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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
Selecting the target year
Veri cation of the Style Consistency of Domesti Equity Mutual Funds Using Return-Based Style Analysis
Kwon, In-Young ; Song, Seong-Joo ;
Korean Journal of Applied Statistics, volume 23, issue 5, 2010, Pages 783~797
DOI : 10.5351/KJAS.2010.23.5.783
Based on the importance of asset allocation in the return of an investment portfolio, this article attempts to verify the appropriateness of mutual funds as means of investment to obtain optimal asset allocation. The return-based style analysis is applied to determine a mutual fund`s allocation(or a style) among a set of specified asset classes. Assuming a particular investor who defines a range allowed a fund`s style to differ from its original one, it is examined whether or not the fund style is continued over an investment time horizon. After verifying the fact that the original style of the investment fails to remain unchanged from the empirical analysis limited to domestic equity mutual funds, we further investigated the reasons for the style drift. Despite several limitations of the analysis, it yields the conclusion that domestic equity mutual funds do not seem to be an appropriate investment tool to achieve a target asset allocation.
A Startegy to Improve Customer Satisfaction in Mutuality Bank: Focus on Suhyup
Cho, Yong-Jun ; Park, Chun-Gun ;
Korean Journal of Applied Statistics, volume 23, issue 5, 2010, Pages 799~812
DOI : 10.5351/KJAS.2010.23.5.799
The public banking market (the main eld of the second banking sector) faces increased competition du to the expansion of the rst banking sector. In this situation, Customer Satisfaction Management(CSM is emerging as a core business factor to create continuous growth without competitive exclusion because it is possible to churn management and draw an advocate customer. In this pa- per, with Suhyup mutuality bank as a sample for research, I have looked for necessary Customer Satisfaction(CS) factors and deduced a Customer Satisfaction Index(CSI), Customer Loyalty and Net Promoter Score(NPS) of detail factors in CS through a survey. Based on these result, the strategic factors required to improve CS were found and strategic directions for CS were proposed through a CS portfolio analysis.
Dimension Reduction in Time Series via Partially Quanti ed Principal Componen
Park, J.A. ; Hwang, S.Y. ;
Korean Journal of Applied Statistics, volume 23, issue 5, 2010, Pages 813~822
DOI : 10.5351/KJAS.2010.23.5.813
We investigate a possible achievement in dimension reduction of time series via partially quantified principal component. Partial quantification technique allows us in modeling to accommodate artificial variable(s) of practical importance which is defined subjectively by the data analyst. Suggested procedures are described and in turn illustrated in detail by analyzing monthly unemployment rates in Korea.
Overnight Information E ects on Intra-Day Stoc Market Volatility
Kim, Sun-Woong ; Choi, Heung-Sik ;
Korean Journal of Applied Statistics, volume 23, issue 5, 2010, Pages 823~834
DOI : 10.5351/KJAS.2010.23.5.823
Stock markets perpetually accumulate information. During trading hours the price instantaneously reacts to new information, but accumulated overnight information reacts simultaneously on the opening price. This can create opening price uctuations. This study explores the overnight information e ects on intra-da stock market volatility. GARCH models and the VKOSPI model are provided. Empirical data includes daily opening and closing prices of the KOSPI 200 index and the VKOSPI from March
2008 to June
2010. Empirical results show that the VKOSPI signi cantly decrease during trading time when positiv overnight information moves the Korean stock upward. This study provides useful information to investors since the Korea Exchange plans to introduce a futures market for the VKOSPI soon.
