• Title, Summary, Keyword: 부호검정

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A Wilcoxon signed-rank test for random walk hypothesis based on slopes (기울기를 이용한 랜덤워크 윌콕슨 부호순위검정)

  • Kim, Tae Yoon;Park, Cheolyong;Kim, Seul Gee;Kim, Min Seok;Lee, Woo Jung;Kwon, Yunji
    • Journal of the Korean Data and Information Science Society
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    • v.25 no.6
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    • pp.1499-1506
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    • 2014
  • Random walk is used for describing random phenomenon in various areas but tests for random walk developed so far are known to suffer from size distortion and low power. Kim et al. (2014) proposed a sign test for unit root (${\rho}=1$) hypothesis based on slopes. This article proposes a Wilcoxon signed rank test based on slopes for unit root hypothesis, and compares it with the augmented Dickey-Fuller test and the sign test by a simulation study. Our results confirm that the nonparametric tests are better than ADF test for small samples like n = 30. The results also show that the sign test is better than the Wilcoxon signed rank test and that for 0 < ${\rho}$ < 1 (-1 < ${\rho}$ < 0), the nonparametric tests suffer from power loss (improvement) as normal error changes to double exponential error.

A sign test for random walk hypothesis based on slopes (기울기를 이용한 랜덤워크 부호검정)

  • Kim, Tae Yoon;Park, Cheolyong;Kim, Seul Gee;Kim, Chan Jin;Kim, Hyun;Yu, Ju Hyung;Jang, Kyung Min;Jang, Young Seok
    • Journal of the Korean Data and Information Science Society
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    • v.25 no.2
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    • pp.385-392
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    • 2014
  • Random walk hypothesis is a hypothesis that explains theoretically the difficulty in forecasting in financial market. Various tests for the hypothesis have been developed so far but it is known that those tests suffer from low power and size distortion. In this article, a sign test based on slopes are suggested to overcome these difficulties. A simulation study is conducted to compare this test to the often used Dickey and Fuller (1979) test.

Sample Size Determination for One-Sample Location Tests (일표본 위치검정에서의 표본크기 결정)

  • Yeo, In-Kwon
    • The Korean Journal of Applied Statistics
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    • v.28 no.3
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    • pp.573-581
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    • 2015
  • We study problems of sample size determination for one-sample location tests. A simulation study shows that sample size calculations based on approximated distribution do not achieve the nominal level of power. We investigate sample size determinations based on exact distribution and with a power that attains the nominal level.

An Acquisition Technique for PN Code Using Signed-Rank Detectors (부호순위 검파기를 쓰는 의사잡음 부호획득 기법)

  • 김홍길;정창용;송익호;권형문;김용석
    • The Journal of Korean Institute of Communications and Information Sciences
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    • v.26 no.5B
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    • pp.599-607
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    • 2001
  • 이 논문에서는 부호와 순위를 바탕으로 한 비모수 검파기를 쓰는 직접수열 대역확산 시스템의 의사잡음 부호획득을 다루었다. 먼저 국소 최적 순위 검파기의 검정통계량을 얻고, 점근 점수 함수를 쓰는 국소 준최적 순위 검파기와 변형 부호순위 검파기의 검정통계량을 제외한다. 제안한 국소 준최적 순위 검파기와 변형 부호순위 검파기를 쓴 한 우물기법과 이제까지의 제곱합 검파기와 변형 부호 검파기를 쓴 것을 견주어 본다. 제안한 국소 준최적 순위 검파기와 변형 부호순위 검파기의 성능이 이제까지의 변형 부호 검파기의 성능보다 2-3dB쯤 낮고, 거의 최적임을 모의실험을 통해 확인하였다.

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A study on the slope sign test for explosive autoregressive models (기울기 부호를 이용한 폭발자기회귀검정 연구)

  • Ha, Jeongcheol;Jung, Jong Mun
    • Journal of the Korean Data and Information Science Society
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    • v.26 no.4
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    • pp.791-799
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    • 2015
  • In random walk hypothesis, we assume that current change of financial time series is independent of past values. It is interpreted as an existency of a unit root in ARMA models and many researches have been focused on whether ${\rho}$ < 1 or not. If some financial data are generated from an explosive autoregressive model, the chance of a bubble economy increases. We have to find the symptoms of it in advance. Since some well-known parameter estimators contain the parameter itself and other statistic is constructed under a specific parameter structure assumption, those are difficut to be adopted. In this paper we investigate a test for explosive autoregressive models using slope signs. We found the properties of the slope sign test statistic under both independent error and correlated error conditions, mainly by simulations.

Development on ATM Protocol Verificator (ATM 프로토콜 검정기 개발)

  • Min, J.H.;Lee, B.H.
    • Electronics and Telecommunications Trends
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    • v.13 no.6
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    • pp.94-107
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    • 1998
  • 연구 개발의 주된 내용은 SDL(Specification Description Language)을 위한 정형기법 지원도구 중 명세상에서 행위 부분에 대한 동적 특성을 검정하는 검정기 개발이다. 모델 검정기는 해당 프로토콜에 대해 생성된 중간 모델 I/O FSM(Input/Output Finite State Machine)에 Modal-calculus에 의해 검정대상인 deadlock, livelock, reachability 및 liveness에 대한 표현과 I/O FSM에 대해 해당 알고리즘 적용 및 분석 기능을 C++언어로 구현하였다. 또한 SDL Editer 기능과 관련된 도구들과 통합하여 사용자들이 쉽고 편하게 쓸 수 있도록 환경 및 통합 모듈을 구현한다.

