• Title, Summary, Keyword: Variance Ratios

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The Characteristics of Korea Stock Market using Variance Ratio (한국주식시장에서 주식규모별 분산비 특성에 관한 연구 -서브프라임 전.후의 비교를 중심으로-)

  • Seo, Sang-Gu;Park, Jong-Hae
    • Management & Information Systems Review
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    • v.26
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    • pp.293-309
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    • 2008
  • This study examined the market efficiency of korea stock market by comparing variance ratios(VR) of stock groups which is sorted by market capitalization. We compute variance ratios of KOSPI large capitalization, midium capitalization, and small capitalization for 546 trading days from 2006/01/02 to 2008/04/15. For our study, we also use high frequency data that is; intra-day 1 minute data. The characteristics of variance ratios of stock groups by market capitalization as follows: From 1 to 5 minute interval, variance ratios of three stock group increase far from zero(0). The longer time interval, the more variance ratios decrease, but only large capitalization converge on around zero. This means that the market of large capitalization is more efficient compare to other stock groups. The entire sample period can be divided two sub-period because the impact of sub prime crisis arised from U.S.A. influences Korea stock market. Before sub prime crisis, the VRs of mid cap and small cap do not converge on around zero except large cap although the time interval is longer. After sub prime crisis, the VRs of three stock groups decrease when time interval is longer, but only large cap converge on around zero. We conclude that large cap is more efficient than other stock groups in Korea Stock Market.

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Bayesian Analysis of Multivariate Threshold Animal Models Using Gibbs Sampling

  • Lee, Seung-Chun;Lee, Deukhwan
    • Journal of the Korean Statistical Society
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    • v.31 no.2
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    • pp.177-198
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    • 2002
  • The estimation of variance components or variance ratios in linear model is an important issue in plant or animal breeding fields, and various estimation methods have been devised to estimate variance components or variance ratios. However, many traits of economic importance in those fields are observed as dichotomous or polychotomous outcomes. The usual estimation methods might not be appropriate for these cases. Recently threshold linear model is considered as an important tool to analyze discrete traits specially in animal breeding field. In this note, we consider a hierarchical Bayesian method for the threshold animal model. Gibbs sampler for making full Bayesian inferences about random effects as well as fixed effects is described to analyze jointly discrete traits and continuous traits. Numerical example of the model with two discrete ordered categorical traits, calving ease of calves from born by heifer and calving ease of calf from born by cow, and one normally distributed trait, birth weight, is provided.

Variance Components and Genetic Parameters Estimated for Fat and Protein Content in Individual Months of Lactation: The Case of Tsigai Sheep

  • Oravcova, Marta
    • Asian-Australasian Journal of Animal Sciences
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    • v.29 no.2
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    • pp.170-175
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    • 2016
  • The objective of this study was to assess variance components and genetic parameters for fat and protein content in Tsigai sheep using multivariate animal models in which fat and protein content in individual months of lactation were treated as different traits, and univariate models in which fat and protein content were treated as repeated measures of the same traits. Test day measurements were taken between the second and the seventh month of lactation. The fixed effects were lactation number, litter size and days in milk. The random effects were animal genetic effect and permanent environmental effect of ewe. The effect of flock-year-month of test day measurement was fitted either as a fixed (FYM) or random (fym) effect. Heritabilities for fat content were estimated between 0.06 and 0.17 (FYM fitted) and between 0.06 and 0.11 (fym fitted). Heritabilities for protein content were estimated between 0.15 and 0.23 (FYM fitted) and between 0.10 and 0.18 (fym fitted). For fat content, variance ratios of permanent environmental effect of ewe were estimated between 0.04 and 0.11 (FYM fitted) and between 0.02 and 0.06 (fym fitted). For protein content, variance ratios of permanent environmental effect of ewe were estimated between 0.13 and 0.20 (FYM fitted) and between 0.08 and 0.12 (fym fitted). The proportion of phenotypic variance explained by fym effect ranged from 0.39 to 0.43 for fat content and from 0.25 to 0.36 for protein content. Genetic correlations between individual months of lactation ranged from 0.74 to 0.99 (fat content) and from 0.64 to 0.99 (protein content). Fat content heritabilities estimated with univariate animal models roughly corresponded with heritability estimates from multivariate models: 0.13 (FYM fitted) and 0.07 (fym fitted). Protein content heritabilities estimated with univariate animal models also corresponded with heritability estimates from multivariate models: 0.18 (FYM fitted) and 0.13 (fym fitted).

