• Communications for Statistical Applications and Methods
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• v.22 no.5
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• pp.495-506
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• 2015

Volatility is a variation measure in finance for returns of a financial instrument over time. GARCH models have been a popular tool to analyze volatility of financial time series data since Bollerslev (1986) and it is said that volatility is highly persistent when the sum of the estimated coefficients of the squared lagged returns and the lagged conditional variance terms in GARCH models is close to 1. Regarding persistence, numerous methods have been proposed to test if such persistency is due to volatility shifts in the market or natural fluctuation explained by stationary long-range dependence (LRD). Recently, Lee et al. (2015) proposed a residual-based cumulative sum (CUSUM) test statistic to test volatility shifts in GARCH models against LRD. We propose a bootstrap-based approach for the residual-based test and compare the sizes and powers of our bootstrap-based CUSUM test with the one in Lee et al. (2015) through simulation studies.

• Journal of Korean Society on Water Environment
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• v.26 no.6
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• pp.895-902
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• 2010

The effect of seasonality on water quality variation is very significant. Generally, it reduce the power of the trend extraction. A parametric time-series model was used for detecting trends in historic constituent concentration data. The effect of seasonality is able to remove from time series decomposition technique. According to such statistic methode, long-term water quality trend analysis system (NTrend 1.0) was developed by Nakdong River Water Environmental Research Center. The trend analysis of BOD variation was conducted with NTrend 1.0 at Goreong and Moolkum site in Nakdong river to show the effect of water quality management action plan. Power test of trend extraction was tried each case of 'deseasonalized and deannulized' data and 'deseasonalized' data. Analysis period was from 1989 to 2006, and it's period was divided again three times, 1989~1993, 1994~1999 and 2000~2006 according to action plan period. The BOD trend was downward in Goreong site during three times and it's trend slope was very steep, and upward in Moolkum during 1989~1993, but it was turned downward during 1994~1999 and 2000~2006. It was revealed that it's very effective to reduce the concentration of BOD by water quality management action plan in that watershed. The result of power test was shown that it is high for trend extraction power in case of 'deseasonalized' data.

• Journal of Families and Better Life
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• v.10 no.2
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• pp.19-36
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• 1992

The purpose of this paper is to analyze empirically the tendency of household consumption expenditure according to the change of social and economical condition, and the factor which influences consumption expenditure of urban household. The data used in analysis are time-series. The data are statistic form Urban Household Economy Survey published by the Economic Planning Board, dating form the first quarter of 1970 to the fourth quarter of 1989. The income of household and consumption expenditure materials were deflated as consumer price index to exclude the influence of prices and the influence of household composition are considered to deflated as the size of the household under assumption of homogeneity. The consumption expenditure items were categorized to 12 relatively large range items. The time-series data were analyzed by using the Two Stage Least Squares and the Ordinary Least Squares. The following is the result of analysis. 1) Rather than the income increase of previous years. the average income increase for two years influences more significantly on consumption expenditure of household. In the case of influence on consumption expenditure for each item by increase in disposable income, such categories as furniture and utensils. clothing and footwear, housing, medical care, culture and recreation, and transportation and communication have significant influence. 2) Among consumption expenditure categories, the increasing factors were furniture and utensils, and clothing and footwear. And the decreasing factors were housing, medical care, culture and recreation ,and transportation and communication. The relative prices, however, had significant influence on categories such as housing, furniture and utensils, medical care , culture and recreation, and transportation and communication and all of them were the decreation factors. 3) Among with changes of social and economical conditions, miscellaneous showed the highest increase in marginal propensity to consume and foods was the lowest. Also culture and recreation and housing brought up a great change of the income elasticity of demand.

• Journal of the Korean Data and Information Science Society
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• v.26 no.1
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• pp.41-53
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• 2015

In meteorological field, many researchers have tried to develop micro scale weather analysis modules for providing real-time weather information service in the metropolitan area. This effort enables us to cope with various economic and social harms coming from serious change in the micro meteorology of a metropolitan area due to rapid urbanization such as quantitative expansions in its urban activity, growth of population, and building concentration. The accuracy of the micro scale weather analysis modules (MSWAM) directly related to usefulness and quality of the real-time weather information service in the metropolitan area. This paper design a evaluation system along with verification tools that sufficiently accommodate spatio-temporal characteristics of the outputs of the MSWAM. For this we proposes a test for the equality of mean vectors of the output series of the MSWAM and corresponding observed time series by using a spectral analysis technique. As a byproduct, a time series cluster analysis method, using a function of the test statistic as the distance measure, is developed. A real data application is given to demonstrate the utility of the method.

