• Journal of the Korean Data and Information Science Society
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• 제18권4호
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• pp.1205-1214
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• 2007

We define a skew-symmetric double Rayleigh distribution by a symmetric double Rayleigh distribution, and derive an approximate maximum likelihood estimator(AML) and a moment estimator(MME) of a skewed parameter in a skew-symmetric double Rayleigh distribution, and hence compare simulated mean squared errors of those two estimators. We also compare simulated mean squared errors of two proposed estimators of reliability in two independent skew-symmetric double Rayleigh distributions.

• 한국데이터정보과학회:학술대회논문집
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• 한국데이터정보과학회 2006년도 추계 학술발표회 논문집
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• pp.37-42
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• 2006

We shall consider an inference of the reliability P(Y

• Communications for Statistical Applications and Methods
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• 제24권5호
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• pp.507-518
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• 2017

Volatility plays a crucial role in theory and applications of asset pricing, optimal portfolio allocation, and risk management. This paper proposes a combined model of autoregressive moving average (ARFIMA), generalized autoregressive conditional heteroscedasticity (GRACH), and skewed-t error distribution to accommodate important features of volatility data; long memory, heteroscedasticity, and asymmetric error distribution. A fully Bayesian approach is proposed to estimate the parameters of the model simultaneously, which yields parameter estimates satisfying necessary constraints in the model. The approach can be easily implemented using a free and user-friendly software JAGS to generate Markov chain Monte Carlo samples from the joint posterior distribution of the parameters. The method is illustrated by using a daily volatility index from Chicago Board Options Exchange (CBOE). JAGS codes for model specification is provided in the Appendix.

• 응용통계연구
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• 제26권6호
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• pp.953-958
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• 2013

본 연구에서는 정규분포 기반이 아닌 왜도정규분포 기반의 측정오차모형을 제시하고 단순선형회귀모형에서의 기울기 계수에 대하여 특성을 파악하였다. 모의실험을 통해 측정오차모형에서 단순선형회귀모형에서의 기울기 계수의 과소추정 및 감쇠의 정도를 보였다.

• Journal of the Korean Statistical Society
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• 제30권4호
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• pp.613-635
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• 2001

This paper proposes a skewed multivariate probit model for analyzing a correlated binary response data with covariates. The proposed model is formulated by introducing an asymmetric link based upon a skewed multivariate normal distribution. The model connected to the asymmetric multivariate link, allows for flexible modeling of the correlation structure among binary responses and straightforward interpretation of the parameters. However, complex likelihood function of the model prevents us from fitting and analyzing the model analytically. Simulation-based Bayesian inference methodologies are provided to overcome the problem. We examine the suggested methods through two data sets in order to demonstrate their performances.

• 한국국방경영분석학회지
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• 제22권2호
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• pp.126-138
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• 1996

The statistical control chart has been proven to be the effective tool most widely used in the manufacturing industry for monitoring and controlling the manufacturing processes. However, the Shewhart chart sometimes gives us false information when the distribution of quality characteristics is skewed. Therefore, it cannot serve as the universal quality control chart if there exist odd events in the manufacturing process. The objective of this study is thus to develop the new technique for constructing the limits of quality control chart based on a sample median and range when the distribution of the underlying population is skewed. This new control chart can effectively solve and manage the processes which have the non-normally distributed quality characteristics frequently occurring in the practical situation.

• Communications for Statistical Applications and Methods
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• 제31권1호
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• pp.129-142
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• 2024

In various industries, especially manufacturing and chemical industries, it is often observed that the distribution of a specific process, initially having followed a normal distribution, becomes skewed as a result of unexpected causes. That is, a process deviates from a normal distribution and becomes a skewed distribution. The skew-normal (SN) distribution is one of the most employed models to characterize such processes. The shape of this distribution is determined by the asymmetry parameter. When this parameter is set to zero, the distribution is equal to the normal distribution. Moreover, when there is a shift in the asymmetry parameter, the mean and variance of a SN distribution shift accordingly. In this paper, we propose procedures for monitoring the asymmetry parameter, based on the statistic derived from the noncentral t-distribution. After applying the statistic to Shewhart and the exponentially weighted moving average (EWMA) charts, we evaluate the performance of the proposed procedures and compare it with previously studied procedures based on other skewness statistics.

