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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 9, Issue 3 - Dec 2002
Volume 9, Issue 2 - Aug 2002
Volume 9, Issue 1 - Apr 2002
Selecting the target year
Long Memory Characteristics in the Korean Stock Market Volatility
Cho, Sinsup ; Choe, Hyuk ; Park, Joon Y ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 577~594
DOI : 10.5351/CKSS.2002.9.3.577
For the estimation and test of long memory feature in volatilities of stock indices and individual companies semiparametric approach, Geweke and Porter-Hudak (1983), is employed. Empirical study supports the strong evidence of volatility persistence in Korean stock market. Most of indices and individual companies have the feature of long term dependence of volatility. Hence the short memory models are unable to explain the volatilities in Korean stock market.
Extended Central Composite Designs with the Axial Points Indicated by Two Numbers
Kim, Hyuk-Joo ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 595~605
DOI : 10.5351/CKSS.2002.9.3.595
The central composite design is widely used for estimating second order response surfaces. This type of design is composed of
factorial points, axial points and center points. In this paper, we suggest a version of central composite design where the positions of the axial points are indicated by two numbers, and study properties of this design. We obtain the variances and covariances of the estimators of the regression coefficients. Conditions are obtained for this design to be orthogonal and rotatable. This design is compared with other designs on the basis of efficiency.
Nonparametric Tests in AB/BA/AA/BB Crossover Design
Nam, Jusun ; Kim, Dongjae ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 607~618
DOI : 10.5351/CKSS.2002.9.3.607
Crossover design is often used in clinical trials about chronic diseases like hypertension, asthma and arthritis. In this paper, we suggest nonparametric approaches of Friedman-type rank test based on Bernard-van Elteren test and of aligned method keeping the information of blocks based on the AB/BA/AA/BB crossover design. The simulation results are presented to compare experimental error and power of several methods.
Multiple Constrained Optimal Experimental Design
Jahng, Myung-Wook ; Kim, Young Il ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 619~627
DOI : 10.5351/CKSS.2002.9.3.619
It is unpractical for the optimal design theory based on the given model and assumption to be applied to the real-world experimentation. Particularly, when the experimenter feels it necessary to consider multiple objectives in experimentation, its modified version of optimality criteria is indeed desired. The constrained optimal design is one of many methods developed in this context. But when the number of constraints exceeds two, there always exists a problem in specifying the lower limit for the efficiencies of the constraints because the “infeasible solution” issue arises very quickly. In this paper, we developed a sequential approach to tackle this problem assuming that all the constraints can be ranked in terms of importance. This approach has been applied to the polynomial regression model.
Consistency of a Modified W Test for Exponentiality
Kim, Namhyun ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 629~637
DOI : 10.5351/CKSS.2002.9.3.629
Shapiro and Wilk(1972) developed a test for exponentiality with origin and scale unknown. The procedure consists of comparing the generalized least squares estimate of scale with the estimate of scale given by the sample variance. However the test based on the statistic is inconsistent Kim(2001a) proposed a modified Shapiro-Wilk's test statistic using the ratio of two asymptotically efficient estimators of scale. In this paper, we study the consistency of the proposed test.
An Alternative Unit Root Test Statistic Based on Least Squares Estimator
Shin, Key-Il ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 639~647
DOI : 10.5351/CKSS.2002.9.3.639
Efforts to obtain more power for unit root tests have continued. Pantula at el.(1994) compared empirical powers of several unit root test statistics and addressed that the weighted symmetric estimator(WSE) and the unconditional maximum likelihood estimator(UMLE) are the best among them. One can easily see that the powers of these two statistics are almost the same. In this paper we explain a connection between WSE and UMLE and suggest a unit root test statistic which may explain the connection between them.
Fluid Queueing Model with Fractional Brownian Input
Lee, Jiyeon ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 649~663
DOI : 10.5351/CKSS.2002.9.3.649
We consider an unlimited fluid queueing model which has Fractional Brownian motion(FBM) as an input and a single server of constant service rate. By using the result of Duffield and O'Connell(6), we investigate the asymptotic tail-distribution of the stationary work-load. When there are multiple homogeneous FBM inputs, the workload distribution is similar to that of the queue with one FBM input; whereas for the heterogeneous sources the asymptotic work-load distributions is dominated by the source with the largest Hurst parameter.
