• Journal of the Korean Data and Information Science Society
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• 제18권3호
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• pp.697-704
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• 2007

It is common in financial time series that volatility(conditional variance) as a measure of risk exhibits asymmetry in such a manner that positive and negative values of return rates of the series tend to provide different contributions to the volatility. We are concerned with asymmetric conditional variances for Korean financial time series especially during the time span of 2000-2001. Notice that these periods suffer from 9-11 disaster in US and collapses of stock prices of dot-companies in Korea. Threshold-ARCH models are considered and a Wald test of asymmetry is suggested. News impact curves are illustrated for graphical representations of leverage effects inherent in various Korean financial time series.

• Communications for Statistical Applications and Methods
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• 제13권2호
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• pp.429-440
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• 2006

In statistical computing, it is often for researchers to need the distribution of a weighted sum of noncentral chi-square variables. In this case, it is very limited to know its exact distribution. There are many works to contribute to this topic, e.g. Imhof (1961) and Solomon-Stephens (1977). Imhof's method gives good approximation to the true distribution, but it is not easy to apply even though we consider the development of computer technology Solomon-Stephens's three moment chi-square approximation is relatively easy and accurate to apply. However, they skipped many details, and their simulation is limited to a weighed sum of central chi-square random variables. This paper gives details on Solomon-Stephens's method. We also extend their simulation to the weighted sum of non-central chi-square distribution. We evaluated approximated powers for homogeneous test and compared them with the true powers. Solomon-Stephens's method shows very good approximation for the case.

• Communications for Statistical Applications and Methods
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• 제7권2호
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• pp.385-392
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• 2000

Many tests for multivariate normality are based on the spherical coordinates of the scaled residuals of multivariate observations. Moore and Stubblebine's (1981) Pearson chi-square test is based on the radii of the scaled residuals, or equivalently the sample Mahalanobis distances of the observations from the sample mean vector. The chi-square statistic does not have a limiting chi-square distribution since the unknown parameters are estimated from ungrouped data. We will derive a simple closed form of the Rao-Robson chi-square test statistic and provide a self-contained proof that it has a limiting chi-square distribution. We then provide an illustrative example of application to a real data with a simulation study to show the accuracy in finite sample of the limiting distribution.

• Journal of the Korean Statistical Society
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• 제25권4호
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• pp.457-469
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• 1996

In this paper, we propose a method for an exact test of H : $p_i$ = $r_i$ for all i against K : $p_i$ $\neq$ $r_i$ for some i in an unbalanced random effect linear model, where $p_i$ denotes the ratio of the i-th variance component to the error variance. Then we present a method to test H : $p_i$ $\leq$ r against K : $p_i$> r for some specific i by applying orthogonal projection on the model. We also show that any test statistic that follows an F-distribution on the boundary of the hypotheses is equal to the one given here.

• 한국농공학회:학술대회논문집
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• 한국농공학회 2005년도 학술발표논문집
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• pp.284-287
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• 2005

The objective of this study is to check into variation trends of design rainfall according to change of the number of years for observed data. To make comparative study of the relation between design rainfall and recorded year, this study was used maximum rainfall for 24-hr consecutive duration at Gangneung, Seoul, Incheon, Chupungnyeong, Pohang, Daegu, Jeonju, Ulsan, Gwangju, Busan, Mokpo and Yeosu rainfall stations. The tests for Independence, Homogeneity and detection of outliers were used Wald-Wolfowitz's test, Mann-Whitney's test and Grubbs and Beck test respectively. To select appopriate distribution, the distribution of genaralized pareto(GPA), generalized extreme value(GEV), generalized logistic(GLO), lognormal and pearson type 3 distribution is judged by L-moment ratio diagram and Kolmogorov-Smirnov (K-S) test. Design rainfall was estimated by at-site frequency analysis using L-moments and Generalized extreme value(GEV) distribution according to change of the number of years for observed data. Through the comparative analysis for design rainfall induced by L-moments and GEV distribution, relationship between design rainfall and recorded year is provided.

• 기술혁신학회지
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• 제17권3호
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• pp.449-466
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• 2014

그동안 기업의 R&D 투자와 기술혁신 성과의 관계에 관해 여러 연구가 있었다. 하지만 지식생산과정에 수반되는 기업의 의사결정 과정은 효과적으로 분석에 반영되지 못하였다. 특히 기업의 특허성과를 분석함에 있어 포와송모형의 한계에 대응해 최근 연구는 음이항모형을 적용해 극복하고자 했지만 기업의 선택과정을 분석하는데는 한계가 있다. 본 논문은 특허권 정보에 내재된 기업체의 의사결정 과정을 보다 효과적으로 반영하는 실증모형을 제시하고, 사업체조사 결과를 적용해 분석하였다. 특히 기업의 대표적 R&D 성과인 특허에 주목하여 특허 출원건수의 결정과정을 살펴보았다. 분석 결과, 과산포의 존재를 확인할 수 있었고, 허들모형과 일반적인 음이항모형의 결과에 유의한 차이가 있음을 제시하였다. 더불어 Wald-검정을 통해 허들의 설정이 타당하였고, 기업의 특허성과 분석에 있어서 기업의 선택과정을 고려할 필요가 있음을 보였다.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.139-154
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• 2021

