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REFERENCE LINKING PLATFORM OF KOREA S&T JOURNALS
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Korean Journal of Applied Statistics
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Journal DOI :
The Korean Statistical Society
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Volume & Issues
Volume 23, Issue 6 - Dec 2010
Volume 23, Issue 5 - Oct 2010
Volume 23, Issue 4 - Aug 2010
Volume 23, Issue 3 - Jun 2010
Volume 23, Issue 2 - Apr 2010
Volume 23, Issue 1 - Feb 2010
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The Empirical Study about the World Economy Synchronization using Returns Transitions between Stock Markets
Roh, Sang-Youn ;
Korean Journal of Applied Statistics, volume 23, issue 3, 2010, Pages 443~456
DOI : 10.5351/KJAS.2010.23.3.443
This study is an empirical research of the stock markets to prove the synchronization phenomenon of the world economy. For this research I analyzed Korea's KOSPI, USA's DOW & NASDAQ reflecting stock markets in North America, Japan's NIKKEI in Asia, and Germany's DAX in Europe. Because the raw series are not stationary, they are to be transformed to returns series. The results of the study are follows: First of all, there are significant causalities between KOSPI's returns and those of other indices. Second, feedback effects are found between the market returns with several time lags. Third, there are 4 cointegrating equations which embody the relation of the five returns series. And forth, KOSPI reacts more sensitively to impacts from the foreign indices compared to the other indices do when they got impacts from each other except KOSPI. On conclusion, there exists a clear evidence for the synchronization phenomenon in returns of the stock indices, and we can expect Korea market may get similar changes depending on the economic changes of North America, Europe, or Asia. Therefore more closing researches should be conducted about the world economy synchronization in various fields as soon as possible.
Tests for Imbalance between Variations in Metropolis Housing Prices by Regulatory Realty Policies
Kim, Tae-Ho ; Ann, Ji-Hee ;
Korean Journal of Applied Statistics, volume 23, issue 3, 2010, Pages 457~469
DOI : 10.5351/KJAS.2010.23.3.457
The government real estate policy has repeatedly relaxed and reinforced controls under the mutually contradictory targets. Switching over the supporting policy after the IMF crisis to the regulating policy from 2003, the government housing policy began to generate ill effects due to various regulations. This stud carefully investigates and statistically tests the transmissions of variations in the housing prices between the metropolitan areas in the early stage of the preceding administration, under the effect of the supporting scheme, and those in the late stage, under the effect of the restricting scheme. The distinctive feature between the two periods is found to be much simplified interrelationships of the price variations in the latter period. Consolidated leading role of capital sphere, by concentrated economic strength, suggest the obvious imbalance between variations in the metropolis housing prices.
Performance of VaR Estimation Using Point Process Approach
Yeo, Sung-Chil ; Moon, Seoung-Joo ;
Korean Journal of Applied Statistics, volume 23, issue 3, 2010, Pages 471~485
DOI : 10.5351/KJAS.2010.23.3.471
VaR is used extensively as a tool for risk management by financial institutions. For convenience, the normal distribution is usually assumed for the measurement of VaR, but recently the method using extreme value theory is attracted for more accurate VaR estimation. So far, GEV and GPD models are used for probability models of EVT for the VaR estimation. In this paper, the PP model is suggested for improved VaR estimation as compared to the traditonal EV models such as GEV and GPD models. In view of the stochastic process, the PP model is regarded as a generalized model which include GEV and GPD models. In the empirical analysis, the PP model is shown to be superior to GEV and GPD models for the performance of VaR estimation.
The Shapiro-Wilk Type Test for Exponentiality Based on Progressively Type II Censored Data
Kim, Nam-Hyun ;
Korean Journal of Applied Statistics, volume 23, issue 3, 2010, Pages 487~495
DOI : 10.5351/KJAS.2010.23.3.487
This paper develops a goodness of fit test statistic to test if the progressively Type II censored sample comes from an exponential distribution with origin known. The test is based on normalizing spacings and Stephens (1978)' modified Shapiro and Wilk (1972) test for exponentiality. The modification is for the case where the origin is known. We applied the same modification to Kim (2001a)'s statistic, which is based on the ratio of two asymptotically efficient estimates of scale. The simulation results show that Kim (2001a)'s statistic has higher power than Stephens' modified Shapiro and Wilk statistic for almost all cases.
