• Journal of the Economic Geographical Society of Korea
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• v.12 no.2
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• pp.179-194
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• 2009

The spatial distribution of crime incidences in urban neighborhoods is a reflection of their socio-economic environment and spatial inter-relations. Spatial interactions between offenders and victims lead to spatial autocorrelation of the crime incidences. The spatial autocorrelation among the incidences biases the interpretation of the ecological model in OLS framework. This research investigates residential crimes using residential burglaries and robberies occurred in the city of Columbus, Ohio, for 2000. In particular, the spatial distribution of incidence rates of residential crimes are accounted in OLS framework using eigenvectors, which reflect spatial dependence in crime patterns. Result presents that handling spatial autocorrelation enhanced model estimation, and both economic deprivation and crime opportunity are turned out significant in estimating residential crime rates.

• The Korean Journal of Applied Statistics
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• v.28 no.5
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• pp.871-883
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• 2015

Vector autoregressive (VAR) models in high dimension suffer from noisy estimates, unstable predictions and hard interpretation. Consequently, the sparse vector autoregressive (sVAR) model, which forces many small coefficients in VAR to exactly zero, has been suggested and proven effective for the modeling of high dimensional time series data. This paper studies coupling measures to select non-zero coefficients in sVAR. The basic idea based on the simulation study reveals that removing the effect of other variables greatly improves the performance of coupling measures. sVAR model coefficients are asymmetric; therefore, asymmetric coupling measures such as Granger causality improve computational costs. We propose two asymmetric coupling measures, filtered-cross-correlation and filtered-Granger-causality, based on the filtered residuals series. Our proposed coupling measures are proven adequate for heavy-tailed and high order sVAR models in the simulation study.

• Proceedings of the Korean Information Science Society Conference
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• 2002.10d
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• pp.562-564
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• 2002

본 논문에서는 자기상관함수의 국소적 특징을 사용하여 에지 특징을 추출한 후, 이를 이용해 유사이미지를 검색하는 방법을 제시한다. 자기상관함수의 국소적 특징을 이용하여 이미지를 검색할 경우 크기, 밝기, 색상등과 같은 이미지 요소가 서로 다를 경우에도 영향을 받지 않고 에지 특징정보를 추출해 낼 수 있다. 이는 얻어진 에지 특징을 이미지 크기와 고차 국소 자기상관함수의 변위에 의해 변하지 않도록 정규화를 하고, 동일 이미지에 대해 밝기가 조금 달라지면 검색효율이 떨어지는 점을 해결하기 위해 거리척도로서 방향여현거리(direction cosine distance)를 이용함으로써 가능하다. 이렇게 추출된 특징벡터를 자기조직화 맵에 의하여 클러스터링하고, 유사이미지 검색의 효율성을 비교해본 결과, 본 논문에서 제시한 방법을 사용하여 검색한 경우 재현율이 기존의 방법에 비해서 비교적 높은 수치를 나타냈다.

• Journal of the Economic Geographical Society of Korea
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• v.11 no.4
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• pp.564-579
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• 2008

It is often challenging to evaluate local spatial association among onedimensional vectors generally representing paired-location events where two points are physically or functionally connected. This is largely because of complex process of such geographic phenomena itself and partially representational complexity. This paper addresses an alternative way to identify spatially autocorrelated paired-location events (or vectors) at a local scale. In doing so, we propose a statistical algorithm combining univariate point pattern analysis for evaluating local clustering of origin-points and similarity measure of corresponding vectors. For practical use of the suggested method, we present an empirical application using transactions data in a local housing market, particularly recorded from 2004 to 2006 in Franklin County, Ohio in the United States. As a result, several locally characterized similar transactions are identified among a set of vectors showing various local moves associated with communities defined.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.39B no.10
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• pp.700-707
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• 2014

In this paper, we propose the noise reduction method by using the eigenfilter in cyclic prefix system based on SNR. To obtain the signal eigenvectors for the eigenfiltering, we propose a method of obtaining the autocorrelation matrix by exploiting the circulant property of the received block which results from the cyclic extension of the OFDM symbol. Since the structures of the transmitter and the receiver are not changed, the proposed method is easy to apply to the conventional OFDM system. To verify the proposed method, we evaluate the persistency of excitation (POE) criterion for the input and demonstrate the effectiveness of the proposed method in the simulation results.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.61-73
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• 2016

We consider the wild bootstrap Ljung-Box (LB) test for autocorrelation in residuals of fitted multivariate time series models. The asymptotic chi-square distribution under the IID assumption is traditionally used for the LB test; however, size distortion tends to occur in the usage of the LB test, due to the conditional heteroskedasticity of financial time series. In order to overcome such defects, we propose the wild bootstrap LB test for autocorrelation in residuals of fitted vector autoregressive and error correction models. The simulation study and real data analysis are conducted for finite sample performance.