• The Transactions of the Korea Information Processing Society
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• v.7 no.12
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• pp.3866-3873
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• 2000

In this paper, we investigates the long-term memory and the Correct answer rate of the foreign exchange data (Yen/Dollar) that is one of economic time series, There are many cases where two kinds of fractal dimensions exist in time series generated from dynamical systems such as AR models that are typical models having a short terrr memory, The sample interval separating from these two dimensions are denoted by kcrossover. Let the fractal dimension be $D_1$ in K < $k^{crossover}$,and $D_2$ in K > $k^{crossover}$ from the statistics mode. In usual, Statistic models have dimensions D1 and D2 such that $D_1$ < $D_2$ and $D_2\cong2$ But it showed a result contrary to this in the real time series such as NIKKEL The exchange data that is one of real time series have relation of $D_1$ > $D_2$ When the interval between data increases, the correlation between data increases, which is quite a peculiar phenomenon, We predict exchange data by neural networks, We confirm that $\beta$ obrained from prediction errors and D calculated from time series data precisely satisfy the relationship $\beta$ = 2-2D which is provided from a non-linear model having fractal dimension, And We identified that the difference of fractal dimension appeaed in the Correct answer rate.

• The Journal of Industrial Distribution & Business
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• v.10 no.9
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• pp.53-60
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• 2019

Purpose - The objective of this paper is to discover if there exists a relationship between the economic index and distribution industry index in Korean. Because of the distribution industry boom in the recent years, a lot of interest in the relationship between the economic index and distribution industry index in Korean and the economy has been generated. This article examine on the mutual influence between economic index and distribution industry index in Korean. Research design, data, and methodology - For this purpose, we use the vector-auto regression model, impulse response function and variance decomposition of the economic index and distribution industry index, Granger causality test using weekly data on the economic index and distribution industry price index in korea. The sample period is covering from January 2, 2010 to August 31, 2019. The VAR model can also be linked to cointegration analysis. Cointegration Analysis makes possible to find a mechanism causing x and y to move around a long-run equilibrium (Engle and Granger, 1987). This equilibrium means that external shocks may separate the series temporarily at any particular time, but there will be an overall tendency towards some type of long-run equilibrium. If variables are found to have this tendency they are said to be cointegrated and a long-run relationship between these series is established. These econometric tools have been applied widely into economics and business areas to analyze intertemporal linkages between different time series. Results - This research showed following main results. First, from the basic statistic analysis of the economic index and distribution industry index in Korean, the economic index and the distribution industry index in korea have unit roots. Second, there is at least one cointegration between the economic index and distribution industry index in Korean. Finally, the correlation between of the economic index and the distribution industry index in korea is (+) 0.528876. Conclusions - We find that the distribution industry price index Granger cause the economic index in korea. As a consequence, the distribution industry index affect the economic index in Korean. The distribution industry index to the economic index is stronger than that from the economic index to the distribution industry index.

• Proceedings of the Korean Statistical Society Conference
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• 2000.11a
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• pp.23-26
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• 2000

It is noted that many econometric time series have long-memory properties. A long-memory process, or strongly dependent process, is characterized by hyperbolic decaying autocorrelations and unbounded spectral density at the origin. Since the long-memory property can be observed by data obtained from rather a long period, there is some possibility of parameter change in the process. In this paper, we consider the estimation of change-point when there is a change in the variance of a long-memory process. The estimator is based on some reasonable statistic and the consistency is shown using Taqqu's strong reduction theorem

• Journal of the Korean Statistical Society
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• v.28 no.3
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• pp.371-387
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• 1999

For possibly nonstationary autoregressive moving average, modeling based on the original observations rather than the differenced observations is considered. Under this scheme, sample autocorrelation functions, parameter estimates, model diagnostic statistics, and prediction are all computed from the original data instead of the differenced data. The methods and results established under stationarity of data are shown to naturally extend to the nonstationarity of one autoregressive unit root. The sample ACF and PACF can be used for ARMA order determination. The BIC order is strongly consistent. The parameter estimates are asymptotically normal. The portmanteau statistic has chi-square distribution. The predictor is asymptotically equivalent to that based on the differenced data.

• Journal of Yeungnam Medical Science
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• v.3 no.1
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• pp.81-85
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• 1986

Observation of changing pattern of blood pressure and pulse rate of enflurane anesthesia for 200 cases operations, performed during the past 4 years(1983~1986) in Yeungnam University Hospital have been evaluated clinically. In order to observe the influence of enflurane upon the blood pressure and pulse rate during general anesthesia, the authors prepared a formula, expressing changing of blood pressure and pulse rate by time series and analyzed the types and distribution pattern in the experiment. The results obtained were as follows : 1. Blood pressure and pulse rate were increased at the time of intubation. 2. Generally, blood pressure and pulse rate were increased at the time of intubation and then stabilized withing 20 minutes. 3. Most common patterns were identified, ADEE type was 73~74%, Which is most common type and AEEE type was about 40%.

• The Korean Journal of Applied Statistics
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• v.22 no.6
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• pp.1177-1190
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• 2009

The traffic operating speed is one of important information to measure a road capacity. When we supply the information of the road of high traffic by using navigation, offering the present traffic information and the forecasted future information are the outstanding functions to serve the more accurate expected times and intervals. In this study, we proposed the traffic speed forecasting model using the accumulated traffic speed data of the road and highway and forecasted the average speed for each the road and high interval and each time interval using Fourier transformation and time series regression model with trigonometrical function. We also propose the proper method of missing data imputation and treatment for the outliers to raise an accuracy of the traffic speed forecasting and the speed grouping method for which data have similar traffic speed pattern to increase an efficiency of analysis.