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REFERENCE LINKING PLATFORM OF KOREA S&T JOURNALS
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Communications for Statistical Applications and Methods
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The Korean Statistical Society
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Volume & Issues
Volume 14, Issue 3 - Dec 2007
Volume 14, Issue 2 - Aug 2007
Volume 14, Issue 1 - Apr 2007
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Minimum Density Power Divergence Estimator for Diffusion Parameter in Discretely Observed Diffusion Processes
Song, Jun-Mo ; Lee, Sang-Yeol ; Na, Ok-Young ; Kim, Hyo-Jung ;
Communications for Statistical Applications and Methods, volume 14, issue 2, 2007, Pages 267~280
DOI : 10.5351/CKSS.2007.14.2.267
In this paper, we consider the robust estimation for diffusion processes when the sample is observed discretely. As a robust estimator, we consider the minimizing density power divergence estimator (MDPDE) proposed by Basu et al. (1998). It is shown that the MDPDE for diffusion process is weakly consistent. A simulation study demonstrates the robustness of the MDPDE.
Influence Analysis of Constrained Regression Models
Kim, Myung-Geun ;
Communications for Statistical Applications and Methods, volume 14, issue 2, 2007, Pages 281~286
DOI : 10.5351/CKSS.2007.14.2.281
Cook's distance is generalized to the multiple linear regression with linear constraints on regression coefficients. It is used for identifying influential observations in constrained regression models. A numerical example is provided for illustration.
Fast Simulation of Overflow Probabilities in Multiclass Queues
Lee, Ji-Yeon ; Bae, Kyung-Soon ;
Communications for Statistical Applications and Methods, volume 14, issue 2, 2007, Pages 287~299
DOI : 10.5351/CKSS.2007.14.2.287
We consider a multiclass queue where queued customers are served in their order of arrival at a rate which depends on the customer type. By using the asymptotic results obtained by Dabrowski et al. (2006) we calculate the sharp asymptotics of the stationary distribution of the number of customers of each class in the system and the distribution of the number of customers of each class when the total number of customers reaches a high level before emptying. We also obtain a fast simulation algorithm to estimate the overflow probability and compare it with the general simulation and asymptotic results.
A Comment for Teaching Correlation Coefficient in Elementary Statistics Course
Oh, Myong-Sik ;
Communications for Statistical Applications and Methods, volume 14, issue 2, 2007, Pages 301~307
DOI : 10.5351/CKSS.2007.14.2.301
A effective teaching method on correlation coefficient for elementary level statistics course is discussed in this article. The well known inequalities, such as Theorem 368 of Hardy et al. (1952), are used for the interpretation of concept of covariance. An Excel example is provided for the illustration of concept of correlation coefficient.
Sequential Estimation in Exponential Distribution
Park, Sang-Un ;
Communications for Statistical Applications and Methods, volume 14, issue 2, 2007, Pages 309~316
DOI : 10.5351/CKSS.2007.14.2.309
In this paper, we decompose the whole likelihood based on grouped data into conditional likelihoods and study the approximate contribution of additional inspection to the efficiency. We also combine the conditional maximum likelihood estimators to construct an approximate maximum likelihood estimator. For an exponential distribution, we see that a large inspection size does not increase the efficiency much if the failure rate is small, and the maximum likelihood estimator can be approximated with a linear function of inspection times.
A Simple Estimation of Relative Risk
Park, Hyo-Il ; Hong, Seung-Man ;
Communications for Statistical Applications and Methods, volume 14, issue 2, 2007, Pages 317~327
DOI : 10.5351/CKSS.2007.14.2.317
In this paper, we propose a simple estimate of relative risk based on a functional equation. We derive the asymptotic normality with a restricted condition. Then we discuss some interesting features as concluding remarks. Finally we comment briefly about application of the estimate to the testing problems and compare our estimate with that of Begun through simulation study.