A Study on Nonresponse Errors in the Internet Survey
Namkung, Pyong ; Kim, Min Jung ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 665~674
DOI : 10.5351/CKSS.2002.9.3.665
The advantage of internet survey compared to the traditional survey methods are speedy in data collection, cost-effective, high performed design and able to data process and analysis at the same time. The other side are difficult to select sample, come from serious nonresponse errors. We suggest the new internet survey method to the questionnaire design that have the high response rate, enough to advanced preparations and system stability.
Program Development of Genetic Analysis for Diallel Cross Experiment
Kim, Seo Young ; Bae, Jong Sung ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 675~682
DOI : 10.5351/CKSS.2002.9.3.675
In this study, we develop the statistical analysis program for genetic analysis of diallel crosses data by SAS/MACRO, SAS/IML. Genetic analysis is to estimate of genetics parameters and heredity with reciprocal cross and without reciprocal cross. Statistical analysis program solve the problem of the difficulties on the data analysis in field denetics and breeding Therefore the user whoever want to analysis of data on genetics and breeding easily conduct the work saving time and suffering.
Optimum Stragies for Unfavorable Situation in Red & Black
Ahn, Chul H ; Sok, Yong-U ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 683~691
DOI : 10.5351/CKSS.2002.9.3.683
In a game called red and black, you can stake any amount s in your possession. Suppose your goal is 1 and your current fortune is ｆ, with 0 < f < 1. You win back your stake and as much more with probability p and lose your stake with probability, q = 1- p. Ahn(2000) considered optimum strategy for this game with the value of p less than
where the house has the advantage over the player. The optimum strategy at any f when p <
is to play boldly, which is to bet as much as you can. In this paper we perform the simulation study to show that the Bold strategy is optimum.
Nonparametric Procedures for Finding Minimum Effective Dose in a One-Way Layout
Kim, Hyeonjeong ; Kim, Dongjae ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 693~701
DOI : 10.5351/CKSS.2002.9.3.693
When the lowest dose level compared with zero-dose control has significant difference in effect, it is referred as minimum effective dose (MED). In this paper, we discuss several nonparametric methods for finding MED using updated rank at each sequential test step in small sample size and suggest new nonparametric procedures based on placement. Monte Carlo Simulation is adapted to compare power and Familywise Error Rate(FWE) of the new procedures with those of discussed nonparametric tests for finding MED.
Confounding of Time Trend with Dropout Process in Longitudinal Data Analysis
Kim, Ji-Hyun ; Choi, Hye-Hyun ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 703~713
DOI : 10.5351/CKSS.2002.9.3.703
In longitudinal studies, outcomes are repeatedly measured over time for each subject. It is common to have missing values or dropouts for longitudinal data. In this study time trend in longitudinal data with dropouts is of concern. The confounding of time trend with dropout process is investigated through simulation studies. Some simulation results are reported for binary responses as well as continuous responses with patterns of dropouts varying. It has been found that time trend is not confounded with random dropout process for binary responses when it is estimated using GEE.
A Density-based Clustering Method
Ahn, Sung Mahn ; Baik, Sung Wook ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 715~723
DOI : 10.5351/CKSS.2002.9.3.715
This paper is to show a clustering application of a density estimation method that utilizes the Gaussian mixture model. We define "closeness measure" as a clustering criterion to see how close given two Gaussian components are. Closeness measure is defined as the ratio of log likelihood between two Gaussian components. According to simulations using artificial data, the clustering algorithm turned out to be very powerful in that it can correctly determine clusters in complex situations, and very flexible in that it can produce different sizes of clusters based on different threshold valuesold values
A Study on Bayesian p-values
Hwnag, Hyungtae ; Oh, Heejung ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 725~732
DOI : 10.5351/CKSS.2002.9.3.725
P-values are often perceived as measurements of degree of compatibility between the current data and the hypothesized model. In this paper, a new concept of Bayesian p-values is proposed and studied under the non-informative prior distributions, which can be thought as the Bayesian counterparts of the classical p-values in the sense of using the concept of significance level. The performances of the proposed Bayesian p-values are compared with those of the classical p-values through several examples.
Block Designs For Comparisons Within Two Groups of Inbred Lines in Diallel Crosses
Son, Young-Nam ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 733~741
DOI : 10.5351/CKSS.2002.9.3.733
A class of block designs for general combining ability comparisons within two groups of inbred lines in diallel crosses is given. These block designs are constructed by using balanced block designs obtained by cyclically developing a single initial block. Also, the efficiencies of block designs are tabulated for number of lines 26 or less.
