• The Korean Journal of Financial Management
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• v.11 no.1
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• pp.233-262
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• 1994

본 연구는 주식시장(株式市場)의 이상현상(異狀現象)중의 하나인 요일효과(曜日效果)(day of the week effect)를 전통적인 회귀분석(回歸分析)이 아닌 ARCH 또는 GARCH 모형을 사용하여 조건부(條件附) 평균수익률(기대수익률)(平均收益率(期待收益率)) 뿐만아니라 조건부(條件附) 분산(分散)에도 나타나는지에 대하여 분석하였으며, 규모별(規模別)에 따라 요일효과(曜日效果)에 어떠한 차이가 나타나는지를 분석하였다. 본 연구의 추정결과를 요약하면, 조건부(條件附) 평균수익률(기대수익률)(平均收益率(期待收益率)) 및 조건부(條件附) 분산(分散) 모두에 있어 요일효과(曜日效果)가 뚜렷하게 존재하는 것으로 나타났다. 즉, 조건부(條件附) 평균수익률(平均收益率)에 대해서는 월요일(月曜日)은 부(負)의 효과, 토요일(土曜日)은 정(正)의 효과가 나타났으며, 조건부(條件附) 분산(分散)에 대해서는 월요일(月曜日)은 정(正)의 효과가, 토요일(土曜日)은 부(負)의 효과가 발견되었다. 그러나 한국(韓國)의 주식시장의 본격적인 성장기이면서 주식가격의 등락이 심했던 $86\sim92$년(年)간의 표본기간 동안에는 조건부(條件附) 분산(分散)에 대한 요일효과(曜日效果)는 존재하였으나, 조건부(條件附) 평균수익률(平均收益率)에 대한 요일효과(曜日效果)는 존재하지 않는 것으로 나타났다. 그리고 소형지수(小型指數)가 중(中) 대형지수(大型指數)와는 다른 주가행태를 보이는 것으로 나타났으며, 다음과 같은 몇 가지의 규모별(規模別) 차이(差異)를 보였다. 첫째, 조건부(條件附) 평균수익률(平均收益率)에 대한 분석에서 중(中) 대형지수수익률(大型指數收益率)을 사용하였을 경우에는 요일효과(曜日效果)가 나타난 반면에, 소형(小型) 지수수익률(指數收益率)의 경우에는 화요효과(火曜效果)가 존재하는 것으로 나타났다. 둘째, 조건부(條件附) 분산(分散)에 대한 분석에서 정(正)의 공휴일효과(公休日效果)가 다른 규모별 지수수익률(指數收益率)의 경우에는 나타나지 많았지만 소형(小型) 지수수익률(指數收益率)의 경우에는 존재하는 것으로 나타났다. 세째, 소형(小型) 지수수익률(指數收益率)의 경우 모형 추정후의 정규잔차(定規殘差)(normalized residuals) 및 정규자승잔차(定規自乘殘差)(normalized squared residuals)에 대한 시계열상관(時系列相關) 검정결과 모형의 부적합성(不適合性)이 나타났다. 본 연구는 기존의 기대수익률(期待收益率) 위주의 요일효과(曜日效果) 분석에서 주식수익률(株式收益率)의 분산(分散) 즉, 변동성(變動性)에 촛점을 두어 분석하였으며, 이는 투자자의 정확한 위험측정(危險測定)수단의 제공이라는 면에서 의의(意義)가 있을 것으로 생각된다.

• Journal of the Korean Data and Information Science Society
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• v.28 no.2
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• pp.349-359
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• 2017

In this paper, we conducted survival analyses by fitting the Cox proportional hazards model to stage III proximal colon cancer data obtained from the Surveillance, Epidemiology, and End Results program of the National Cancer Institute. We investigated the effect of covariates on the hazard function for death from proximal colon cancer in stage III with surgery performed and estimated the survival probability for a patient with specific covariates. We showed that the proportional hazards assumption is satisfied for covariates that were used to analyses, using a test based on the Schoenfeld residuals and plots of the Schoenfeld residuals and $log[-log\{{\hat{S}}(t)\}]$. We evaluated the model calibration and discriminatory accuracy by calibration plot and time-dependent area under the ROC curve, which were calculated using 10-fold cross validation.

• The Journal of the Korea Contents Association
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• v.20 no.3
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• pp.41-48
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• 2020

The purpose of this study is testing measurement invariance of the school vitality scale across the level of school. For this study, 3,156 elementary school teachers and 4,411 secondary school teachers were surveyed. As a result, school vitality scale was found to have the same factor structure in the structure regression model. Second, the factor load of the measurement model was found to be the same. Third, the structural path coefficients were the same. Fourth, structural covariance was found to be the same. Fifth, the structural residuals were the same. Based on these findings, it can be concluded that we can use school vitality scale both elementary school and secondary school. This study will contribute to diagnosing school vitality levels and finding ways to improve school management.

