• Title/Summary/Keyword: skewed distribution

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Estimation of BDI Volatility: Leverage GARCH Models (BDI의 변동성 추정: 레버리지 GARCH 모형을 중심으로)

  • Mo, Soo-Won;Lee, Kwang-Bae
    • Journal of Korea Port Economic Association
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    • v.30 no.3
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    • pp.1-14
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    • 2014
  • This paper aims at measuring how new information is incorporated into volatility estimates. Various GARCH models are compared and estimated with daily BDI(Baltic Dry Index) data. While most researchers agree that volatility is predictable, they differ on how this volatility predictability should be modelled. This study, hence, introduces the asymmetric or leverage volatility models, in which good news and bad news have different predictability for future. We provide the systematic comparison of volatility models focusing on the asymmetric effect of news on volatility. Specifically, three diagnostic tests are provided: the sign bias test, the negative size bias test, and the positive size bias test. From the Ljung-Box test statistic for twelfth-order serial correlation for the level we do not find any significant serial correlation in the unpredictable BDI. The coefficients of skewness and kurtosis both indicate that the unpredictable BDI has a distribution which is skewed to the left and significantly flat tailed. Furthermore, the Ljung-Box test statistic for twelfth-order serial correlations in the squares strongly suggests the presence of time-varying volatility. The sign bias test, the negative size bias test, and the positive size bias test strongly indicate that large positive(negative) BDI shocks cause more volatility than small ones. This paper, also, shows that three leverage models have problems in capturing the correct impact of news on volatility and that negative shocks do not cause higher volatility than positive shocks. Specifically, the GARCH model successfully reveals the shape of the news impact curve and is a useful approach to modeling conditional heteroscedasticity of daily BDI.

The Heterogeneous Impacts of Agricultural R&D on Farm Efficiencies by Farm Income levels (농업 R&D투자의 형평성 분석: 농가단위 효율성에 미치는 영향의 소득계층별 차이를 중심으로)

  • Kim, Jae-Kyung
    • Journal of Technology Innovation
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    • v.21 no.1
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    • pp.27-57
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    • 2013
  • The projects of agricultural R&D investments have been evaluated largely on the basis of efficiency better than equity although both criteria are equally critical in that major fund source of agricultural R&D investments is public budget. In this study, I focus on equity aspects by identifying the heterogeneous impacts of public knowledge created by R&D on farm efficiencies by farm income levels using bias-corrected DEA and quantile regression with panel data. The findings indicate that entire farms haven't been likely to be benefited evenly from public knowledge stock created by agricultural R&D, in particular high income farms can have enjoyed relatively more benefits of its in terms of efficiency gain. Those can imply agricultural R&D have functioned in the way analogue to digressive subsidies. In addition, the heterogeneous technological needs different among income level farms turns out to be main underlying factors affecting such the skewed benefit distribution of agricultural R&D over different income level farms.

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A Study on the Determinants of Liporotein(a) Level - Primary, Middle, and High School Teachers in Seoul - (혈액내 Lipoprotein(a) 농도의 결정요인에 관한 연구 - 서울시 일부 초, 중, 고교 교사들을 대상으로 -)

  • 최현오;이용욱;나승식;이후장
    • Journal of Food Hygiene and Safety
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    • v.13 no.2
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    • pp.155-163
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    • 1998
  • The purpose of this study was to determine the association between blood lipids, fibrinogen, fasting blood sugar, lifestyle-related factors and lipoprotein(a). This study was performed with 140 healthy adults (male:80, female:60) among the teachers in primary, middle, and high school in Seoul in November 1996. Lipoprotein(a) concentration was measured with an enzyme-linked-immunosorbents assay(ELISA), and the results showed that the distribution was highly skewed and the average concentrations of male and female were $16.94{\pm}12.70\;mg/dL\;and\;17.92{\pm}7.58\;mg/dL$, respectively. The percentage of subject with lipoprotein(a) concentrations higher than 30 mg/dL was 26.4%. Univariate analysis showed significant association between lipoprotein(a) and age, alcohol, meat, and NaCl consumption (p<0.05). In multivariate analysis, lipoprotein(a) correlated positively with age (p<0.05) and meat consumption (p<0.01). These data suggest that lifestyle-related factors may affect the lipoprotein(a) concentration regarded as a risk factor of atherosclerosis disease.

