• Communications for Statistical Applications and Methods
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• v.26 no.6
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• pp.611-622
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• 2019

This paper considers the estimation of the long memory parameter in nonparametric regression with strongly correlated errors. The key idea is to minimize a unified mean squared error of long memory parameter to select both kernel bandwidth and the number of frequencies used in exact local Whittle estimation. A unified mean squared error framework is more natural because it provides both goodness of fit and measure of strong dependence. The block bootstrap is applied to evaluate the mean squared error. Finite sample performance using Monte Carlo simulations shows the closest performance to the oracle. The proposed method outperforms existing methods especially when dependency and sample size increase. The proposed method is also illustreated to the volatility of exchange rate between Korean Won for US dollar.

• Proceedings of the Korea Water Resources Association Conference
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• 2015.05a
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• pp.226-226
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• 2015

The complex climate system regarding human actions is well represented through global climate models (GCMs). The output from GCMs provides useful information about the rate and magnitude of future climate change. Especially, the temperature variable is most reliable among other GCM outputs. However, hydrological variables (e.g. precipitation) from GCM outputs for future climate change contain too high uncertainty to use in practice. Therefore, we propose a method that simulates temperature variable with increasing in a certain level (e.g. 0.5oC or 1.0oC increase) as a global warming scenario from observed data. In addition, a hydrometeorological variable can be simulated employing block-wise sampling technique associated with the temperature simulation. The proposed method was tested for assessing the future change of the seasonal precipitation in South Korea under global warming scenario. The results illustrate that the proposed method is a good alternative to levy the variation of hydrological variables under global warming condition.

• Proceedings of the Korea Water Resources Association Conference
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• 2010.05a
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• pp.283-287
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• 2010

Stochastic simulation of hydrologic data has been widely developed for several decades. However, despite the several advances made in literature still a number of limitations and problems remain. In the current study, some stochastic simulation approaches tackling some of the existing problems are discussed. The presented models are based on nonparametric techniques such as block bootstrapping, and K-nearest neighbor resampling (KNNR), and kernel density estimate (KDE). Three different types of the presented stochastic simulation models are (1) Pilot Gamma Kernel estimate with KNNR (a single site case) and (2) Enhanced Nonparametric Disaggregation with Genetic Algorithm (a disaggregation case). We applied these models to one of the most challenging and critical river basins in USA, the Colorado River. These models are embedded into the hydrological software package, Pros and cons of the models compared with existing models are presented through basic statistics and drought and storage-related statistics.

• Proceedings of the Korea Water Resources Association Conference
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• 2018.05a
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• pp.164-164
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• 2018

강우침식인자는 토양침식에 영향을 주는 한 인자이다. 강우침식인자는 강우강도, 강우량, 강우빈도 등과 같은 강우패턴으로 산정되는 값으로 기후변화로 인해 많은 지역에서 강우패턴의 변화가 관측되었기에 강우침식인자 또한 기후변화로 인한 변화가 예상된다. 한국의 강우의 시공간적인 변동성에 대한 연구는 많이 진행되었으나, 강우침식인자에 대한 연구는 아직까지 미흡한 상태이기 때문에 본 연구에서는 한국의 강우침식인자의 시공간적 변동성을 분석하였다. 강우강도, 강우량, 강우빈도, 강우지속기간 등 강우패턴을 결정하는 인자들 중 어떤 인자가 강우침식인자의 시간적인 변동성에 영향을 주는지 조사하였다. 시간적인 변동성을 조사하기 위해서 경향성 검사를 진행하였다. 적용된 경향성 검사는 Mann-Kendall test, 수정된 Mann-Kendall test, Block Bootstrapping Mann-Kendall test, T-test를 적용하였다. 검사결과 대부분의 지점에서는 강우침식인자에서는 경향성이 발견되지 않았다. 경향성이 발견된 지점에 대하여 경향성의 원인을 검토해본 결과, 복합적인 강우패턴 인자의 영향으로 인하여 강우침식인자의 경향성이 발생하는 것을 확인하였다. 강우패턴 인자 중에서는 유효강우사상의 강우량이 가장 큰 영향인자인 것을 확인 할 수 있었다.

• Proceedings of the Korea Water Resources Association Conference
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• 2008.05a
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• pp.694-698
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• 2008

In hydrology, it is a difficult task to deal with multivariate time series such as modeling streamflows of an entire complex river system. Normal distribution based model such as MARMA (Multivariate Autorgressive Moving average) has been a major approach for modeling the multivariate time series. There are some limitations for the normal based models. One of them might be the unfavorable data-transformation forcing that the data follow the normal distribution. Furthermore, the high dimension multivariate model requires the very large parameter matrix. As an alternative, one might be decomposing the multivariate data into independent components and modeling it individually. In 1985, Lins used Principal Component Analysis (PCA). The five scores, the decomposed data from the original data, were taken and were formulated individually. The one of the five scores were modeled with AR-2 while the others are modeled with AR-1 model. From the time series analysis using the scores of the five components, he noted "principal component time series might provide a relatively simple and meaningful alternative to conventional large MARMA models". This study is inspired from the researcher's quote to develop a multivariate simulation model. The multivariate simulation model is suggested here using Principal Component Analysis (PCA) and Independent Component Analysis (ICA). Three modeling step is applied for simulation. (1) PCA is used to decompose the correlated multivariate data into the uncorrelated data while ICA decomposes the data into independent components. Here, the autocorrelation structure of the decomposed data is still dominant, which is inherited from the data of the original domain. (2) Each component is resampled by block bootstrapping or K-nearest neighbor. (3) The resampled components bring back to original domain. From using the suggested approach one might expect that a) the simulated data are different with the historical data, b) no data transformation is required (in case of ICA), c) a complex system can be decomposed into independent component and modeled individually. The model with PCA and ICA are compared with the various statistics such as the basic statistics (mean, standard deviation, skewness, autocorrelation), and reservoir-related statistics, kernel density estimate.