• International Journal of Reliability and Applications
• /
• v.18 no.2
• /
• pp.65-82
• /
• 2017

Abstract. Camilo Dagum proposed several variants of a new model for the size distribution of personal income in a series of papers in the 1970s. He traced the genesis of the Dagum distributions in applied economics and points out parallel developments in several branches of the applied statistics literature. The main aim of this paper is to define a bivariate Dagum distribution so that the marginals have Dagum distributions. It is observed that the joint probability density function and the joint cumulative distribution function can be expressed in closed forms. Several properties of this distribution such as marginals, conditional distributions and product moments have been discussed. The maximum likelihood estimates for the unknown parameters of this distribution and their approximate variance-covariance matrix have been obtained. Some simulations have been performed to see the performances of the MLEs. One data analysis has been performed for illustrative purpose.

• Journal of Advanced Navigation Technology
• /
• v.27 no.6
• /
• pp.871-876
• /
• 2023

In this paper, we deal with the stable conditions when two uncertainties exist simultaneously in a linear discrete time-varying interval system with time-varying delay time. The interval system is a system in which system matrices are given in the form of an interval matrix, and this paper targets the system in which the delay time of these interval system matrices and state variables is time-varying. We propose the system stability condition when there is simultaneous unstructured uncertainty that includes nonlinearity and only its magnitude and uncertainty in the system matrix of delayed state variables. The stable bounds for two types of uncertainty are derived as an analytical equation. The proposed stability condition and bounds can include previous stability condition for various linear discrete systems, and the values such as time-varying delay time variation size, uncertainty size, and range of interval matrix are all included in the conditional equation. The new bounds of stability are compared with previous results through numerical example, and its effectiveness and excellence are verified.

• Journal of the Korean Data and Information Science Society
• /
• v.25 no.6
• /
• pp.1449-1466
• /
• 2014

In this paper, we consider a hedge portfolio based on futures of underlying asset. A classical way to estimate a hedge ratio for a hedge portfolio of a spot and futures is a regression analysis. However, a regression analysis is not capable of reflecting long-run equilibrium between a spot and futures and volatility clustering in the conditional variance of financial time series. In order to overcome such defects, we analyzed KOSPI200 index and futures using VECM-CC-GARCH model and computed a hedge ratio from the estimated conditional covariance-variance matrix. In real data analysis, we compared a regression and VECM-CC-GARCH models in terms of hedge effectiveness based on variance, value at risk and expected shortfall of log-returns of hedge portfolio. The empirical results show that the multivariate GARCH models significantly outperform a regression analysis and improve hedging effectiveness in the period of high volatility.

• The Korean Journal of Applied Statistics
• /
• v.24 no.2
• /
• pp.253-268
• /
• 2011

In this paper, we estimate systematic risk from credit migration (or transition) matrices under "Asymptotic Single Risk Factor" model. We analyzed transition matrices issued by KR(Korea Ratings) and concluded that systematic risk implied on credit migration somewhat coincide with the real economic cycle. Especially, we found that systematic risk implied on credit migration is better than that implied on the default rate. We also emphasize how to conduct a stress test using systematic risk extracted from transition migration. We argue that the proposed method in this paper is better than the usual method that is only considered for the conditional probability of default(PD). We found that the expected loss critically increased when we explicitly consider the change of credit quality in a given portfolio, compared to the method considering only PD.

• The Korean Journal of Applied Statistics
• /
• v.21 no.2
• /
• pp.327-340
• /
• 2008

This paper derives joint and conditional Lagrange multiplier tests based on information matrix for testing functional form and/or the presence of autocorrelation in a regression model. Small sample properties of these tests are assessed by Monte Carlo study and comparisons are made with LM tests based on Hessian matrix. The results show that the proposed $LM_E$ tests have the most appropriate finite sample performance.

• Safety and Health at Work
• /
• v.9 no.3
• /
• pp.290-295
• /
• 2018

Background: There is little information on the dose-response relationship between exposure to occupational carcinogenic agents and mesothelioma. This study aimed to investigate this association as well as the existence of agents other than asbestos that might cause mesothelioma. Methods: The Swedish component of the Nordic Occupational Cancer (NOCCA) study consists of 6.78 million individuals with detailed information on occupation. Mesothelioma diagnoses recorded in 1961-2009 were identified through linkage to the Swedish Cancer Registry. We determined cumulative exposure, time of first exposure, and maximum exposure intensity by linking data on occupation to the Swedish NOCCA job-exposure matrix, which includes 29 carcinogenic agents and corresponding exposure for 283 occupations. To assess the risk of mesothelioma, we used conditional logistic regression models to estimate hazard ratios and 95% confidence intervals. Results: 2,757 mesothelioma cases were identified in males, including 1,416 who were exposed to asbestos. Univariate analyses showed not only a significant excess risk for maximum exposure intensity, with a hazard ratio of 4.81 at exposure levels 1.25-2.0 fb/ml but also a clear dose-response effect for cumulative exposure with a 30-, 40-, and 50-year latency time. No convincing excess risk was revealed for any of the other carcinogenic agents included in the Swedish NOCCA job-exposure matrix. Conclusion: When considering asbestos exposure, past exposure, even for short periods, might be enough to cause mesothelioma of the pleura later in life.