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Association between the self-reported periodontal health status and oral health-related quality of life among elderly Koreans (한국노인의 자가보고 치주건강상태와 구강건강관련 삶의 질의 연관성)

  • Jang, Moon-Sung;Kim, Hae-Young;Shim, Yeon-Su;Rhyu, In-Chul;Han, Soo-Boo;Chung, Chong-Pyoung;Ku, Young
    • Journal of Periodontal and Implant Science
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    • v.36 no.3
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    • pp.591-600
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    • 2006
  • Purpose: This study assessed the impact of self-reported periodontal health on the oral health-related quality of life among elderly Koreans. Methods: Four hundred twenty one elderly Koreans in Seoul and suburban areas were selected with a cluster (institution) sampling method, and were requested to take oral examinations and finish questionnaires on the Oral Health Impact Profile-14(OHIP-14). and self-reported periodontal health status, such as periodontal symptoms, self-rated periodontal health and periodontal treatment need. As the dependent variable, OHIP-14 showed a positive skewed distribution (skewness: 1.17), we transformed to square-root form to apply parametric analyses. Bivariate analysis by t-test and ANOVA, and multivariate analysis with the two-level regression model accounting clusters were implemented. Results: Mean age of the subjects was 74.6 years and 66.5% were women. Fourteen items of OHIP-14 were summarized to one factor explaining 78.6% of total variance and produced the Chronbach alpha coefficient of 0.92. Results from the multivariate model, adjusting for age, sex, type of institutions, ability to pay, and number of teeth present, showed significantly lower OHIP-14 with reporting less than 3 periodontal symptoms (p(O.OOO1), rating their own periodontal health as above average level (p=O.0144), and thinking they don't need any periodontal treatments in the near future (p=O.0148), than their counterparts. The intraclass-corrrelation estimated by the final model was 0.028. Conclusion: This study demonstrates a significant association between self-reported periodontal health status and the oral health-related quality of life.

Sedimentary Environments and Geochemical Characters of the Core Sediments Near Naju-Yeongam Area in the Lower Part of the Yeongsan River, Cheonnam, Korea (전남 나주-영암지역의 영산강 하류 시추퇴적물의 퇴적환경과 지구화학적 특성)

  • Eun, Go-Yeo-Na;Koh, Yeong-Koo;Youn, Seok-Tai;Oh, Kang-Ho;Kim, Dong-Ju;Kim, Joo-Yong
    • Journal of the Korean earth science society
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    • v.22 no.4
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    • pp.301-316
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    • 2001
  • To consider the vertical variations of sedimentary environments and geochemical characters in the core sediments in Naju-Yeongam area od the lower part of Yeongsan River, grain-size and metal components of the sediments were analyzed. The sediments are pebble to mud and show fining upward. The core sediments are poorly to very poorly sorted and positively skewed. On the basis of grain size distributions, the sediments of the study areas were thought to have been deposited in a meandering stream. The metallic contents of sediments were presumably controlled by carbonate contents of sediments and weakly controlled by fining upward grain size distribution pattern. Enrichment factors indicating metal concentration in the sediments did not suggest any meaningful concentrations for metallic elements.

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Hemoglobin, Hematocrit and Serum Ferritin as Markers of Iron Status (빈혈판정 지표로서의 헤모글로빈, 헤마토크릿 및 혈청 페리틴)

  • 정해랑;문현경;송범호;김미경
    • Journal of Nutrition and Health
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    • v.24 no.5
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    • pp.450-457
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    • 1991
  • The iron status of 57 female college students was evaluated by measurements of hemoglobinCHb). hematocritCHct) and serum ferritin(Ferritin). Mean values for Hb, Hct and Ferritin were $13.9\pm$ 0.96g/dl, $41.4\pm$ 2.85% and $20.7\pm$ l5.5ng/mL respectively. Ferritin as well as Hb. Hct were not statistically different from normal distribution. although ferritin were skewed to the right. The prevalence of anemia defined by Hb < 12g/dI. Hct ~36 % and Ferritin <12ng/ml were found to be 5.3, 10.3 and 36.8%, respectively. By using Hb as a screening tool at a cutoff point of 12g/dI. 2.8% of healthy subjects will be incorrectly classified as anemic and 90.5 % of anemic as healthy. Sensitivity and specificity were calculated at various cutoff points of Hb and Hct. The estimates of sensitivity and specificity allow Hb 14.0g/dl as cutoff point for good predictor of anemia.

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Growth and Survival of Laminaria japonica Areschoug at different densities (밀도에 따른 다시마(Laminaria japonica Areschoug)의 생장과 생존)

  • KANG Rae-Seon;KOH Chul-Hwan
    • Korean Journal of Fisheries and Aquatic Sciences
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    • v.32 no.4
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    • pp.444-451
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    • 1999
  • The effect of individual density on the growth and survival of Laminaria japonica was experimentally evaluated. Four density treatments of young sporophytes (0.63 cm In maximum length) grown in the laboratory were transplanted to the southeastern coast of Korea and their survivorship and growth rate were measured twice a month from January to July, 1996. Plants showed higher survivorship at low density. Final densities at three lowest densities were similar, ranging from 34 to 38 inds${\cdot}100 cm^{-2}$. Planis at the highest density, however, suffered greater decline than at lower densities, and only 21 plants remained at the end of this study. Mean frond size (length and width) fluctuated throughout the study period at four densities. During the first two mouths after outplanting, mean frond size was negatively correlated with initial density, However, the size was density independent after three months. As stand density increased, size-frequency distribution through time tended to be more positively skewed. The 10 largest plants grew faster in frond size and attained larger size in the lower density. There was a positive relationship between plant size and relative growth rate (or survival). The slope of yield-density (Y-D) relationships at four densities ranged from -0.060 to -0.137. The study suggests that density can strongly affect the survival and growth of this alga. The density-dependent survival and growth patterns, however, were not strictly consistent with those of terrestrial plants.

