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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 15, Issue 6 - Nov 2008
Volume 15, Issue 5 - Sep 2008
Volume 15, Issue 4 - Jul 2008
Volume 15, Issue 3 - May 2008
Volume 15, Issue 2 - Mar 2008
Volume 15, Issue 1 - Jan 2008
Selecting the target year
Asymptotic Consistency of Least Squares Estimators in Fuzzy Regression Model
Yoon, Jin-Hee ; Kim, Hae-Kyung ; Choi, Seung-Hoe ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 799~813
DOI : 10.5351/CKSS.2008.15.6.799
This paper deals with the properties of the fuzzy least squares estimators for fuzzy linear regression model. Especially fuzzy triangular input-output model including error term is proposed. The error term is considered as a fuzzy random variable. The asymptotic unbiasedness and the consistency of the estimators are proved using a suitable metric.
Estimation for the Half Logistic Distribution under Progressive Type-II Censoring
Kang, Suk-Bok ; Cho, Young-Seuk ; Han, Jun-Tae ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 815~823
DOI : 10.5351/CKSS.2008.15.6.815
In this paper, we derive the approximate maximum likelihood estimators(AMLEs) and maximum likelihood estimator of the scale parameter in a half-logistic distribution based on progressive Type-II censored samples. We compare the proposed estimators in the sense of the mean squared error for various censored samples. We also obtain the approximate maximum likelihood estimators of the reliability function using the proposed estimators. We compare the proposed estimators in the sense of the mean squared error.
Volatility Analysis for Multivariate Time Series via Dimension Reduction
Song, Eu-Gine ; Choi, Moon-Sun ; Hwang, S.Y. ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 825~835
DOI : 10.5351/CKSS.2008.15.6.825
Multivariate GARCH(MGARCH) has been useful in financial studies and econometrics for modeling volatilities and correlations between components of multivariate time series. An obvious drawback lies in that the number of parameters increases rapidly with the number of variables involved. This thesis tries to resolve the problem by using dimension reduction technique. We briefly review both factor models for dimension reduction and the MGARCH models including EWMA (Exponentially weighted moving-average model), DVEC(Diagonal VEC model), BEKK and CCC(Constant conditional correlation model). We create meaningful portfolios obtained after reducing dimension through statistical factor models and fundamental factor models and in turn these portfolios are applied to MGARCH. In addition, we compare portfolios by assessing MSE, MAD(Mean absolute deviation) and VaR(Value at Risk). Various financial time series are analyzed for illustration.
An Orthogonal Representation of Estimable Functions
Yi, Seong-Baek ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 837~842
DOI : 10.5351/CKSS.2008.15.6.837
Students taking linear model courses have difficulty in determining which parametric functions are estimable when the design matrix of a linear model is rank deficient. In this note a special form of estimable functions is presented with a linear combination of some orthogonal estimable functions. Here, the orthogonality means the least squares estimators of the estimable functions are uncorrelated and have the same variance. The number of the orthogonal estimable functions composing the special form is equal to the rank of the design matrix. The orthogonal estimable functions can be easily obtained through the singular value decomposition of the design matrix.
A Study on the Sensitivity of the BLS Methods
Lee, Seok-Jin ; Shin, Key-Il ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 843~858
DOI : 10.5351/CKSS.2008.15.6.843
BLS adjustment methods have been able to provide more accurate estimates of total and make samples represent population characteristics by post-adjustment of design weights of samples. However, BLS methods use additional data, for instance number of employee, without this information or using other information, give different weight adjustment factors. In this paper we studied the sensitivity of the variables used in BLS adjustment. The 2007 monthly labor survey data is used in analysis.
A Study on Job Satisfaction and Turnover Behavior with 2-Stage Logistic Regression: In Case of Graduates Occupational Mobility Survey
Chung, Sung-Suk ; Lee, Ki-Hoon ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 859~873
DOI : 10.5351/CKSS.2008.15.6.859
Job satisfaction impacts on the turnover intention of employee, which affects the turnover behavior. This paper concerns with the impact of job satisfaction on the turn over behavior. Since turnover intention is highly correlated with job satisfaction, salary, employment status and etc, we should pay careful attention for modelling of those variables as independent variables and the turnover behavior as a dependent variable in the empirical study for the impact of factors on turnover behavior. We detect significant variables which effect the turnover behavior using 2-stage logistic regression inserting the turnover intention, an independent variable, with the chance estimates derived from the instrumental variables in Graduates Occupational Mobility Survey.
