• Communications for Statistical Applications and Methods
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• 제7권3호
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• pp.655-665
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• 2000

Several information criterions, Schwarz information criterion (SIC), Akaike information criterion (AIC), and the modified Akaike information criterion ($AIC_c$), are proposed to locate a change point in the multiple linear regression model. These methods are applied to a stock Exchange data set and compared to the results.

• Communications for Statistical Applications and Methods
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• 제27권3호
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• pp.301-311
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• 2020

Schwarz's Bayesian information criterion (BIC) is one of the most popular criteria for model selection, that was derived under the assumption of independent and identical distribution. For correlated data in longitudinal studies, Jones (Statistics in Medicine, 30, 3050-3056, 2011) modified the BIC to select the best linear mixed effects model based on the effective sample size where the number of parameters in covariance structure was not considered. In this paper, we propose an extended Jones' modified BIC by considering covariance parameters. We conducted simulation studies under a variety of parameter configurations for linear mixed effects models. Our simulation study indicates that our proposed BIC performs better in model selection than Schwarz's BIC and Jones' modified BIC do in most scenarios. We also illustrate an example of smoking data using a longitudinal cohort of cancer patients.

• 한국항만경제학회지
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• 제23권4호
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• pp.216-227
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• 2007

건화물선 발틱운임인 케이프사이즈 운임지수(BCI), 파나막스사이즈 운임지수(BPI), 핸디막스사이즈 운임지수(BSI와 BHSI)들의 인과성과 효율성을 살펴본다. 인과성 분석을 위해 그란저 인과성 방법을 도입하여 BCI는 BPI, BSI, BHSI에 일방 그란저-cause하며, BSI는 BPI, BHSI에 일방 그란저-cause하고, BPI는 BHSI에 일방 그란저-cause함을 보인다. 이에 근거하여 모형을 구성하여 발틱 운임시장은 비효율적임을 보이고 예측능력 비교를 통해 BCI에 의한 발틱 핸디막스 운임의 예측력이 우수하며, 발틱 수퍼막스 운임과 발틱 케이프 사이즈 운임에 의한 발틱 파나막스 운임의 예측이 가장 정확하지 못함을 보인다.

• 산업경영시스템학회지
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• 제32권1호
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• pp.11-19
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• 2009

A number of trend test methods, i.e., Military Handbook test and Laplace test etc., have been applied to investigate recurrent failures trend in repairable systems. Existing methods provide information about only existence of trend in the system. In this paper, we propose a new change-point test based on the Schwarz Information Criterion(SIC). The change-point approach is more informative than other trend test methods in that it provides the number of change-points and the location of change-points if it exists, as well as the existence of change-point for recurrent failures. The change-point test is applied to nine 300MW generating units operated in East China. We confirm that the change-point test has a potential for establishing optimal preventive maintenance policy by detecting change-point of failure rate.

• Journal of applied mathematics & informatics
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• 제9권2호
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• pp.771-785
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• 2002

Many industries like energy, utilities, ice cream and leisure sports are closely related to the weather. In order to hedge weather related risks, they invest their assets with portfolios like option, coupons, future, and other weather derivatives. Among weather related derivatives, CDD and HDD index options are mainly transacted between companies. In this paper, the autocorrelation system of temperature will be checked for several cities in Korea and the parameter estimation will be carried based on the maximum likelihood estimation. Since the log likelihood increase as the number of parameters increases, we adopt the Schwarz information criterion .

• 한국신뢰성학회지:신뢰성응용연구
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• 제9권2호
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• pp.121-130
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• 2009

The power law process model the Rate of occurrence of failures(ROCOF) with monotonic trend during the operating time. However, the power law process is inappropriate when a non-monotonic trend in the failure data is observed. In this paper we deals with the reliability modeling of the failure process of large and complex repairable system whose rate of occurrence of failures shows the non-monotonic trend. We suggest a sectional model and a change-point test based on the Schwarz information criterion(SIC) to describe the non-monotonic trend. Maximum likelihood is also suggested to estimate parameters of sectional model. The suggested methods are applied to field data from an repairable system.