• The Korean Journal of Applied Statistics
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• v.37 no.2
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• pp.191-207
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• 2024

Many studies have been conducted to quickly detect out-of-control situations in autocorrelated processes. The most traditionally used method is a residual control chart, which uses residuals calculated from a fitted time series model. However, many procedures for monitoring autocorrelated processes using statistical learning methods have recently been proposed. In this paper, we propose a monitoring procedure using the latent vector of LSTM Autoencoder, a deep learning-based unsupervised learning method. We compare the performance of this procedure with the LSTM Autoencoder procedure based on the reconstruction error, the RNN classification procedure, and the residual charting procedure through simulation studies. Simulation results show that the performance of the proposed procedure and the RNN classification procedure are similar, but the proposed procedure has the advantage of being useful in processes where sufficient out-of-control data cannot be obtained, because it does not require out-of-control data for training.

• The Korean Journal of Financial Management
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• v.10 no.2
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• pp.161-179
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• 1993

본 논문은 벡터자기상관(VAR) 모형과 벡터자기상관이동평균(VARMA) 모형을 사용하여 명목금리와 물가(도매물가)사이의 동태적 관계를 분석한다. 명목금리와 물가사이의 정(+)의 상관관계는 소위 $\ulcorner$깁슨의 역설$\lrcorner$로 불리워지고 있는데, 실증분석 결과에 의하면 한국의 경우 깁슨의 역설은 존재하지 않는 것으로 보여진다. 과거의 많은 연구들이 $\ulcorner$깁슨의 역설$\lrcorner$을 지지하는 실증결과들을 발견한 것은 관련변수들의 안정성(stationarity)을 고려치 않은 것으로 판단된다. 본 논문에서처럼 관련변수들의 안정성을 얻기위해 수준변수(예를들면, 도매물가지수) 대신에 차분되거나 증가율을 사용하고, 금리 및 물가이외에 두변수에 영향을 줄 수 있는 변수(예를들면, 통화변수)들을 포함하는 다변수 모형을 이용한다면 우리나라에서는 $\ulcorner$깁슨의 역설$\lrcorner$은 발견되지 않은 것으로 보여진다. 즉, 회사채 수익율과 도매물가상승율을 명목금리와 물가변수로 각각 사용하고, $1972.III{\sim}1991.III$사이의 분기별 자료를 대상으로 분석한 결과, 두변수 사이의 관계는 일방적 인과관계보다는 독립적인 관계로 나타나고 있다.

• Journal of Korea Water Resources Association
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• v.55 no.12
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• pp.1137-1147
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• 2022

River and groundwater stages are the main elements in the hydrologic cycle. They are spatially correlated and can be used to evaluate hydrological and agricultural drought. Stochastic simulation is often performed independently on hydrological variables that are spatiotemporally correlated. In this setting, interdependency across mutual variables may not be maintained. This study proposes the Bayesian vector autoregression model (VAR) to capture the interdependency between multiple variables over time. VAR models systematically consider the lagged stages of each variable and the lagged values of the other variables. Further, an autoregressive model (AR) was built and compared with the VAR model. It was confirmed that the VAR model was more effective in reproducing observed interdependency (or cross-correlation) between river and ground stages, while the AR generally underestimated that of the observed.

• Journal of the Korean Data and Information Science Society
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• v.25 no.4
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• pp.807-817
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• 2014

This paper considers multivariate time series modelling of PM10 data in Korea collected from 2008 to 2011. We consider both temporal and spatial dependencies of PM10 by applying the sparse vector autoregressive (sVAR) modelling proposed by Davis et al. (2013). It utilizes the partial spectral coherence to measure cross correlation between different regions, in turn provides the sparsity in the model while balancing the parsimony of model and the goodness of fit. It is also shown that sVAR performs better than usual vector autoregressive model (VAR) in forecasting.