A General Coverage-Based NHPP SRGM Framework
Park, Joong-Yang ; Lee, Gye-Min ; Park, Jae-Heung ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 875~881
DOI : 10.5351/CKSS.2008.15.6.875
This paper first discusses the existing non-homogeneous Poisson process(NHPP) software reliability growth model(SRGM) frameworks with respect to capability of representing software reliability growth phenomenon. As an enhancement of representational capability a new general coverage-based NHPP SRGM framework is developed. Issues associated with application of the new framework are then considered.
Sample Design for Materials and Components Industry Trend Survey
NamKung, Pyong ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 883~897
DOI : 10.5351/CKSS.2008.15.6.883
This paper provides correct informations inflecting the present situation using the sample design in population that the National Statistical Office puts in operation of the mining and manufacturing industry statistical survey in 2006. This paper proposes new sampling design which is able to grasp business fluctuations and provide basic data for the rearing policy and management of the material industry and components industry. These sample design are the modified cut-off method and multivariate Neyman allocation using principal components and sampling method is the probability proportional systematic sampling.
Estimation of Jump Points in Nonparametric Regression
Park, Dong-Ryeon ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 899~908
DOI : 10.5351/CKSS.2008.15.6.899
If the regression function has jump points, nonparametric estimation method based on local smoothing is not statistically consistent. Therefore, when we estimate regression function, it is quite important to know whether it is reasonable to assume that regression function is continuous. If the regression function appears to have jump points, then we should estimate first the location of jump points. In this paper, we propose a procedure which can do both the testing hypothesis of discontinuity of regression function and the estimation of the number and the location of jump points simultaneously. The performance of the proposed method is evaluated through a simulation study. We also apply the procedure to real data sets as examples.
Maintenance Policy Based on Cost and Downtime Following the Expiration of Combination Warranty
Jung, Ki-Mun ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 909~923
DOI : 10.5351/CKSS.2008.15.6.909
This paper considers the replacement model and the preventive maintenance model following the expiration of combination warranty for a repairable system. If the system fails after the combination warranty is expired, then it is minimally repaired at each failure. The criterion used to determine the optimal replacement policy and the optimal preventive maintenance policy is the overall value function based on the expected cost rate per unit time and the expected downtime per unit time. The numerical examples are presented for illustrative purpose when the failure time follows a Weibull distribution.
Clustering Korean Stock Return Data Based on GARCH Model
Park, Man-Sik ; Kim, Na-Young ; Kim, Hee-Young ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 925~937
DOI : 10.5351/CKSS.2008.15.6.925
In this study, we considered the clustering analysis for stock return traded in the stock market. Most of financial time-series data, for instance, stock price and exchange rate have conditional heterogeneous variability depending on time, and, hence, are not properly applied to the autoregressive moving-average(ARMA) model with assumption of constant variance. Moreover, the variability is font and center for stock investors as well as academic researchers. So, this paper focuses on the generalized autoregressive conditional heteroscedastic(GARCH) model which is known as a solution for capturing the conditional variance(or volatility). We define the metrics for similarity of unconditional volatility and for homogeneity of model structure, and, then, evaluate the performances of the metrics. In real application, we do clustering analysis in terms of volatility and structure with stock return of the 11 Korean companies measured for the latest three years.
A Note on Nonparametric Density Estimation for the Deconvolution Problem
Lee, Sung-Ho ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 939~946
DOI : 10.5351/CKSS.2008.15.6.939
In this paper the support vector method is presented for the probability density function estimation when the sample observations are contaminated with random noise. The performance of the procedure is compared to kernel density estimates by the simulation study.