Selection of Signal-to-Noise Ratios through Simple Data Analysis (망목특성에서의 자료분석을 통한 SN비의 선택)

  • Lim, Yong Bin
    • Journal of the Korean Society for Quality Management
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    • v.22 no.4
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    • pp.1-12
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    • 1994
  • For quality improvement, Taguchi emphasizes the reduction of variation of the quality characteristic. Taguchi has used the signal to noise ratios for achieving minimum dispersion of the quality characteristic with its location adjusted to some desired target value. At each setting of design factors, the variance of the quality characteristic could be affected by the mean. In most cases, as the mean get larger, the variance tends to increase, The Taguchi's SN ratio corresponds to the case that the variance is proportional to the square of the mean. But the variance can increase faster or slower than the square of the mean. We propose to infer a linking relationship of the variance and mean through simple data analysis technique, and then use a reasonable SN ratio.

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Efficiency Comparison of Signal-to-Noise Ratios through Monte Carlo Simulations (몬테칼로 씨뮬레이션을 통한 SN비의 효율성비교)

  • Lim, Yong Bin;Lee, Youngjo
    • Journal of the Korean Society for Quality Management
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    • v.23 no.2
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    • pp.28-42
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    • 1995
  • For quality improvement, Taguchi emphasizes the reduction of variation of the quality characteristic, Taguchi has used the signal-to-noise ratios for achieving minimum dispersion of the quality characteristic with its location adjusted to some desired target value ${\tau}$ Lim(1994) proposes a reasonable SN ratio based on a linking relationship of the variance and mean through simple data analysis technique. In this paper we investigate the efficiency of those two SN ratios and variance stabilizing transformations through Monte Carlo Simulations.

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Exact Tests for Variance Ratios in Unbalanced Random Effect Linear Models

  • Huh, Moon-Yul;Li, Seung-Chun
    • Journal of the Korean Statistical Society
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    • v.25 no.4
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    • pp.457-469
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    • 1996
  • In this paper, we propose a method for an exact test of H : $p_i$ = $r_i$ for all i against K : $p_i$ $\neq$ $r_i$ for some i in an unbalanced random effect linear model, where $p_i$ denotes the ratio of the i-th variance component to the error variance. Then we present a method to test H : $p_i$ $\leq$ r against K : $p_i$> r for some specific i by applying orthogonal projection on the model. We also show that any test statistic that follows an F-distribution on the boundary of the hypotheses is equal to the one given here.

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Rao-Wald Test for Variance Ratios of a General Linear Model

  • Li, Seung-Chun;Huh, Moon-Yul
    • Communications for Statistical Applications and Methods
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    • v.6 no.1
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    • pp.11-24
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    • 1999
  • In this paper we propose a method to test $\textit{H}$:$\rho_i$=$\gamma_i$ for 1$\leq$$\textit{i}$$\leq$$\ell$ against $\textit{K}$:$\rho_i$$\neq$$\gamma_i$ for some iin k-variance component random or mixed linear model where $\rho$i denotes the ratio of the i-th variance component to the error variance and $\ell$$\leq$K. The test which we call Rao-Wald test is exact and does not depend upon nuisance parameters. From a numerical study of the power performance of the test of the interaction effect for the case of a two-way random model Rao-Wald test was seen to be quite comparable to the locally best invariant (LBI) test when the nuisance parameters of the LBI test are assumed known. When the nuisance parameters of the LBI test are replaced by maximum likelihood estimators Rao-Wald test outperformed the LBI test.