Analysis of Extreme Values of Daily Percentage Increases and Decreases in Crude Oil Spot Prices
Yun, Seok-Hoon ;
Korean Journal of Applied Statistics, volume 23, issue 5, 2010, Pages 835~844
DOI : 10.5351/KJAS.2010.23.5.835
Tools for statistical analysis of extreme values include the classical annual maximum method, the modern threshold method and variants improving the second one. While the annual maximum method is to t th generalized extreme value distribution to the annual maxima of a time series, the threshold method is to the generalized Pareto distribution to the excesses over a high threshold from the series. In this paper we deal with the Poisson-GPD method, a variant of the threshold method with a further assumption that the total number of exceedances follows the Poisson distribution, and apply it to the daily percentage increases and decreases computed from the spot prices of West Texas Intermediate, which were collected from January 4th, 1988 until December 31st, 2009. According to this analysis, the distribution of daily percentage increases as well as decreases turns out to have a heavy tail, unlike the normal distribution, which coincides well with the general phenomenon appearing in the analysis of lots of nowaday nancial data.
Comparison of Trend Tests for Genetic Association with Sibship Data
Oh, Young-Sin ; Kim, Han-Sang ; Son, Hae-Hiang ;
Korean Journal of Applied Statistics, volume 23, issue 5, 2010, Pages 845~855
DOI : 10.5351/KJAS.2010.23.5.845
Extensively used case-control designs in medical studies can also be powerful and efficient for family association studies as long as an analysis method is developed for the evaluation of association between candidate genes and disease. Traditional Cochran-Armitage trend test is devised for independent subjects data, and to apply this trend test to the biologically related siblings one has to take into account the covariance among related family members in order to maintain the correct type I error rate. We propose a more powerful trend test by introducing weights that reflect the number of affected siblings in families for the evaluation of the association of genetic markers related to the disease. An application of our method to a sample family data, in addition to a small-scale simulation, is presented to compare the weighted and unweighted trend tests.
Logistic Regressions with Sensory Evaluation Data about Hanwoo Steer Beef
Lee, Hye-Jung ; Kim, Jae-Hee ;
Korean Journal of Applied Statistics, volume 23, issue 5, 2010, Pages 857~870
DOI : 10.5351/KJAS.2010.23.5.857
This study was conducted to investigate the relationship between the socio-demographic factors and the Korean consumers palatability evaluation grades with Hanwoo sensory evaluation data from 2006 to 2008 by National Institute of Animal Science. The dichotomy logistic regression model and the multinomial logistic regression model are fitted with the independent variables such as the consumer living location, age, gender occupation, monthly income, beef cut and the the palatability grade as the categorical dependent variable and tenderness, 리avor and juiciness as the continuous dependent variable. Stepwise variable selection procedure is incorporated to find the final model and odds ratios are calculated to nd the associations between categories.
Analysis of Tumorigenicity Data with Informative Censoring
Kim, Jin-Heum ; Kim, Youn-Nam ;
Korean Journal of Applied Statistics, volume 23, issue 5, 2010, Pages 871~882
DOI : 10.5351/KJAS.2010.23.5.871
In animal tumorigenicity data, the occurrence time of tumor is not observed because the existence of a tumor is examined only at either time of natural death or time of sacrifice for the animal. A three-state model (Health-Tumor onset-Death) is widely used to model the incomplete data. In this paper, we employed a frailty effect into the three-state model to incorporate the dependency of death on tumor occurrence when the time of natural death works as an informative censoring against the tumor onset time. For the inference of parameters, then the EM algorithm is considered in order to deal with missing quantities of tumor onset time and random frailty. The proposed method is applied to the bladder tumor data taken from Lindsey and Ryan (1993, 1994) and a simulation study is performed to show the behavior of the proposed estimators.
The Comparison of the Unconditional and Conditional Exact Power of Fisher`s Exact Tes
Kang, Seung-Ho ; Park, Yoon-Soo ;
Korean Journal of Applied Statistics, volume 23, issue 5, 2010, Pages 883~890
DOI : 10.5351/KJAS.2010.23.5.883
Since Fisher`s exact test is conducted conditional on the observed value of the margin, there are two kinds of the exact power, the conditional and the unconditional exact power. The conditional exact power is computed at a given value of the margin whereas the unconditional exact power is calculated by incorporating the uncertainty of the margin. Although the sample size is determined based on the unconditional exact power, the actual power which Fisher`s exact test has is the conditional power after the experiment is finished. This paper investigates differences between the conditional and unconditional exact power Fisher`s exact test. We conclude that such discrepancy is a disadvantage of Fisher`s exact test.
