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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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Journal DOI :
The Korean Statistical Society
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Volume & Issues
Volume 23, Issue 4 - Jul 2016
Volume 23, Issue 3 - May 2016
Volume 23, Issue 2 - Mar 2016
Volume 23, Issue 1 - Jan 2016
Selecting the target year
Bezier curve smoothing of cumulative hazard function estimators
Cha, Yongseb ; Kim, Choongrak ;
Communications for Statistical Applications and Methods, volume 23, issue 3, 2016, Pages 189~201
DOI : 10.5351/CSAM.2016.23.3.189
In survival analysis, the Nelson-Aalen estimator and Peterson estimator are often used to estimate a cumulative hazard function in randomly right censored data. In this paper, we suggested the smoothing version of the cumulative hazard function estimators using a Bezier curve. We compare them with the existing estimators including a kernel smooth version of the Nelson-Aalen estimator and the Peterson estimator in the sense of mean integrated square error to show through numerical studies that the proposed estimators are better than existing ones. Further, we applied our method to the Cox regression where covariates are used as predictors and suggested a survival function estimation at a given covariate.
Volatility spillover between the Korean KOSPI and the Hong Kong HSI stock markets
Baek, Eun-Ah ; Oh, Man-Suk ;
Communications for Statistical Applications and Methods, volume 23, issue 3, 2016, Pages 203~213
DOI : 10.5351/CSAM.2016.23.3.203
We investigate volatility spillover aspects of realized volatilities (RVs) for the log returns of the Korea Composite Stock Price Index (KOSPI) and the Hang Seng Index (HSI) from 2009-2013. For all RVs, significant long memories and asymmetries are identified. For a model selection, we consider three commonly used time series models as well as three models that incorporate long memory and asymmetry. Taking into account of goodness-of-fit and forecasting ability, Leverage heteroskedastic autoregressive realized volatility (LHAR) model is selected for the given data. The LHAR model finds significant decompositions of the spillover effect from the HSI to the KOSPI into moderate negative daily spillover, positive weekly spillover and positive monthly spillover, and from the KOSPI to the HSI into substantial negative weekly spillover and positive monthly spillover. An interesting result from the analysis is that the daily volatility spillover from the HSI to the KOSPI is significant versus the insignificant daily volatility spillover of the KOSPI to HSI. The daily volatility in Hong Kong affects next day volatility in Korea but the daily volatility in Korea does not affect next day volatility in Hong Kong.
Comparing the empirical powers of several independence tests in generalized FGM family
Zargar, M. ; Jabbari, H. ; Amini, M. ;
Communications for Statistical Applications and Methods, volume 23, issue 3, 2016, Pages 215~230
DOI : 10.5351/CSAM.2016.23.3.215
The powers of some tests for independence hypothesis against positive (negative) quadrant dependence in generalized Farlie-Gumbel-Morgenstern distribution are compared graphically by simulation. Some of these tests are usual linear rank tests of independence. Two other possible rank tests of independence are locally most powerful rank test and a powerful nonparametric test based on the
Mises statistic. We also evaluate the empirical power of the class of distribution-free tests proposed by Kochar and Gupta (1987) based on the asymptotic distribution of a U-statistic and the test statistic proposed by
and Kotz (2008) in generalized Farlie-Gumbel-Morgenstern distribution. Tests of independence are also compared for sample sizes n = 20, 30, 50, empirically. Finally, we apply two examples to illustrate the results.
Deletion diagnostics in fitting a given regression model to a new observation
Kim, Myung Geun ;
Communications for Statistical Applications and Methods, volume 23, issue 3, 2016, Pages 231~239
DOI : 10.5351/CSAM.2016.23.3.231
A graphical diagnostic method based on multiple case deletions in a regression context is introduced by using the sampling distribution of the difference between two least squares estimators with and without multiple cases. Principal components analysis plays a key role in deriving this diagnostic method. Multiple case deletions of test statistic are also considered when a new observation is fitted to a given regression model. The result is useful for detecting influential observations in econometric data analysis, for example in checking whether the consumption pattern at a later time is the same as the one found before or not, as well as for investigating the influence of cases in the usual regression model. An illustrative example is given.
On the maximum likelihood estimators for parameters of a Weibull distribution under random censoring
Kim, Namhyun ;
Communications for Statistical Applications and Methods, volume 23, issue 3, 2016, Pages 241~250
DOI : 10.5351/CSAM.2016.23.3.241
In this paper, we consider statistical inferences on the estimation of the parameters of a Weibull distribution when data are randomly censored. Maximum likelihood estimators (MLEs) and approximate MLEs are derived to estimate the parameters. We consider two cases for the censoring model: the assumption that the censoring distribution does not involve any parameters of interest and a censoring distribution that follows a Weibull distribution. A simulation study is conducted to compare the performances of the estimators. The result shows that the MLEs and the approximate MLEs are similar in terms of biases and mean square errors; in addition, the assumption of the censoring model has a strong influence on the estimation of scale parameter.
Case studies: Statistical analysis of contributions of vitamins and phytochemicals to antioxidant activities in plant-based multivitamins through generalized partially double-index model
Yoo, Jae Keun ; Kwon, Oran ;
Communications for Statistical Applications and Methods, volume 23, issue 3, 2016, Pages 251~258
DOI : 10.5351/CSAM.2016.23.3.251
It is important to verify the identity of plant-based multivitamins prepared with a natural-concept and popular for daily consumption because they are easily purchased in markets with imperfect information. For this study, a generalized partially double-index model (GPDIM) was employed as a main statistical method to identify the contribution of vitamins and phytochemicals to antioxidant potentials using data on antioxidant capacities and chemical fingerprinting. A bootstrapping approach via sufficient dimension reduction is adopted to estimate the two unknown coefficient vectors in the GPDIM. Fifth order polynomial regressions are fitted to measure the contributions of vitamins and phytochemicals after estimating the coefficient vectors with the two double indices.
Dimension reduction for right-censored survival regression: transformation approach
Yoo, Jae Keun ; Kim, Sung-Jin ; Seo, Bi-Seul ; Shin, Hyejung ; Sim, Su-Ah ;
Communications for Statistical Applications and Methods, volume 23, issue 3, 2016, Pages 259~268
DOI : 10.5351/CSAM.2016.23.3.259
High-dimensional survival data with large numbers of predictors has become more common. The analysis of such data can be facilitated if the dimensions of predictors are adequately reduced. Recent studies show that a method called sliced inverse regression (SIR) is an effective dimension reduction tool in high-dimensional survival regression. However, it faces incapability in implementation due to a double categorization procedure. This problem can be overcome in the right-censoring type by transforming the observed survival time and censoring status into a single variable. This provides more flexibility in the categorization, so the applicability of SIR can be enhanced. Numerical studies show that the proposed transforming approach is equally good to (or even better) than the usual SIR application in both balanced and highly-unbalanced censoring status. The real data example also confirms its practical usefulness, so the proposed approach should be an effective and valuable addition to usual statistical practitioners.