• The Journal of Asian Finance, Economics and Business
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• 제8권5호
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• pp.533-542
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• 2021

The main objective of this article is to investigate the existence of the lunar effect during the full moon period (FM period) and the new moon period (NM period) on the selected Islamic stock market returns and volatilities. For this purpose, the Ordinary Least Squares model, Autoregressive Conditional Heteroscedasticity model, Generalised Autoregressive Conditional Heteroscedasticity model and Generalised Autoregressive Conditional Heteroscedasticity-in-Mean model are employed using the mean daily returns data between January 2010 and December 2019. Next, the log-likelihood, Akaike Information Criterion and Schwarz Information Criterion value are analyzed to determine the best models for explaining the returns and volatility of returns. The empirical results have deduced that, during the NM period, excluding Malaysia, the total mean daily returns for all of the selected countries have increased mean daily returns in contrast to the mean daily returns during the FM period. The volatility shocks are intense and conditional volatility is persistent in all countries. Subsequently, the volatility behavior tends to have lower volatility during the FM period and NM period in the Islamic stock market, except Malaysia. This article also concluded that the ARCH (1) model is the preferred model for stock returns whereas GARCH-M (1, 1) is preferred for the volatility of returns.

• Journal of Ecology and Environment
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• 제48권2호
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• pp.196-206
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• 2024

Background: Most of the biomass equations were developed using sample trees collected mainly from pan-tropical and tropical regions that may over- or underestimate biomass. Site-specific models would improve the accuracy of the biomass estimates and enhance the country's measurement, reporting, and verification activities. The aim of the study is to develop site-specific biomass estimation models and validate and evaluate the existing generic models developed for pan-tropical forest and newly developed allometric models. Total of 140 trees was harvested from each diameter class biomass model development. Data was analyzed using SAS procedures. All relevant statistical tests (normality, multicollinearity, and heteroscedasticity) were performed. Data was transformed to logarithmic functions and multiple linear regression techniques were used to develop model to estimate aboveground biomass (AGB). The root mean square error (RMSE) was used for measuring model bias, precision, and accuracy. The coefficient of determination (R² and adjusted [adj]-R²), the Akaike Information Criterion (AIC) and the Schwarz Bayesian information Criterion was employed to select most appropriate models. Results: For the general total AGB models, adj-R² ranged from 0.71 to 0.85, and model 9 with diameter at stump height at 10 cm (DSH₁₀), ρ and crown width (CW) as predictor variables, performed best according to RMSE and AIC. For the merchantable stem models, adj-R² varied from 0.73 to 0.82, and model 8) with combination of ρ, diameter at breast height and height (H), CW and DSH₁₀ as predictor variables, was best in terms of RMSE and AIC. The results showed that a best-fit model for above-ground biomass of tree components was developed. AGB_Stem = exp {-1.8296 + 0.4814 natural logarithm (Ln) (ρD²H) + 0.1751 Ln (CW) + 0.4059 Ln (DSH₃₀)} AGB_Branch = exp {-131.6 + 15.0013 Ln (ρD²H) + 13.176 Ln (CW) + 21.8506 Ln (DSH₃₀)} AGB_Foliage = exp {-0.9496 + 0.5282 Ln (DSH₃₀) + 2.3492 Ln (ρ) + 0.4286 Ln (CW)} AGB_Total = exp {-1.8245 + 1.4358 Ln (DSH₃₀) + 1.9921 Ln (ρ) + 0.6154 Ln (CW)} Conclusions: The results demonstrated that the development of local models derived from an appropriate sample of representative species can greatly improve the estimation of total AGB.

• 대기
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• 제16권1호
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• pp.19-31
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• 2006

The purpose of this study is to develop the statistical model to predict sea level pressure of typhoon period in south coast of the Korean Peninsula. Seven typhoons, which struck south coast of the Korean Peninsula, are selected for this study, and the data for analysis include the central pressure and location of typhoon, and sea level pressure and location of 19 observing site. Models employed in this study are the first order regression, the second order regression and the neural network. The dependent variable of each model is a 3-hr interval sea level pressure at each station. The cause variables are the central pressure of typhoon, distance between typhoon center and observing site, and sea level pressure of 3 hrs before, whereas the indicative variable reveals whether it is before or after typhoon passing. The data are classified into two groups - one is the full data obtained during typhoon period and the other is the data that sea level pressure is less than 1000 hPa. The stepwise selection method is used in the regression model while the node number is selected in the neural network by the Schwarz's Bayesian Criterion. The performance of each model is compared in terms of the root-mean square error. It turns out that the neural network shows better performance than other models, and the case using the full data produces similar or better results than the case using the other data.