A Comparison of Sample Size Requirements for Intraclass Correlation Coefficient(ICC)
Han, Soo-Yeon ; Nam, Jung-Mo ; Myoung, Sung-Min ; Song, Ki-Jun ;
Korean Journal of Applied Statistics, volume 23, issue 3, 2010, Pages 497~510
DOI : 10.5351/KJAS.2010.23.3.497
In medical practice and research, the problem of assessing reliability between two or more quantitative measures is quite common. Intraclass correlation coefficient(ICC) is commonly used to scale of reliability. Some methods were developed to calculate the required number of subjects, raters or replicates in one-way or two-way random ANOVA models. This paper, studies and compares the performance of four methods such as Walter et al. (1998), Giraudeau and Mary (2001), Saito et al. (2006) and Bonett (2002). In order to compare the efficiency of methods we compare the number of subjects, replicates and the width of confidence interval of ICC needed for some specific ICC values. In the case of subject size, Giraudeau's method is the best. In case of the number of replicates, Saito's method was superior to others. The width of confidence interval of ICC was narrower for Giraudeau's method than any others.
A Statistical Approach to the Pharmacokinetic Model
Lee, Eun-Kyung ;
Korean Journal of Applied Statistics, volume 23, issue 3, 2010, Pages 511~520
DOI : 10.5351/KJAS.2010.23.3.511
The Pharmacokinetic model is a complex nonlinear model with pharmacokinetic parameters that is some-times represented by a complex form of differential equations. A population pharmacokinetic model adds individual variability using the random effects to the pharmacokinetic model. It amounts to the nonlinear mixed effect model. This paper, reviews the population pharmacokinetic model from a statistical viewpoint; in addition, a population pharmacokinetic model is also applied to the real clinical data along with a review of the statistical meaning of this model.
Estimation of Survival Function and Median Survival Time in Interval-Censored Data
Yun, Eun-Young ; Kim, Choong-Rak ;
Korean Journal of Applied Statistics, volume 23, issue 3, 2010, Pages 521~531
DOI : 10.5351/KJAS.2010.23.3.521
Interval-censored observations are common in medical and epidemiologic studies; however, limited studies exist due to the complexity and special structure of interval-censoring. This paper introduces the imputation method and the self consistency method in the interval-censored data. We propose a new method of generating random numbers under an interval-censoring set-up. Through simulation studies we compare two methods under various simulation schemes in the sense of the mean squared error for estimating the median survival time and the mean integrated squared error for estimating the survival function. Under a moderate censoring percentage, the mean imputation method showed a better performance than the self-consistency method in estimating the median survival time and the survival function.
Three-Stage Strati ed Randomize Response Model
Kim, Jong-Min ; Chae, Seong-S. ;
Korean Journal of Applied Statistics, volume 23, issue 3, 2010, Pages 533~543
DOI : 10.5351/KJAS.2010.23.3.533
Asking sensitive questions by a direct survey method causes non-response bias and response bias. Non-response bias arises from interviewees refusal to respond and response bias arises from giving incorrect responses. To rectify these biases, Warner (1965) introduced a randomized response model which is an alternative survey method for socially undesirable or incriminating behavior questions. The randomized response model is a procedure for collecting the information on sensitive characteristics without exposing the identity of the respondent. Many survey researchers have proposed diverse variants of the Warner randomized response model and applied their model to collect the information of sensitive questions. Using an optimal allocation, we proposed three-stage stratified randomized response technique which is an extension of the Kim and Elam (2005) two-stage stratified randomized response technique. In this study, we showed that the estimator based on the proposed response model is more efficient than Kim and Elam (2005). But by adding one more survey step to the Kim and Elam (2005), our proposed model may have relatively less privacy protection compared to the Kim and Elam (2005) model.
A Study on the Suicidal Ideation of Young Adults Based on the 2009 Internet Society Survey
Lim, Kyung-Eun ;
Korean Journal of Applied Statistics, volume 23, issue 3, 2010, Pages 545~558
DOI : 10.5351/KJAS.2010.23.3.545
Suicide is a serious social problem in Korean and suicide-related research on adolescents and the elderly has increased. However suicide-related studies of young adults are limited despite the increased trend of youth suicide and its ripple effect. This study, examines factors associated with the suicidal ideation of young adults based on the results of the 2009 Internet Society Survey that demonstrate the impact of suicide.