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Evaluation of Panel Performance by Analysis of Variance, Correlation Analysis and Principal Component Analysis (패널요원 수행능력 평가에 사용된 분산분석, 상관분석, 주성분분석 결과의 비교)

  • Kim, Sang-Sook;Hong, Sung-Hie;Min, Bong-Kee;Shin, Myung-Gon
    • Korean Journal of Food Science and Technology
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    • v.26 no.1
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    • pp.57-61
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    • 1994
  • Performance of panelists trained for cooked rice quality was evaluated using analysis of variance, correlation analysis, and principal component analysis. Each method offered different information. Results showed that panleists with high F ratios (p=0.05) did not always have high correlation coefficient (p=0.05) with mean values pooled from whole panel. The results of analysis of variance for the panelists whose performance were extremely good or extremely poor were consistent with those of correlation analysis. Outliers designated by principal component analysis were different from the panelists whose performance was defined as extremely good or extremely poor by analysis of variance and correlation analysis. The results of principal component analysis descriminated the panelists with different scoring range more than different scoring trends depending on the treatments. Our study suggested combination of analysis of variance and correlation analysis provided valid basis for screening panelists.

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Bias and Accuracy of Single Milking Testing Schemes to Estimate Daily Milk (검정일 1회 검정에 의한 착유우의 1일 유량 추정시 오차와 정확도)

  • Cho, Y.M.;Ahn, B.S.;Choi, Y.L.
    • Journal of Animal Science and Technology
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    • v.45 no.5
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    • pp.725-730
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    • 2003
  • This study was conducted to evaluate the adequacy of an alternative a.m.-p.m. testing scheme for milk yield in comparison with the official test method based on weighing two milkings within 24 h. A total of 8,309 p.m. milking weights and 6,767 a.m. milking weights from 72 Holstein cows raised at N.L.R.I. were collected between October 2000 and November 2001. Ratios were computes for daily milk yield to a.m. and p.m. milking weights(direct yield ratios) and ratios of a.m. and p.m. milking weights to daily milk yield (inverse yield ratios). Analysis of variance indicated that the milking interval is the most important source of variation for yield ratios. Adjustment factors for estimating daily milk yield from single milking weights were derived through regression analysis of direct and inverse yield ratios on the length of the milking interval. Daily milk yield was estimated more precisely and accurately when adjustment factors were used than when single milking weights were doubled. In conclusion, alternative recording of a.m. and p.m. milking weights led to reliable estimates of milk yields.

pH Variance Model Depending on Phosphate Ion Form (인산염 이온 형태에 의한 pH 변량 모형)

  • Soh, Jae-Woo;Soh, Soon-Yil;Nam, Sang-Yong
    • Horticultural Science & Technology
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    • v.33 no.6
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    • pp.854-859
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    • 2015
  • This experiment was performed to develop a model for nutrition ion concentration and EC in regard to change in pH from 4.0 to 8.0 in nutrient solution. The pH changes according to the variation of $HPO_4{^{-2}}$ and $H_2PO_4{^-}$ in the nutrient solution while variation of EC increased from pH 4.0 to 5.0, stabilized from pH 5.0 to 7.0 and increased again from pH 7.0 to 8.0. For the variance of major elements in the nutrient solution, K, Ca, N and P increased while pH was higher, especially the variables for K and P were increased largely. On the other hand, variables of Mg and S were stable. Based on analysis of the ion balance model of nutrient solution, the cation increased than anion over rising the variation of pH while balance point of ion moved from a-side to d-side. In addition, the imbalance increased while it moved away from the EC centerline as variance of pH increased. It was larger than effect of EC variance to correction values of equivalence ratios of K and Ca about variation of $HPO_4{^{-2}}$ and $H_2PO_4{^-}$ while as variance of pH increased, K decreased but Ca increased. These showed the result that variance of pH about correction values of equivalence ratios of K and Ca gave a second-degree polynomial model rating of 0.97. Through this research, it was identified the pH variable model about variance among pH, ion and EC according to gradient of phosphate.