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Bike Insurance Fraud Detection Model Using Balanced Randomforest Algorithm (균형 랜덤 포레스트를 이용한 이륜차 보험사기 적발 모형 개발)

  • Kim, Seunghoon;Lee, Soo Il;Kim, Tae ho
    • Journal of Digital Convergence
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    • v.20 no.2
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    • pp.241-250
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    • 2022
  • Due to the COVID-19 pandemic, with increased 'untact' services and with unstable household economy, the bike insurance fraud is expected to surge. Moreover, the fraud methodology gets complicated. However, the fraud detection model for bike insurance is absent. we deal with the issue of skewed class distribution and reflect the criterion of fraud detection expert. We utilize a balanced random-forest algorithm to develop an efficient bike insurance fraud detection model. As a result, while the predictive performance of balanced random-forest model is superior than it of non-balanced model. There is no significant difference between the variables used by the experts and the confirmatory models. The important variables to detect frauds are turned out to be age and gender of driver, correspondence between insured and driver, the amount of self-repairing claim, and the amount of bodily injury liability.

Consideration of the Correlation between Declining Academic Ability and COVID-19 - through Analysis of National Level Academic Achievement (국가수준 학업성취도 분석을 통한 학력 저하와 코로나19와의 상관관계에 대한 고찰)

  • Saesoon Lee;Jin-Woo Park
    • Journal of Science Education
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    • v.47 no.3
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    • pp.251-262
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    • 2023
  • In this study, we examine other factors that may contribute to the decline in students' academic performance and educational attainment. Many media reports, as well as previous studies, have suggested that virtual learning is the main reason for the decline in students' academic performance. However, the 2020 National Student Achievement Survey, which was conducted in conjunction with the COVID-19 Distance Learning Environment Student Survey, showed that students were highly satisfied with distance learning (70-80%), and the analysis of the National Assessment of Educational Achievement showed that students' academic performance had already been declining year by year since 2017, with a general downward curve. For further confirmation, we analyzed the performance of high school students on mock exams and found that their performance was not normally distributed, but rather a right-skewed U-shaped distribution with a shrinking number of medians and severe polarization. We found that this phenomenon is not simply because of the mode or quality of the virtual classroom, but to a variety of factors, including environmental influences such as care and management at home, changes in investment in private education, increased time spent on online devices while taking virtual classes at the bottom, and increased time spent watching online content, games, and videos that are not related to learning.

Evaluation of Reference Intervals of Some Selected Chemistry Parameters using Bootstrap Technique in Dogs (Bootstrap 기법을 이용한 개의 혈청검사 일부 항목의 참고범위 평가)

  • Kim, Eu-Tteum;Pak, Son-Il
    • Journal of Veterinary Clinics
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    • v.24 no.4
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    • pp.509-513
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    • 2007
  • Parametric and nonparametric coupled with bootstrap simulation technique were used to reevaluate previously defined reference intervals of serum chemistry parameters. A population-based study was performed in 100 clinically healthy dogs that were retrieved from the medical records of Kangwon National University Animal Hospital during 2005-2006. Data were from 52 males and 48 females(1 to 8 years old, 2.2-5.8 kg of body weight). Chemistry parameters examined were blood urea nitrogen(BUN)(mg/dl), cholesterol(mg/dl), calcium(mg/dl), aspartate aminotransferase(AST)(U/L), alanine aminotransferase(ALT)(U/L), alkaline phosphatase(ALP)(U/L), and total protein(g/dl), and were measured by Ektachem DT 60 analyzer(Johnson & Johnson). All but calcium were highly skewed distributions. Outliers were commonly identified particularly in enzyme parameters, ranging 5-9% of the samples and the remaining were only 1-2%. Regardless of distribution type of each analyte, nonparametric methods showed better estimates for use in clinical chemistry compare to parametric methods. The mean and reference intervals estimated by nonparametric bootstrap methods of BUN, cholesterol, calcium, AST, ALT, ALP, and total protein were 14.7(7.0-24.2), 227.3(120.7-480.8), 10.9(8.1-12.5), 25.4(11.8-66.6), 25.5(11.7-68.9), 87.7(31.1-240.8), and 6.8(5.6-8.2), respectively. This study indicates that bootstrap methods could be a useful statistical method to establish population-based reference intervals of serum chemistry parameters, as it is often the case that many laboratory values do not confirm to a normal distribution. In addition, the results emphasize on the confidence intervals of the analytical parameters showing distribution-related variations.