The Moderating Effect of Team Relationship Oriented Climate on the Relationship between Job Demand and Job Stress
Kim, Hyun-Hae ; Tak, Jin-Kook ;
Korean Journal of Applied Statistics, volume 23, issue 3, 2010, Pages 559~571
DOI : 10.5351/KJAS.2010.23.3.559
The Demand-Control model has been one of the most popular theoretical models to explain job stress. This study extends the Demand-Control model to the team level and examines the relationship between job demand and job stress to tests the moderating effect of the `team relationship climate' on the relationship between job demand and job stress. Data were collected from 34 teams across 19 organizations and analyzed using HLM. The results showed that job demand was significantly related to job stress. Based on the team level analysis, the team relationship climate was found to moderate the relationship between job demand and job stress. In addition, the consideration behavior by the leader was significantly correlated with the team relationship climate. Finally the theoretical and practical implications and limitations of this study were discussed.
The Software Reliability Growth Models for Software Life-Cycle Based on NHPP
Nam, Kyung-H. ; Kim, Do-Hoon ;
Korean Journal of Applied Statistics, volume 23, issue 3, 2010, Pages 573~584
DOI : 10.5351/KJAS.2010.23.3.573
This paper considers the differences in the software execution environments in the testing phase and the operational phase to determine the optimal release time and warranty period of software systems. We formulate equations for the total expected software cost until the end of the software life cycle based on the NHPP. In addition, we derive the optimal release time that minimizes the total expected software cost for an imperfect debugging software reliability model. Finally, we analyze the sensitivity of the optimal testing and maintenance design related to variation of the cost model parameters based on the fault data observed in the actual testing process, and discuss the quantitative properties of the proposed model.
The Effects of Dispersion Parameters and Test for Equality of Dispersion Parameters in Zero-Truncated Bivariate Generalized Poisson Models
Lee, Dong-Hee ; Jung, Byoung-Cheol ;
Korean Journal of Applied Statistics, volume 23, issue 3, 2010, Pages 585~594
DOI : 10.5351/KJAS.2010.23.3.585
This study, investigates the effects of dispersion parameters between two response variables in zero-truncated bivariate generalized Poisson distributions. A Monte Carlo study shows that the zero-truncated bivariate Poisson and negative binomial models fit poorly wherein the zero-truncated bivariate count data has heterogeneous dispersion parameters on dependent variables. In addition, we derive the score test for testing the equality of the dispersion parameters and compare its efficiency with the likelihood ratio test.
Wavelet Based Non-Local Means Filtering for Speckle Noise Reduction of SAR Images
Lee, Dea-Gun ; Park, Min-Jea ; Kim, Jeong-Uk ; Kim, Do-Yun ; Kim, Dong-Wook ; Lim, Dong-Hoon ;
Korean Journal of Applied Statistics, volume 23, issue 3, 2010, Pages 595~607
DOI : 10.5351/KJAS.2010.23.3.595
This paper addresses the problem of reducing the speckle noise in SAR images by wavelet transformation, using a non-local means(NLM) filter originated for Gaussian noise removal. Log-transformed SAR image makes multiplicative speckle noise additive. Thus, non-local means filtering and wavelet thresholding are used to reduce the additive noise, followed by an exponential transformation. NLM filter is an image denoising method that replaces each pixel by a weighted average of all the similarly pixels in the image. But the NLM filter takes an acceptable amount of time to perform the process for all possible pairs of pixels. This paper, also proposes an alternative strategy that uses the t-test more efficiently to eliminate pixel pairs that are dissimilar. Extensive simulations showed that the proposed filter outperforms many existing filters terms of quantitative measures such as PSNR and DSSIM as well as qualitative judgments of image quality and the computational time required to restore images.
Data-Dependent Choice of Optimal Number of Lags in Variogram Estimation
Choi, Seung-Bae ; Kang, Chang-Wan ; Cho, Jang-Sik ;
Korean Journal of Applied Statistics, volume 23, issue 3, 2010, Pages 609~619
DOI : 10.5351/KJAS.2010.23.3.609
Geostatistical data among spatial data is analyzed in three stages: (1) variogram estimation, (2) model fitting for the estimated variograms and (3) spatial prediction using the fitted variogram model. It is very important to estimate the variograms properly as the first stage(i.e., variogram estimation) affects the next two stages. In general, the variogram is estimated with the moment estimator. To estimate the variogram, we have to decide the 'lag increment' or the 'number of lags'. However, there is no established rule for selecting the number of lags in estimating the variogram. The present paper proposes a method of choosing the optimal number of lags based on the PRESS statistic. To show the usefulness of the proposed method, we perform a small simulation study and show an empirical example with with air pollution data from Korea.