AMLEs for Rayleigh Distribution Based on Progressive Type-II Censored Data
Seo, Eun-Hyung ; Kang, Suk-Bok ;
Communications for Statistical Applications and Methods, volume 14, issue 2, 2007, Pages 329~344
DOI : 10.5351/CKSS.2007.14.2.329
In this paper, we shall propose the AMLEs of the scale parameter and the location parameter in the two-parameter Rayleigh distribution based on progressive Type-II censored samples when one parameter is known. We also propose the AMLEs of the two parameters in the Rayleigh distribution based on progressive Type-II censored samples when two parameters are unknown. We simulate the mean squared errors of the proposed estimators through Monte Carlo simulation for various censoring schemes.
Bayesian Estimation of the Nakagami-m Fading Parameter
Son, Young-Sook ; Oh, Mi-Ra ;
Communications for Statistical Applications and Methods, volume 14, issue 2, 2007, Pages 345~353
DOI : 10.5351/CKSS.2007.14.2.345
A Bayesian estimation of the Nakagami-m fading parameter is developed. Bayesian estimation is performed by Gibbs sampling, including adaptive rejection sampling. A Monte Carlo study shows that the Bayesian estimators proposed outperform any other estimators reported elsewhere in the sense of bias, variance, and root mean squared error.
Bayesian Estimation of the Two-Parameter Kappa Distribution
Oh, Mi-Ra ; Kim, Sun-Worl ; Park, Jeong-Soo ; Son, Young-Sook ;
Communications for Statistical Applications and Methods, volume 14, issue 2, 2007, Pages 355~363
DOI : 10.5351/CKSS.2007.14.2.355
In this paper a Bayesian estimation of the two-parameter kappa distribution was discussed under the noninformative prior. The Bayesian estimators are obtained by the Gibbs sampling. The generation of the shape parameter and scale parameter in the Gibbs sampler is implemented using the adaptive rejection Metropolis sampling algorithm of Gilks et al. (1995). A Monte Carlo study showed that the Bayesian estimators proposed outperform other estimators in the sense of mean squared error.
Median Control Chart using the Bootstrap Method
Lim, Soo-Duck ; Park, Hyo-Il ; Cho, Joong-Jae ;
Communications for Statistical Applications and Methods, volume 14, issue 2, 2007, Pages 365~376
DOI : 10.5351/CKSS.2007.14.2.365
This research considers to propose the control charts using median for the location parameter. In order to decide the control limits, we apply several bootstrap methods through the approach obtaining the confidence interval except the standard bootstrap method. Then we illustrate our procedure using an example and compare the performance among the various bootstrap methods by obtaining the length between control limits through the simulation study. The standard bootstrap may be apt to yield shortest length while the bootstrap-t method, the longest one. Finally we comment briefly about some specific features as concluding remarks.
Comparison Study of Multi-class Classification Methods
Bae, Wha-Soo ; Jeon, Gab-Dong ; Seok, Kyung-Ha ;
Communications for Statistical Applications and Methods, volume 14, issue 2, 2007, Pages 377~388
DOI : 10.5351/CKSS.2007.14.2.377
As one of multi-class classification methods, ECOC (Error Correcting Output Coding) method is known to have low classification error rate. This paper aims at suggesting effective multi-class classification method (1) by comparing various encoding methods and decoding methods in ECOC method and (2) by comparing ECOC method and direct classification method. Both SVM (Support Vector Machine) and logistic regression model were used as binary classifiers in comparison.
Bayesian Estimation of the Reliability Function of the Burr Type XII Model under Asymmetric Loss Function
Kim, Chan-Soo ;
Communications for Statistical Applications and Methods, volume 14, issue 2, 2007, Pages 389~399
DOI : 10.5351/CKSS.2007.14.2.389
In this paper, Bayes estimates for the parameters k, c and reliability function of the Burr type XII model based on a type II censored samples under asymmetric loss functions viz., LINEX and SQUAREX loss functions are obtained. An approximation based on the Laplace approximation method (Tierney and Kadane, 1986) is used for obtaining the Bayes estimators of the parameters and reliability function. In order to compare the Bayes estimators under squared error loss, LINEX and SQUAREX loss functions respectively and the maximum likelihood estimator of the parameters and reliability function, Monte Carlo simulations are used.
