Journal of Korean Society for Quality Management (품질경영학회지)

Korean Society for Quality Management (한국품질경영학회)
권호 표지

A Change-Point Analysis of Oil Supply Disruption : Bayesian Approach

석유공급교란에 대한 변화점 분석 및 분포 추정 : 베이지안 접근

  • Published : 2007.12.31
Download PDF
⟨ Previous Next ⟩

Abstract

Using statistical methods a change-point analysis of oil supply disruption is conducted. The statistical distribution of oil supply disruption is a weibull distribution. The detection of the change-point is applied to Bayesian method and weibull parameters are estimated through Markov chain monte carlo and parameter approach. The statistical approaches to the estimation for the change-point and weibull parameters is implemented with the sets of simulated and real data with small sizes of samples.

Keywords

References

  1. 박창원, 이영구 (2002), 석유비축의 Risk Premium 산정과 적정수준 검토, 에너지경제연구원
  2. Belgrave, R., Ebinger, C. K. and Okino, H. (1988), 'Energy Security to 2000', Energy Policy Vol. 16
  3. Gelman, A., Carlin, J. B., Stem, H. S., and Rubin, D. B. (1995), Bayesian Data Analysis, Chapman & Hall
  4. Gilks, W. R. (1992), 'Derivative Free Adaptive Rejection Sampling for Gibbs Sampling', Bayesian Statistics, Oxford University Press, Vol.4. pp. 859
  5. Gilks, W. R. and Wild, P. (1992) 'Adaptive rejection sampling for Gibbs sampling', Applied Statistics. 41, pp. 337-348 https://doi.org/10.2307/2347565
  6. Gilks, W. R., Best, N. G. and Tan, K. K. C. (1995), 'Adaptive rejection Metropolis sampling', Applied Statistics, 44, pp. 455-472 https://doi.org/10.2307/2986138
  7. Gilks, W. R., Richardson, S. and Spiegelhalter, D. J. (1996), Markov Chain Monte Carlo in Practice, Chapman and Hall, pp. 486
  8. Leiby, P. et al. (1997), 'Oil Imports: An Assessment of Benefits and Costs.', Oak Ridge National Laboratory
  9. Lockhart, R. A. and Stephens, M A. (1994), 'Estimation and tests of fit for the three parameter Weibull distributions', Journal Royal Statistics Society, B56, pp, 491-500
  10. Prabhaker, D. N., Murthy, Xie, M. and Jiang, R. (2004), Weibull Models, John Wiley and Sons
  11. Rao, C. R. (1973), 'Linear Statistical Inference and its Applications', John Wiley and Sons, pp. 625