Median Ranked Ordering-Set Sample Test for Ordered Alternatives
Kim, Dong-Hee ; Ock, Bong-Seak ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 947~957
DOI : 10.5351/CKSS.2008.15.6.947
In this paper, we consider the c-sample location problem for ordered alternatives using median ranked ordering-set samples(MROSS). We propose the test statistic using the median of samples that have the same ranked order in each cycle of ranted ordering-set sample(ROSS). We obtain the asymptotic property of the proposed test statistic and Pitman efficiency with respect to other test statistic. In simulation study, our proposed test statistic has good powers for some underlying distributions we consider.
A Weak Convergence of the Linear Random Field Generated by Associated Randomvariables ℤ
Kim, Tae-Sung ; Ko, Mi-Hwa ; Kim, Hyun-Chull ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 959~967
DOI : 10.5351/CKSS.2008.15.6.959
In this paper we show the weak convergence of the linear random(multistochastic process) field generated by identically distributed 2-parameter array of associated random variables. Our result extends the result in Newman and Wright (1982) to the linear 2-parameter processes as well as the result in Kim and Ko (2003) to the 2-parameter case.
A General Mixed Linear Model with Left-Censored Data
Ha, Il-Do ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 969~976
DOI : 10.5351/CKSS.2008.15.6.969
Mixed linear models have been widely used in various correlated data including multivariate survival data. In this paper we extend hierarchical-likelihood(h-likelihood) approach for mixed linear models with right censored data to that for left censored data. We also allow a general random-effect structure and propose the estimation procedure. The proposed method is illustrated using a numerical data set and is also compared with marginal likelihood method.
k-Nearest Neighbor-Based Approach for the Estimation of Mutual Information
Cha, Woon-Ock ; Huh, Moon-Yul ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 977~991
DOI : 10.5351/CKSS.2008.15.6.977
This study is about the k-nearest neighbor-based approach for the estimation of mutual information when the type of target variable is categorical and continuous. The results of Monte-Carlo simulation and experiments with real-world data show that k=1 is preferable. In practical application with real world data, our study shows that jittering and bootstrapping is needed.
Use of Pseudo-Likelihood Estimation in Taylor's Power Law with Correlated Responses
Park, Bum-Hee ; Park, Heung-Sun ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 993~1002
DOI : 10.5351/CKSS.2008.15.6.993
Correlated responses have been widely analyzed since Liang and Zeger (1986) introduced the famous Generalized Estimating Equations(GEE). However, their variance functions were restricted to known quantifies multiplied by scale parameter. In so many industries and academic/research fields, power-of-the-mean variance function is one of the common variance function. We suggest GEE-type pseudolikelihood estimation based on the power-of-the-mean variance using existing software and investigate it's efficiency for different working correlation matrices.
Semiparametric Kernel Poisson Regression for Longitudinal Count Data
Hwang, Chang-Ha ; Shim, Joo-Yong ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 1003~1011
DOI : 10.5351/CKSS.2008.15.6.1003
Mixed-effect Poisson regression models are widely used for analysis of correlated count data such as those found in longitudinal studies. In this paper, we consider kernel extensions with semiparametric fixed effects and parametric random effects. The estimation is through the penalized likelihood method based on kernel trick and our focus is on the efficient computation and the effective hyperparameter selection. For the selection of hyperparameters, cross-validation techniques are employed. Examples illustrating usage and features of the proposed method are provided.
Some Issues on Criterion for Kolmogorov-Smirnov Test in Credit Rating Model Validation
Park, Yong-Seok ; Hong, Chong-Sun ;
Communications for Statistical Applications and Methods, volume 15, issue 6, 2008, Pages 1013~1026
DOI : 10.5351/CKSS.2008.15.6.1013
Kolmogorov-Smirnov(K-S) statistic has been widely used for the model validation of credit rating models. Validation criteria for the K-S statistic is empirically used at the levels of 0.3 or 0.4 which are much larger than the critical values of K-S test statistic. We examine whether these criteria are reasonable and appropriate through the simulations according to various sample sizes, type II error rates, and the ratio of bads among data. The simulation results say that the currently used validation criteria are too lower than values of K-S statistics obtained from any credit rating models in Korea, so that any credit rating models have good discriminatory power. In this work, alternative criteria of K-S statistic are proposed as critical levels under realistic situations of credit rating models.