Some Results on the Log-linear Regression Diagnostics
Yang, Mi-Young ; Choi, Ji-Min ; Kim, Choong-Rak ;
Communications for Statistical Applications and Methods, volume 14, issue 2, 2007, Pages 401~411
DOI : 10.5351/CKSS.2007.14.2.401
In this paper we propose an influence measure for detecting potentially influential observations using the infinitesimal perturbation and the local influence in the log-linear regression model. Also, we propose a goodness-of-fit measure for variable selection. A real data set are used for illustration.
Pricing an Equity-Linked Security with Non-Guaranteed Principal
Cho, Jae-Koang ; Lee, Hang-Suck ;
Communications for Statistical Applications and Methods, volume 14, issue 2, 2007, Pages 413~429
DOI : 10.5351/CKSS.2007.14.2.413
Equity-linked securities (ELS) provide their customers with the return linked to the underlying equity (or equities). Equity-linked products in Korea have recently gained popularity due to relatively low interest rates. This paper discusses an equity-linked security whose principal is not guaranteed. The payoff of the ELS depends on the returns of two underlying assets. This paper presents numerical prices of the proposed product by using Monte-Carlo simulation method. It assumes that the log-returns of two stocks follow either Brownian motion or variance gamma process. Finally, the comparison of the two approaches is discussed.
Noninformative Priors for the Difference of Two Quantiles in Exponential Models
Kang, Sang-Gil ; Kim, Dal-Ho ; Lee, Woo-Dong ;
Communications for Statistical Applications and Methods, volume 14, issue 2, 2007, Pages 431~442
DOI : 10.5351/CKSS.2007.14.2.431
In this paper, we develop the noninformative priors when the parameter of interest is the difference between quantiles of two exponential distributions. We want to develop the first and second order probability matching priors. But we prove that the second order probability matching prior does not exist. It turns out that Jeffreys' prior does not satisfy the first order matching criterion. The Bayesian credible intervals based on the first order probability matching prior meet the frequentist target coverage probabilities much better than the frequentist intervals of Jeffreys' prior. Some simulation and real example will be given.
A Nonparametric Bootstrap Test and Estimation for Change
Kim, Jae-Hee ;
Communications for Statistical Applications and Methods, volume 14, issue 2, 2007, Pages 443~457
DOI : 10.5351/CKSS.2007.14.2.443
This paper deals with the problem of testing the existence of change in mean and estimating the change-point using nonparametric bootstrap technique. A test statistic using Gombay and Horvath (1990)'s functional form is applied to derive a test statistic and nonparametric change-point estimator with bootstrapping idea. Achieved significance level of the test is calculated for the proposed test to show the evidence against the null hypothesis. MSE and percentiles of the bootstrap change-point estimators are given to show the distribution of the proposed estimator in simulation.
Understanding Black-Scholes Option Pricing Model
Lee, Eun-Kyung ; Lee, Yoon-Dong ;
Communications for Statistical Applications and Methods, volume 14, issue 2, 2007, Pages 459~479
DOI : 10.5351/CKSS.2007.14.2.459
Theories related to financial market has received big attention from the statistics community. However, not many courses on the topic are provided in statistics departments. Because the financial theories are entangled with many complicated mathematical and physical theories as well as ambiguously stated financial terminologies. Based on our experience on the topic, we try to explain the rather complicated terminologies and theories with easy-to-understand words. This paper will briefly cover the topics of basic terminologies of derivatives, Black-Scholes pricing idea, and related basic mathematical terminologies.