• Journal of the Korean Data and Information Science Society
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• 제16권1호
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• pp.137-144
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• 2005

In $I{\times}J$ incomplete contingency tables, the test of independence proposed by Chen and Fienberg(1974) uses $I{\times}J-1$ instead of (I-1)(J-1) degrees of freedom without providing much of an increase in the value of the test statistic. For these reasons, Chen and Fienberg tests are expected to have less power. New Wald test statistic related to the part of Chen and Fienberg test statistic is proposed using delta method. These two tests are compared through Monte Carlo studies.

• 통합자연과학논문집
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• 제7권3호
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• pp.208-213
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• 2014

National-wide and/or large scale sample surveys generally use complex sample design. Traditional Pearson chi-square test is not appropriate for the categorical complex sample data. Rao-Scott suggested an adjustment method for Pearson chi-square test, which uses the average of eigenvalues of design matrix of cell probabilities. This study is to compare the efficiency of Rao-Scott first order adjusted test to Wald test for homogeneity between two populations using 2009 Gyeongnam regional education offices's customer satisfaction survey (2009 GREOCSS) data. The 2009 GREOCSS data were collected based on stratified three-stage cluster sampling with probability proportional to size. The empirical results show that the Rao-Scott adjusted test statistic using only the variances of cell probabilities is very close to the Wald test statistic, which uses the covariance matrix of cell probabilities, under the 2009 GREOCSS data based. However it is necessary to be cautious to use the Rao-Scott first order adjusted test statistic in the place of Wald test because its efficiency is decreasing as the relative variance of eigenvalues of the design matrix of cell probabilities is increasing, specially more when the number of degrees of freedom is small.

• 응용통계연구
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• 제29권1호
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• pp.123-132
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• 2016

패널 시계열 자료를 소개하고 패널 1차 자기회귀 모형을 고려하였다. 패널 1차 자기회귀 모형의 동질성 검정을 위한 검정 통계량으로 Rao 통계량과 Wald 통계량을 제안하고, 그 극한분포를 제시하였다. 모의실험을 통해 패널의 수가 작을 때에도 패널의 수가 많을 때와 마찬가지로 두 검정 통계량의 분포가 카이제곱분포를 따르는 것을 확인하였으며, 패널의 수가 작을 때 Rao 통계량이 Wald 통계량 보다 더 우수한 검정력을 가짐을 모의실험을 통해 확인하였다. 시도별 월별 경제활동인구수 자료를 패널 1차 자기회귀 모형으로 적합하여 동질성 검정을 수행한 결과 동질성을 만족하였다. 동질성 검정을 만족한 자료를 시점별 평균을 이용하여 종합하고 이를 1차 자기회귀모형으로 적합하였다. 각각의 시도별로 적합한 모형과 시점별 평균을 이용하여 적합한 모형의 예측력을 비교한 결과 동질성 검정을 통과한 패널 1차 자기회귀모형의 경우 자료를 종합하여 적합한 모형의 예측력이 더 우수함을 확인하였다.

• 응용통계연구
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• 제27권7호
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• pp.1163-1170
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• 2014

간헐적인 패널 시계열 자료의 개념과 구조를 소개하고, 간헐적인 패널 시계열 자료의 모형으로 간헐적인 패널 1차 자기회귀 모형을 고려하였다. 간헐적인 패널 1차 자기회귀 모형의 동질성 검정을 위하여 Wald 검정통계량을 제안하고, 그 극한분포를 제시하였다. 또한 동질성이 만족되는 경우 시점 별 평균을 이용하여 종합한 자료로 모형을 적합하였다. 이 모형의 동질성 검정 통계량의 극한분포가 $^x2$분포에 잘 따르는지를 알아보기 위해 모의실험을 실시하고, 실제 자료 분석으로 지역별 월별 Mumps 자료에 간헐적인 패널 1차 자기회귀 모형을 적합하여 동질성 검정을 수행한 결과 동질성을 만족하였다. 동질성이 만족된 지역별 월별 Mumps 자료를 시점 별 평균을 이용하여 종합하고 1차 자기회귀 모형으로 적합하였다.

• 응용통계연구
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• 제1권2호
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• pp.66-81
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• 1987

이 연구에서는 새로운 방법의 비모수적 축차검정방법이 제시되었다. 먼저 축차적으로 얻어지는 관측치를 일정수의 집단으로 분류하고 각집단으로부터 주어진 가설에 적절한 비모수 통계량을 구하여 이것을 축차확률비검정에서 사용되는 로그확률비통계량에 대체하여 Wald의 축차검정을 수행하는 방법이다. 이러한 검정의 특성은 Wiener과정에 의해 근사적으로 규명되었다.

• Journal of the Korean Data and Information Science Society
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• 제12권1호
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• pp.71-78
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• 2001

Three test statistics are proposed for the presence of seasonality in multiplicative seasonal time series models. Further their common limiting distribution is derived under some assumptions.

• The Journal of Asian Finance, Economics and Business
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• 제7권10호
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• pp.523-530
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• 2020

The efficient market hypothesis explains the random walk hypothesis suggesting that stock prices are independent of each other, hence, it is impossible to earn abnormal profits. The positive effect of a well-functioning and highly efficient stock market on the performance of an economy motivated the Philippine Stock Exchange to pursue massive modernization initiatives. This research provides evidence of the existence of random walk in the Philippine stock market employing the Augmented Dickey-Fuller (1981) and Phillips-Perron (1988) unit root tests, the Lo-MacKinlay's (1988) conventional variance ratio test, and Chow-Denning's (1993) simple multiple variance ratio test. Results of the ADF and PP unit root tests confirm the necessary condition for a random walk. The Chow-Denning (1993) maximum /z/ statistic and the Wald test statistic as in Richardson and Smith (1991) for the joint hypotheses and the Lo and MacKinlay (1988) individual statistics variance ratio test generally accepted the null hypothesis of a random walk. That is, the unit root and variance ratio tests consistently indicate that the null hypothesis of random walk cannot be rejected. The existence of a random walk in weak-form efficiency can be attributed to market liquidity as a result of continuous development and modernization of the Philippine equity market.

• Journal of the Korean Statistical Society
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• 제30권1호
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• pp.63-76
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• 2001

An adaptive estimation and testing method is proposed for comparing dispersions among several ordered groups. Based upon the large sampling theory for nonparametric quartile estimators, we derive the order restricted estimators and construct a simple test statistic. This test statistic has a mixture of several chi-square distributions as its asymptotic null distribution. The proposed test is illustratively applied to survival time data for the patients with carcinoma of the oropharynx.

• Journal of the Korean Statistical Society
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• 제24권2호
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• pp.419-437
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• 1995

Given the specific mean shift outlier model, several standard approaches to obtaining test statistic for outliers are discussed. Each of these is developed in detail for the nonlinear regression model, and each leads to an equivalent distribution. The geometric interpretations of the statistics and accuracy of linear approximation are also presented.

• Journal of the Korean Statistical Society
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• 제22권1호
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• pp.125-132
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• 1993

Large sample test of homogeneity for a panel of more than two seasonal autoregressive processes is derived and its limiting distribution is found. Detailed results are shown for the important special case that the seasonal and nonseasonal autoregressive components are both of order one.