• The Korean Journal of Applied Statistics
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• v.21 no.5
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• pp.783-789
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• 2008

We investigate the effects of the misspecification of cointegrating(CI) ranks at other frequencies on the inference of seasonal models at the frequency of interest; our study includes tests for CI ranks and estimation of CI vectors. Earlier studies focused mostly on a single frequency corresponding to one seasonal root at a time, ignoring possible cointegration at the remaining frequencies. We investigate the effects of the mis-specification, especially in finite samples, by adopting Gaussian reduced rank(GRR) estimation by Ahn and Reinsel (1994) that considers cointegration at all frequencies of seasonal unit roots simultaneously. It is observed that the identification of the seasonal CI rank at the frequency of interest is sensitive to the mis-prespecification of the CI ranks at other frequencies, mainly when the CI ranks at the remaining frequencies are underspecified.

• Communications for Statistical Applications and Methods
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• v.15 no.5
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• pp.719-726
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• 2008

In this paper we consider a joint test for seasonal cointegrating(CI) ranks that enables us to simultaneously model cointegrated structures across seasonal unit roots in seasonal cointegration. A CI rank test for a single seasonal unit root is constructed and extended to a joint test for multiple seasonal unit roots. Their asymptotic distributions and selected critical values for the joint test are obtained. Through a small Monte Carlo simulation study, we evaluate performances of the tests.

• Communications for Statistical Applications and Methods
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• v.22 no.1
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• pp.41-54
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• 2015

In this article, we propose nonconcave penalties on a reduced-rank regression model to select variables and estimate coefficients simultaneously. We apply HARD (hard thresholding) and SCAD (smoothly clipped absolute deviation) symmetric penalty functions with singularities at the origin, and bounded by a constant to reduce bias. In our simulation study and real data analysis, the new method is compared with an existing variable selection method using $L_1$ penalty that exhibits competitive performance in prediction and variable selection. Instead of using only one type of penalty function, we use two or three penalty functions simultaneously and take advantages of various types of penalty functions together to select relevant predictors and estimation to improve the overall performance of model fitting.

• Communications for Statistical Applications and Methods
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• v.22 no.6
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• pp.615-624
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• 2015

We consider the estimation of seasonal cointegration in the presence of conditional heteroskedasticity (CH) using a feasible generalized least squares method. We capture cointegrating relationships and time-varying volatility for long-run and short-run dynamics in the same model. This procedure can be easily implemented using common methods such as ordinary least squares and generalized least squares. The maximum likelihood (ML) estimation method is computationally difficult and may not be feasible for larger models. The simulation results indicate that the proposed method is superior to the ML method when CH exists. In order to illustrate the proposed method, an empirical example is presented to model a seasonally cointegrated times series under CH.

• Journal of the Korean Institute of Telematics and Electronics B
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• v.29B no.2
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• pp.18-26
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• 1992

MR(Model Reduction) is presented in order to estimate the frequency of multiple sinusoids from the finite noisy data with the white or colored noises. MR, using the reduced rank models, is designed, appling the approximation of linear system to LP(Linear Prediction). The MR method is analyzed. Monte-carlo simulations are conducted for MR and Lp. The results are compared with in terms of mean, root-mean square and relative bias. MR eliminates effectevely the extremeous and exceptional poles appearing in LP and improves the accuracy of LP. Especially, MR gives promising results in short noisy measurements, low SNR's and colored noises. Power spectral density and angular frequency position are showed by figures, for examples. Finally, the new method is utilized to the communication and biomedical systems estimating the characteristics of the signal and the system identification modelling the dynamic systems from experimental data.

• Proceedings of the Acoustical Society of Korea Conference
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• 1993.06a
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• pp.75-79
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• 1993

본 논문에서는 변화가 심한 음원파형을 추정하는 새로운 순차처리 알고리듬을 제안한다. 먼저, 1) 기존의 순차처리 분석법중 대표적인 분석법인 RLS(recursive least square)의 문제점들을 검토하고, 2) 이를 개선하기 위해서 관측행렬(observation matrix)을 최적차수의 SVD(reduced-rank singular value decomposition)로 재구성하고, 3) 이에 견실개념(robustness concept)을 적용해서 최적의 성도변수(vocal tract parameter)를 찾아내고 역필터를 적용해서 음원(voice source)을 효과적으로 구분해낸다. 본 논문에서 제안된 방법으로 음원을 추정할 경우, 변화가 심한 음원파형을 잘 추정할 수 있으며, 음원의 특성을 구분해낸 성도 파라미터도 효과적으로 추정할 수 있다. 본 연구내용은 음성합성에서 자연성 개선 및 개인성 구현을 위해서 필수적이며, 다양한 형태의 음성을 표현하기 위해 사용되어질 수 있다. 또한, 음성코딩, 화자인식, 음성인식에서도 사용되어질 수 있다.

• Communications for Statistical Applications and Methods
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• v.15 no.3
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• pp.411-420
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• 2008

This paper considers a feasible two-step estimator for seasonal cointegration as the extension of $Br{\ddot{u}}ggeman$ and $L{\ddot{u}}tkepohl$ (2005). It is shown that the reducedrank maximum likelihood(ML) estimator for seasonal cointegration can still produce occasional outliers as that for non-seasonal cointegration even though the sizes of them are not extreme as those in non-seasonal cointegration. The ML estimator(MLE) is compared with the two-step estimator in a small Monte Carlo simulation study and we find that the two-step estimator can be an attractive alternative to the MLE, especially, in a small sample.

• Review of Culture and Economy
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• v.20 no.2
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• pp.3-18
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• 2017

The purpose of this study is to analyze changes in work autonomy of content industry workers using Korea Working Conditions Survey(2010, 2014) and difference-differences estimation method. The results find that there was no significant change in the work autonomy (work order, work method, work speed) of the content industry worker in In the overall sample. On the other hand, analyzing the sample of 30 or more employee establishment size shows that work autonomy of the content industry worker is greatly reduced. Also, work autonomy is high when the rank or capability is high, whereas work autonomy decreases when the establishment size is large. This study implies that the content industry workers have shown quantitatively the reduction of work autonomy. It also suggests that compensation and management systems are needed to enhance the competitiveness of the content industry.