algorithm is confirmed by numerical experiments.

• Communications for Statistical Applications and Methods
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• v.22 no.6
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• pp.557-573
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• 2015

In this paper we develop a Bayesian inference for a multiplicative double seasonal autoregressive (DSAR) model by implementing a fast, easy and accurate Gibbs sampling algorithm. We apply the Gibbs sampling to approximate empirically the marginal posterior distributions after showing that the conditional posterior distribution of the model parameters and the variance are multivariate normal and inverse gamma, respectively. The proposed Bayesian methodology is illustrated using simulated examples and real-world time series data.

• Journal of the Korean Data and Information Science Society
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• v.20 no.4
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• pp.741-747
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• 2009

Properties of multivariate Shewhart and EWMA (Exponentially Weighted Moving Average) control charts for monitoring variance-covariance matrix of quality variables are investigated. Performances of the proposed charts are evaluated for matched fixed sampling interval (FSI) and variable sampling interval (VSI) charts in terms of average time to signal (ATS) and average number of samples to signal (ANSS). Average number of swiches (ANSW) of the proposed VSI charts are also investigated.