This study's impetus is to explore fresh evidence to answer the question, i.e., whether remittances asymmetrically influence financial development in Bangladesh from 1975 to 2019. The study employs several tests, i.e., nonlinear unit root test, Autoregressive Distributed Lagged (ARDL), NARDL, and asymmetric causality test for establishing the pattern of association. Nonlinear unit root tests confirm that variables follow a nonlinear system of being stationary after the first difference. nonlinearity among variables is investigated by performing the BDS test and nonlinear OLS. Directional causality is investigated through both linear and nonlinear effects of remittance inflows by following the non-granger casualty test. The test statistics of Fpass and tBDM showed the Long-run cointegration in the empirical model and positive effect running from remittances inflow to financial development both in the long-run and short-run. Furthermore, the results of a standard Wald test divulge the presence of long-run and short-run asymmetry. Asymmetry causality test established unidirectional causality due to positive and negative shocks in remittances inflows to Bank-based financial development and feedback hypothesis hold for explaining causality between positive and negative shocks in remittance inflows and Stock-based financial development.

• The Journal of Asian Finance, Economics and Business
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• 제7권12호
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• pp.123-129
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• 2020

This scholarly work is an effort to capture the effects of oil prices on the actual exchange rate between dollar and rupee. This is done with reference to the U.S. dollar as oil prices are marked in USD (U.S. Dollar) in the international market, and India is among the top five importers of oil. Using monthly data from January 2001 to May 2020. The study used the real GDP, money supply, short-term interest rate difference between two countries, and inflation apart from the crude oil prices per barrel as the factors that help define the exchange rate. The analysis, through cointegration and vector error correction method (VECM), suggests long and short-run causality amid prices of oil and the rate of exchange fluctuations. Oil prices are found to be negatively related to the exchange rate in the long term but positively related in the short term. The result of the Wald test also indicates the short-run causation from the short-term interest rate and the prices of crude oil towards the exchange rate. The present study shows that oil prices are evidence of the existence of short-term and long-term driving associations with short-term interest rates and exchange rates.

• Genomics & Informatics
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• 제18권4호
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• pp.45.1-45.5
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• 2020

With the ongoing rise of coronavirus disease 2019 (COVID-19) pandemic across the globe, interests in COVID-19 antibody testing, also known as a serology test has grown, as a way to measure how far the infection has spread in the population and to identify individuals who may be immune. Recently, many countries reported their population based antibody titer study results. South Korea recently reported their third antibody formation rate, where it divided the study between the general population and the young male youths in their early twenties. As previously stated, these simple point estimates may be misinterpreted without proper estimation of standard error and confidence intervals. In this article, we provide an updated 95% confidence intervals for COVID-19 antibody formation rate for the Korean population using asymptotic, exact and Bayesian statistical estimation methods. As before, we found that the Wald method gives the narrowest interval among all asymptotic methods whereas mid p-value gives the narrowest among all exact methods and Jeffrey's method gives the narrowest from Bayesian method. The most conservative 95% confidence interval estimation shows that as of 00:00 November 23, 2020, at least 69,524 people were infected but not confirmed. It also shows that more positive cases were found among the young male in their twenties (0.22%), three times that of the general public (0.051%). This thereby calls for the quarantine authorities' need to strengthen quarantine managements for the early twenties in order to find the hidden infected people in the population.

• Steel and Composite Structures
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• 제6권2호
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• pp.159-182
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• 2006

Current fire design codes for determining the temperature within the structural elements that form part of a complete building are based on isolated member tests subjected to the standard fire. However, the standard time-temperature response bears little relation to real fires and doesn't include the effects of differing ventilation conditions or the influence of the thermal properties of compartment linings. The degree to which temperature uniformity is present in real compartments is not addressed and direct flame impingement may also have an influence, which is not considered. It is clear that the complex thermal environmental that occurs within a real building subject to a natural fire can only be addressed using realistic full-scale tests. To study global structural and thermal behaviour, a research project was conducted on the eight storey steel frame building at the Building Research Establishment's Cardington laboratory. The fire compartment was 11 m long by 7 m wide. A fire load of $40kg/m^2$ was applied together with 100% of the permanent actions and variable permanent actions and 56% of live actions. This paper summarises the experimental programme and presents the time-temperature development in the fire compartment and in the main supporting structural elements. Comparisons are also made between the test results and the temperatures predicted by the structural fire Eurocodes.