Optimal Design for Locally Weighted Quasi-Likelihood Response Curve Estimator
Park, Dongryeon ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 743~752
DOI : 10.5351/CKSS.2002.9.3.743
The estimation of the response curve is the important problem in the quantal bioassay. When we estimate the response curve, we determine the design points in advance of the experiment. Then naturally we have a question of which design would be optimal. As a response curve estimator, locally weighted quasi-likelihood estimator has several more appealing features than the traditional nonparametric estimators. The optimal design density for the locally weighted quasi-likelihood estimator is derived and its ability both in theoretical and in empirical point of view are investigated.
Comparison of Change-point Estimators in Hazard Rate Models
Kim, Jaehee ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 753~763
DOI : 10.5351/CKSS.2002.9.3.753
When there is one change-point in the hazard rate model, a change-point estimator with the partial score process is suggested and compared with the previously developed estimators. The limiting distribution of the partial score process we used is a function of the Brownian bridge. Simulation study gives the comparison of change-point estimators.
Optimal Weights for a Vector of Independent Poisson Random Variables
Kim, Joo-Hwan ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 765~774
DOI : 10.5351/CKSS.2002.9.3.765
Suppose one is given a vector X of a finite set of quantities
which are independent Poisson random variables. A null hypothesis
about E(X) is to be tested against an alternative hypothesis
. A quantity
is to be computed and used for the test. The optimal values of
are calculated for three cases: (1) signal to noise ratio is used in the test, (2) normal approximations with unequal variances to the Poisson distributions are used in the test, and (3) the Poisson distribution itself is used. The above three cases are considered to the situations that are without background noise and with background noise. A comparison is made of the optimal values of
in the three cases for both situations.
Design and Weighting Effects in Small Firm Server in Korea
Lee, Keejae ; Lepkowski, James M. ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 775~786
DOI : 10.5351/CKSS.2002.9.3.775
In this paper, we conducted an empirical study to investigate the design and weighting effects on descriptive and analytic statistics. The design and weighting effects were calculated for estimates produced from the 1998 small firm survey data. We considered the design and weighting effects on coefficients estimates of regression model using the design-based approach and the GEE approach.
Dynamic Added Variable Plots
Seo, Han-Son ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 787~797
DOI : 10.5351/CKSS.2002.9.3.787
Partial residual plots, augmented partial residual plots and CERES plots are basic diagnostic tools for dealing with curvature as a function of specific predictors in regression problem. However, it is known that these plots can miss a curve or show a false curve in some cases such as predictors are related each other. Dynamic display of these plots is developed and applied. Examples demonstrate that dynamic plots are useful for obtaining additional Information on the curvature.
Multi-response Designs Minimizing Model Inadequacies
Bae, Whasoo ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 799~808
DOI : 10.5351/CKSS.2002.9.3.799
This paper aims at selecting the multi-response design with γ responses minimizing the bias error caused by fitting inadequate models to responses, where the first order models are fitted to Ρ responses fearing the quadratic bias, while to other γ- Ρ responses, the quadratic models are fitted fearing the cubic biases in the cuboidal region of interest. Under the assumption of symmetric design, by minimizing the criterion which represents the amount of error caused by fitting inadequate models, the optimum design was found to be the one having the design moments of second order and the fourth order as 1/3 and l/5, respectively. Examples of the design meeting the required conditions are given for illustration.
A Study on Unbiased Methods in Constructing Classification Trees
Lee, Yoon-Mo ; Song, Moon Sup ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 809~824
DOI : 10.5351/CKSS.2002.9.3.809
we propose two methods which separate the variable selection step and the split-point selection step. We call these two algorithms as CHITES method and F&CHITES method. They adapted some of the best characteristics of CART, CHAID, and QUEST. In the first step the variable, which is most significant to predict the target class values, is selected. In the second step, the exhaustive search method is applied to find the splitting point based on the selected variable in the first step. We compared the proposed methods, CART, and QUEST in terms of variable selection bias and power, error rates, and training times. The proposed methods are not only unbiased in the null case, but also powerful for selecting correct variables in non-null cases.
Posterior Consistency of Bayesian Inference of Poisson Processes
Kim, Yongdai ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 825~834
DOI : 10.5351/CKSS.2002.9.3.825
Poisson processes are widely used in reliability and survival analysis. In particular, multiple event time data in survival analysis are routinely analyzed by use of Poisson processes. In this paper, we consider large sample properties of nonparametric Bayesian models for Poisson processes. We prove that the posterior distribution of the cumulative intensity function of Poisson processes is consistent under regularity conditions on priors which are Levy processes.