• 응용통계연구
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• 제30권5호
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• pp.775-791
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• 2017

이진 데이터는 일상 생활에서 자주 접할 수 있는 데이터이다. 이진 데이터를 회귀 분석하는 방법으로 로지스틱(Logistic), 프로빗(Probit), Cauchit, Complementary log-log 모형이 주로 쓰이는데, 이 방법 이외에도 Liu(2004)가 제시한 t 분포를 이용한 로빗(Robit) 모형, Kim 등 (2008)에서 제시한 일반화 t-link 모형을 이용한 방법 등이 있다. 유연한 분포를 이용하면 유연한 회귀 모형이 가능해지는 점에 착안하여, 이 논문에서는 Theodossiou(1998)에서 제시된 기운 일반화 t 분포 (Skewed Generalized t Distribution)의 이용하여 우도 함수를 최대로 하는 이진 데이터 회귀 모형을 소개한다. 기운 일반화 t 분포를 R glm 함수, R sgt 패키지를 연결하여 이 논문에서 제시한 방법을 R로 분석할 수 있는 방법을 소개하고, 피마 인디언(Pima Indian) 데이터를 분석한다.

• 자원ㆍ환경경제연구
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• 제16권4호
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• pp.947-978
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• 2007

본 연구에서는 원유시장의 변동성 분석에 적용될 수 있는 VaR(Value-at-Risk) 접근법을 고찰한다. 그리고 다양한 VaR 모형들(RiskMetrics, GARCH, IGARCH와 FIGARCH 모형)의 성과를 정규분포와 치우친 Student-t 분포 가정 하에서 평가한다. Brent 및 Dubai 시장의 일별가격 자료를 이용한 실증분석 결과에 따르면, FIGARCH 모형이 GARCH 모형이나 IGARCH 모형보다 원유시장의 변동성에 내재되어 있는 장기기억 특성을 잘 반영한다는 점에서 더 우월한 것으로 나타났다. 이러한 사실은 원유시장 수익률의 변동성에는 장기기억이 존재한다는 것을 의미한다. 그리고 VaR 분석 결과, 치우친 Student-t 분포 가정 하에서 추정되는 FIGARCH 모형이 롱 포지션과 숏 포지션 모두에서 정규분포 가정 하에서 추정되는 다른 변동성 모형들보다 원유시장에서의 투자 위험을 더 정확하게 예측하는 것으로 나타났다. 이러한 사실은 치우친 Student-t 분포 가정이 원유시장 수익률 분포에 내재되어 있는 비정상적 왜도와 첨도를 모형화하는데 더 적합하다는 것을 의미한다. 이와 같은 발견은 원유시장 구매자 및 판매자들이 원유가격의 움직임을 올바르게 측정하고 VaR을 정확하게 추정하는데 도움을 줄 것이다.

• 보험의학회지
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• 제3권1호
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• pp.219-232
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• 1986

A study on establishment of normal range of cardiothoracic ratio calculated from photofluorography film of chest by age and sex in a total of the 6,598 insureds was undertaken. The results were as follows: 1. In male group, the frequency distribution of cardiothoracic ratio was skewed weakly to the right in second decade, symmetrical in third and fourth decade, and was skewed weakly to the left in fifth and sixth decade; in female group, it was skewed weakly to the left in second, third and fourth decade, and was skewed weakly to the right in fifth and sixth decade. 2. On assumption that normal range of cardiothoracic ratio should comprise about 85% of all cardiothoracic ratios in each age group of both sexes, the sites of deviation from mean value of cardiothoracic ratio corresponding to maximum and minimum cardiothoracic ratio in the range of about 85% above mentioned were detected by statistical method on the frequency distribution of log tranformed cardiothoracic ratio, and $M{\pm}1.3$ sindicating normal range of cardiothoracic ratio was determined. In male group, normal range of cardiothoracic ratio determined by statistical method is 35-45%, 40-50%, 40-50%, 40-50% and 40-50% succesively in order from second to sixth decade; in female group, 40-50%, 40-50%, 40-50%, 45-55% and 45-55%.