Evaluation of EBLUP-Type Estimator Based on a Logistic Linear Mixed Model for Small Area Unemployment
Kim, Seo-Young ; Kwon, Soon-Pil ;
Korean Journal of Applied Statistics, volume 23, issue 5, 2010, Pages 891~908
DOI : 10.5351/KJAS.2010.23.5
In Korea, the small area estimation method is currently unpopular in generating o cial statistics. Because it may be difficult to determine the reliability for small area estimation, although small area estimation ha a sufficiently good advantage to generate small area statistics for Korea. This paper inspects the method of making small area unemployment through the small area estimation method. To estimate small area unemployment we used an EBLUP-type estimator based on a logistic linear mixed model. To evaluate the EBLUP-type estimator we accomplished the real data analysis and simulation experiment from the population and housing census data. In addition, small area estimates are compared to large sample survey estimates. We found the provided method in this paper is highly recommendable to generate small area unemployment as the official statistics.
A Comparison of BLS Non-Response Adjustment and Cross-Wave Regression Imputation Methods
Lee, Sang-Eun ; Shin, Key-Il ;
Korean Journal of Applied Statistics, volume 23, issue 5, 2010, Pages 909~921
DOI : 10.5351/KJAS.2010.23.5.909
Cross-wave regression imputation and carry-over imputation method are generally used in the analysis of panel data with missing values. Recently it is known that the BLS non-response adjust method has good statistical properties. In this paper we show that the BLS method can be considered as an imputation method with a similar formula of a ratio-estimator. In addition, we show that the carry-over imputation and BLS imputation are approximately the same under the assumption that data follow a non-stationary process with drift. Small simulation studies and real data analysis are performed. For the real data analysis, a monthly labor statistic (2007) is used.
Construction of Sampling Frames for the 5th Korea National Health and Nutrition Examination Survey
Park, Jin-Woo ; Byun, Jong-Seok ; Park, Min-Kyu ;
Korean Journal of Applied Statistics, volume 23, issue 5, 2010, Pages 923~932
DOI : 10.5351/KJAS.2010.23.5.923
One of the problems in designing the fifth Korean National Health and Nutrition Examination Survey(KNHNES) is the lack of an appropriate sampling frame. Due to the significant time difference, we expect eight severe sampling frame errors if we use the sampling frame obtained from the latest population and housing census that was conducted in 2005. Thus, the construction of an appropriate sampling frame for the fifth KNHNES is crucial for a successful survey. We considered the construction of a sampling frame that overcomes the limitations of the 2005 population and housing census based frame. For the construction of eight new sampling frames, we considered the use of multiple sampling frames in which the frame for the apartment households and the frame for the general households are obtained from different sources.
The Use of a Biplot in Studying the Career Maturity of College Freshmen
Choi, Hye-Mi ; Park, Chan-Yong ; Lee, Sang-Hyeop ; Chung, Sung-Suk ;
Korean Journal of Applied Statistics, volume 23, issue 5, 2010, Pages 933~941
DOI : 10.5351/KJAS.2010.23.5.933
Biplot is a modern graphical methodology allowing for the projection of high-dimensional data to a low-dimensional subspace that is rich in information on variation in the data, correlation among variables as well as class separation. For the construction of biplots, we use a BiplotGUI package in a free statistical software R with increasing popularity. Moreover, using data from questionnaires given to Chonbuk National University freshmen in 2009, the relationship between career goals and career maturity are studied by applying the biplot method.