• KSII Transactions on Internet and Information Systems (TIIS)
• /
• v.14 no.1
• /
• pp.53-76
• /
• 2020

The synchronous phasor measurement algorithm is the core content of the phasor measurement unit. This manuscript proposes a dynamic synchronous phasor measurement algorithm based on compressed sensing theory. First, a dynamic signal model based on the Taylor series was established. The dynamic power signal was preprocessed using a least mean square error adaptive filter to eliminate interference from noise and harmonic components. A Chirplet overcomplete dictionary was then designed to realize a sparse representation. A reduction of the signal dimension was next achieved using a Gaussian observation matrix. Finally, the improved orthogonal matching pursuit algorithm was used to realize the sparse decomposition of the signal to be detected, the amplitude and phase of the original power signal were estimated according to the best matching atomic parameters, and the total vector error index was used for an error evaluation. Chroma 61511 was used for the output of various signals, the simulation results of which show that the proposed algorithm cannot only effectively filter out interference signals, it also achieves a better dynamic response performance and stability compared with a traditional DFT algorithm and the improved DFT synchronous phasor measurement algorithm, and the phasor measurement accuracy of the signal is greatly improved. In practical applications, the hardware costs of the system can be further reduced.

• Structural Engineering and Mechanics
• /
• v.46 no.1
• /
• pp.19-37
• /
• 2013

The optimum design of base isolation system considering model parameter uncertainty is usually performed by using the unconditional response of structure obtained by the total probability theory, as the performance index. Though, the probabilistic approach is powerful, it cannot be applied when the maximum possible ranges of variations are known and can be only modelled as uncertain but bounded type. In such cases, the interval analysis method is a viable alternative. The present study focuses on the bounded optimization of base isolation system to mitigate the seismic vibration effect of structures characterized by bounded type system parameters. With this intention in view, the conditional stochastic response quantities are obtained in random vibration framework using the state space formulation. Subsequently, with the aid of matrix perturbation theory using first order Taylor series expansion of dynamic response function and its interval extension, the vibration control problem is transformed to appropriate deterministic optimization problems correspond to a lower bound and upper bound optimum solutions. A lead rubber bearing isolating a multi-storeyed building frame is considered for numerical study to elucidate the proposed bounded optimization procedure and the optimum performance of the isolation system.

• Proceedings of the Korean Society of Computer Information Conference
• /
• 2012.01a
• /
• pp.159-162
• /
• 2012

이 연구에서는 사회과 학습부진학생의 부진 원인을 규명하고 사이버 가정학습 2.0을 통해서 일어나는 인식변화과정의 분석을 통해 사이버 가정학습 2.0 시스템에 맞는 상황모형을 도출하였다. 수집된 자료는 근거이론을 통해 분석하였으며, 사회과 학습부진학생이 느끼는 부진 원인에는 인지적 영역과 정의적 영역이 함께 규명됐고, 사이버 가정학습 2.0을 통해 사회과 학습부진학생들은 부정적 인식을 긍정적으로 변화시켜감을 알 수 있었다. 특히 과정분석을 통해 상황모형을 도출한 결과 사회과 학습부진학생을 위한 사이버 가정학습 2.0 문제해결학습 모형이 도출하였는 바, 크게 도입, 문제규명, 탐색, 수행, 정리 및 평가의 다섯 단계로 나뉘어지는 것이었다. 향후에는 보다 장기간의 연구를 통해 학습부진학생의 가족과 또래관계의 분석이 포함된 연구나 사이버 가정학습 2.0과 교실수업을 보다 유기적으로 연계한 연구가 요청된다.

• The Journal of Asian Finance, Economics and Business
• /
• v.8 no.5
• /
• pp.913-921
• /
• 2021

The objective of the study is to investigate the impact of the COVID-19 pandemic on Saudi Arabia stock market. The study relied on the data of the daily closing stock market price index Tadawul All Share Index (TASI), and the number of daily cases infected with COVID-19 during the period from March 15, 2020, to August 10, 2020. The study employs the Vector Auto-Regressive (VAR) model, the Impulse Response Function (IRF) and Autoregressive Conditional Heteroscedasticity (ARCH) models. The results of the correlation matrix and the Impulse Response Function (IRF) show that stock market returns responded negatively to the growth in COVID-19 infected cases during the pandemic. The results of ARCH model confirmed the negative impact of COVID-19 pandemic on KSA stock market returns. The results also showed that the negative market reaction was strong during the early days of the COVID-19 pandemic. The study concluded that stock market in KSA responded quickly to the COVID-19 pandemic; the response varies over time according to the stage of the pandemic. However, the Saudi government's response time and size of the stimulus package have played an important role in alleviating the impacts of the COVID-19 pandemic on Saudi Arabia Stock Market.