An Empirical Measurement Way of Efficiency Prediction for Korean Seaports : SBM and Wilcoxson Signed-Rank Test Approach (항만의 효율성을 예측하기 위한 실증적 측정방법 - SBM과 윌콕슨부호순위검정접근 -)

  • Park, No-Gyeong
    • Journal of Korea Port Economic Association
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    • v.24 no.4
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    • pp.313-327
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    • 2008
  • The purpose of this paper is to show the empirical measurement way for predicting the seaport efficiency by using SBM with Wilcoxson signed-rank test under CRS(constant returns to scale) condition for 20 Korean ports during 1994-2003 for 2 inputs(birthing capacity, cargo handling capacity) and 3 outputs(Export and Import Quantity, Number of Ship Calls, Port Revenue). The main empirical results of this paper are as follows. First, forecasting data have well reflected the real data according to the Wilcoxon signed rank test, because p values have exceeded the 0.05 significance level. Second, SBM has shown the effectiveness for predicting the ports efficiency even though the predicting powers are different according to the levels of p values. The policy implication to the Korean seaports and planner is that Korean seaports should introduce the new methods like SBM method with Wilcoxon signed rank test for predicting the port performance and enhancing the efficiency.

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A Study on the Model Development and Empirical Application for Predicting the Efficiency and Optimum Size of Investment in Domestic Seaports (국내항만투자의 효율성 및 적정 투자규모 예측을 위한 모형개발 및 실증적 적용에 관한 연구)

  • Park, Ro-Kyung
    • Journal of Korea Port Economic Association
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    • v.26 no.3
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    • pp.18-41
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    • 2010
  • The purpose of this paper is to show the empirical measurement way for predicting the seaport efficiency by using Super SBM(Slack-based Measure) with Wilcoxson signed-rank test under CRS(constant returns to scale) condition for 20 Korean ports during 11 years(1997-2007) for 3 inputs(port investment amount, birthing capacity, and cargo handling capacity) and 5 outputs(Export and Import Quantity, Number of Ship Calls, Port Revenue, Customer Satisfaction Point for Port Service and Container Cargo Throughput). The main empirical results of this paper are as follows. First, Super SBM model has well reflected the real data according to the Wilcoxon signed rank test, because p values have exceeded the significance level. Second,Super-SBM has shown about 87% of predicting ratio for the ports efficiency and the optimal size of investment in domestic seaport. The policy implication to the Korean seaports and planner is that Korean seaports should introduce the new methods like Super-SBM method with Wilcoxon signed rank test for predicting the efficiency of port performance and the optimal size of investment as indicated by Panayides et al.(2009, pp.203-204).

A Brief Empirical Verification Using Multiple Regression Analysis on the Measurement Results of Seaport Efficiency of AHP/DEA-AR (다중회귀분석을 이용한 AHP/DEA-AR 항만효율성 측정결과의 실증적 검증소고)

  • Park, Ro-kyung
    • Journal of Korea Port Economic Association
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    • v.32 no.4
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    • pp.73-87
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    • 2016
  • The purpose of this study is to investigate the empirical results of Analytic Hierarchy Process/Data Envelopment Analysis-Assurance Region(AHP/DEA-AR) by using multiple regression analysis during the period of 2009-2012 with 5 inputs (number of gantry cranes, number of berth, berth length, terminal yard, and mean depth) and 2 outputs (container TEU, and number of direct calling shipping companies). Assurance Region(AR) is the most important tool to measure the efficiency of seaports, because individual seaports are characterized in terms of inputs and outputs. Traditional AHP and multiple regression analysis techniques have been used for measuring the AR. However, few previous studies exist in the field of seaport efficiency measurement. The main empirical results of this study are as follows. First, the efficiency ranking comparison between the two models (AHP/DEA-AR and multiple regression) using the Wilcoxon signed-rank test and Mann-Whitney signed-rank sum test were matched with the average level of 84.5 % and 96.3% respectively. When data for four years are used, the ratios of the significant probability are decreased to 61.4% and 92.5%. The policy implication of this study is that the policy planners of Korean port should introduce AHP/DEA-AR and multiple regression analysis when they measure the seaport efficiency and consider the port investment for enhancing the efficiency of inputs and outputs. The next study will deal with the subjects introducing the Fuzzy method, non-radial DEA, and the mixed analysis between AHP/DEA-AR and multiple regression analysis.

Vigor Determination in Barley Seeds by the Multiple Criteria (보리 종자세 검정방법 비교)

  • Seok Hyeon, Kim;Zhin Ryong, Choe;Jin Ho, Kang
    • KOREAN JOURNAL OF CROP SCIENCE
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    • v.32 no.4
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    • pp.417-424
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    • 1987
  • The seeds of three barley varieties of which initial seed vigor were different were used to measure seed vigor of accelerated aging techniques. A vigor index derived from the product of percent germination and plumule length was used to estimate seed vigor. The index was compared with the results of other tests. The results of warm germination test well suited to the measurements of seed vigor at the advanced stages of seed deterioration. Other vigor measurements except ATP and GADA values, showed close relationships with the vigor index. The measurements of plumule length in cold test and tetrazolium test were found to be appropriate for predicting seed quality.

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