Note on Properties of Noninformative Priors in the One-Way Random Effect Model
Kang, Sang Gil ; Kim, Dal Ho ; Cho, Jang Sik ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 835~844
DOI : 10.5351/CKSS.2002.9.3.835
For the one-way random model when the ratio of the variance components is of interest, Bayesian analysis is often appropriate. In this paper, we develop the noninformative priors for the ratio of the variance components under the balanced one-way random effect model. We reveal that the second order matching prior matches alternative coverage probabilities up to the second order (Mukerjee and Reid, 1999) and is a HPD(Highest Posterior Density) matching prior. It turns out that among all of the reference priors, the only one reference prior (one-at-a-time reference prior) satisfies a second order matching criterion. Finally we show that one-at-a-time reference prior produces confidence sets with expected length shorter than the other reference priors and Cox and Reid (1987) adjustment.
Finding the Maximum Flow in a Network with Simple Paths
Lee, Seung-Min ; Lee, Chong-Hyung ; Park, Dong-Ho ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 845~851
DOI : 10.5351/CKSS.2002.9.3.845
An efficient method is developed to obtain the maximum flow for a network when its simple paths are known. Most of the existing techniques need to convert simple paths into minimal cuts, or to determine the order of simple paths to be applied in the process to reach the correct result. In this paper, we propose a method based on the concepts of signed simple path and signed flow defined in the text. Our method involves a fewer number of arithmetic operations at each iteration, and requires fewer iterations in the whole process than the existing methods. Our method can be easily extended to a mixed network with a slight modification. Furthermore, the correctness of our method does not depend on the order of simple paths to be applied in the process.
Chi-squared Tests for Homogeneity based on Complex Sample Survey Data Subject to Misclassification Error
Heo, Sunyeong ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 853~864
DOI : 10.5351/CKSS.2002.9.3.853
In the analysis of categorical data subject to misclassification errors, the observed cell proportions are adjusted by a misclassification probabilities and estimates of variances are adjusted accordingly. In this case, it is important to determine the extent to which misclassification probabilities are homogeneous within a population. This paper considers methods to evaluate the power of chi-squared tests for homogeneity with complex survey data subject to misclassification errors. Two cases are considered: adjustment with homogeneous misclassification probabilities; adjustment with heterogeneous misclassification probabilities. To estimate misclassification probabilities, logistic regression method is considered.
On Optimal Burn-in and Maintenance Policy
Na, Myung Hwan ; Son, Young Nam ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 865~870
DOI : 10.5351/CKSS.2002.9.3.865
Burn-in is a widely used method to eliminate the initial failures. Preventive maintenance policy such as age replacement is often used in field operation. In this paper burn-in and maintenance policy are taken into consideration at the same time. The properties of the corresponding optimal burn-in times and optimal maintenance policy are discussed.
Characterization of Tightness for Fuzzy Random Variables
Joo, Sang Yeol ; Yoo, Young Ho ; Chung, Young Jun ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 871~876
DOI : 10.5351/CKSS.2002.9.3.871
In this paper, we establish some characterizations of tightness for a sequence of random elements taking values in the space of upper-semicontinuous fuzzy sets with compact support in R.
Applications on p-values of Chi-Square Distribution
Hong, Chong Sun ; Hong, Sung Sick ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 877~887
DOI : 10.5351/CKSS.2002.9.3.877
In this paper, behaviors and properties of p-values for goodness-of-fit test are investigated. With some findings on the p-values, we consider some applications to determine sample size of a survey research using the regression equation based on a pilot study data. Regression equations are obtained by the well-known least squared method, and we find that regression lines could be formulated with only two data points, alternatively. For further studies, this works might be extended to t distributions for testing hypotheses about population mean in order to determine sample size of a prospective study. Also similar arguments could be explored for F test statistics.
Estimation of the Parameter of a Bernoulli Distribution Using a Balanced Loss Function
Farsipour, N.Sanjari ; Asgharzadeh, A. ;
Communications for Statistical Applications and Methods, volume 9, issue 3, 2002, Pages 889~898
DOI : 10.5351/CKSS.2002.9.3.889
In decision theoretic estimation, the loss function usually emphasizes precision of estimation. However, one may have interest in goodness of fit of the overall model as well as precision of estimation. From this viewpoint, Zellner(1994) proposed the balanced loss function which takes account of both "goodness of fit" and "precision of estimation". This paper considers estimation of the parameter of a Bernoulli distribution using Zellner's(1994) balanced loss function. It is shown that the sample mean
, is admissible. More general results, concerning the admissibility of estimators of the form
are also presented. Finally, minimax estimators and some numerical results are given at the end of paper,at the end of paper,