Optimal Thresholds from Non-Normal Mixture
Hong, Chong-Sun ; Joo, Jae-Seon ;
Korean Journal of Applied Statistics, volume 23, issue 5, 2010, Pages 943~953
DOI : 10.5351/KJAS.2010.23.5.943
From a mixture distribution of the score random variable for credit evaluation, there are many methods of estimating optimal thresholds. Most the research news is based on the assumption of normal distributions. In this paper, we extend non-normal distributions such as Weibull, Logistic and Gamma distributions to estimate an optimal threshold by using a hypotheses test method and other methods maximizing the total accuracy and the true rate. The type I and II errors are obtained and compared with their sums. Finally we discuss their e ciency and derive conclusions for non-normal distributions.
A Study on Shape Variability in Canonical Correlation Biplot with Missing Values
Hong, Hyun-Uk ; Choi, Yong-Seok ; Shin, Sang-Min ; Ka, Chang-Wan ;
Korean Journal of Applied Statistics, volume 23, issue 5, 2010, Pages 955~966
DOI : 10.5351/KJAS.2010.23.5.955
Canonical correlation biplot is a useful biplot for giving a graphical description of the data matrix which consists of the association between two sets of variables, for detecting patterns and displaying results found by more formal methods of analysis. Nevertheless, when some values are missing in data, most biplots are not directly applicable. To solve this problem, we estimate the missing data using the median, mean, EM algorithm and MCMC imputation methods according to missing rates. Even though we estimate the missing values of biplot of incomplete data, we have different shapes of biplots according to the imputation methods and missing rates. Therefore we use a RMS(root mean square) which was proposed by Shin et al. (2007) and PS(procrustes statistic) for measuring and comparing the shape variability between the original biplots and the estimated biplots.
Procedure for the Selection of Principal Components in Principal Components Regression
Kim, Bu-Yong ; Shin, Myung-Hee ;
Korean Journal of Applied Statistics, volume 23, issue 5, 2010, Pages 967~975
DOI : 10.5351/KJAS.2010.23.5.967
Since the least squares estimation is not appropriate when multicollinearity exists among the regressors of the linear regression model, the principal components regression is used to deal with the multicollinearity problem. This article suggests a new procedure for the selection of suitable principal components. The procedure is based on the condition index instead of the eigenvalue. The principal components corresponding to the indices are removed from the model if any condition indices are larger than the upper limit of the cutoff value. On the other hand, the corresponding principal components are included if any condition indices are smaller than the lower limit. The forward inclusion method is employed to select proper principal components if any condition indices are between the upper limit and the lower limit. The limits are obtained from the linear model which is constructed on the basis of the conjoint analysis. The procedure is evaluated by Monte Carlo simulation in terms of the mean square error of estimator. The simulation results indicate that the proposed procedure is superior to the existing methods.
Integrated Partial Sufficient Dimension Reduction with Heavily Unbalanced Categorical Predictors
Yoo, Jae-Keun ;
Korean Journal of Applied Statistics, volume 23, issue 5, 2010, Pages 977~985
DOI : 10.5351/KJAS.2010.23.5.977
In this paper, we propose an approach to conduct partial sufficient dimension reduction with heavily unbalanced categorical predictors. For this, we consider integrated categorical predictors and investigate certain conditions that the integrated categorical predictor is fully informative to partial sufficient dimension reduction. For illustration, the proposed approach is implemented on optimal partial sliced inverse regression in simulation and data analysis.
A Study on the Performance Evaluation of the College-Entrance Processes
Oh, Jung-Hyun ; Jung, Jae-Yoon ; Hong, Young-Hoon ; Park, Sang-Gue ; Kim, S. ;
Korean Journal of Applied Statistics, volume 23, issue 5, 2010, Pages 987~996
DOI : 10.5351/KJAS.2010.23.5.987
The goal of the entrance examination models is to promote promising and potential students who are suitable for post-secondary education purposes. Recently, a promotion system based on the admissions supervisors has been the major role for the promotion of students. Various statistical models and methods should be applied for the better and reasonable promotion of promising Korean and international students. In this study, we applied the proper methods in statistical methodologies and show the meaningful results on the performance evaluation of the several entrance examination models for a university in Seoul, Korea.