• Management & Information Systems Review
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• v.37 no.3
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• pp.65-81
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• 2018

This study estimated the long-run and the short-run price and income elasticity of crude oil demand by using the ARDL model in Korea. First, the long-run cointegration relationship existed between crude oil demand and price or income in the ARDL-bounds tests. Second, the long-run own price, the cross price elasticity and the income elasticity were both statistically significant elastic and sensitive in the ARDL. Third, there was autocorrelation of the residuals, but no misspecification errors and heteroscedasticity, and then the residuals showed a normal distribution. And the CUSUM & CUSUMSQ tests showed that the coefficients were stable. Fourth, the short-run own price, the cross price elasticity and the income elasticity were both statistically significant elastic and sensitive in the ARDL-RECM. The ECM with the short-run dynamics showed rapid adjustments in the long-run equilibrium of oil demand after the economic crisis. In the short-run, the sensitivity of crude oil demand to price and income changes has moved in the same direction as the long-run case. Korea, depending too much on foreign crude oil, is vulnerable to the shocks of oil prices, so rising oil prices can certainly have a negative impact on Korea's trade balance. And the elasticity of long-run oil prices may help to control and manage Korea's oil demand. The government needs to strengthen monitoring of the country's policies and market trends related to crude oil, establish strategies to customize national policies and market conditions, and strengthen active market dominance efforts through pioneering new market and diversification.

• Journal of the Korea Society of Computer and Information
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• v.25 no.6
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• pp.35-47
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• 2020

Box-office prediction is important to movie stakeholders. It is necessary to accurately predict box-office and select important variables. In this paper, we propose a multivariate time series classification and important variable selection method to improve accuracy of predicting the box-office. As a research method, we collected daily data from KOBIS and NAVER for South Korean movies, selected important variables using Random Forest and predicted multivariate time series using Deep Learning. Based on the Korean screen quota system, Deep Learning was used to compare the accuracy of box-office predictions on the 73^rd day from movie release with the important variables and entire variables, and the results was tested whether they are statistically significant. As a Deep Learning model, Multi-Layer Perceptron, Fully Convolutional Neural Networks, and Residual Network were used. Among the Deep Learning models, the model using important variables and Residual Network had the highest prediction accuracy at 93%.

• Journal of Animal Science and Technology
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• v.45 no.5
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• pp.739-748
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• 2003

The objective of this study was to estimate genetic parameters for test-day milk production and somatic cell score using field data collected by dairy herd improvement program in Korea. Random regression animal models were applied to estimate genetic variances for milk production and somatic cell score. Heritabilities for milk yields, fat percentage, protein percentage, solid-not-fat percentage, and somatic cell score from test day records of 5,796 first lactation Holstein cows were estimated by REML algorithm in single trait random regression test-day animal models. For these analyses, Legendre polynomial covariate function was applied to model the fixed effect of age-season, the additive genetic effect and the permanent environment effect as random. Homogeneous residual variance was assumed to be equal throughout lactation. Heritabilities as a function of time were calculated from the estimated curve parameters from univariate analyses. Heritability estimates for milk yields were in range of 0.13 to 0.29 throughout first lactation. Heritability estimates for fat percentage, protein percentage and solid-not-fat percentage were within 0.09 to 0.11, 0.12 to 0.19 and 0.17 to 0.23, respectively. For somatic cell score, heritabilities were within 0.02 to 0.04. Heritabilities for milk productions and somatic cell score were fluctuated by days in milk with comparing 305d milk production.

• The Korean Journal of Applied Statistics
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• v.18 no.2
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• pp.253-269
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• 2005

One of the basic assumptions of the regression models is that the parameter vector does not vary across sample observations. If the parameter vector is not constant for all observations in the sample, the statistical model is changed and the usual least squares estimators do not yield unbiased, consistent and efficient estimates. This study investigates the regression model with some or all parameters vary across partitions of the whole sample data when the model permits different response coefficients during unusual time periods. Since the usual test for overall homogeneity of regressions across partitions of the sample data does not explicitly identify the break points between the partitions, the testing the equality between subsets of coefficients in two or more linear regressions is generalized and combined with the test procedure to search the break point. The method is applied to find the possibility and the turning point of the structural change in the long-run unemployment rate in the usual static framework by using the regression model. The relationships between the variables included in the model are reexamined in the dynamic framework by using Vector Autoregression.

• Journal of the Korean Society of Surveying, Geodesy, Photogrammetry and Cartography
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• v.40 no.4
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• pp.325-332
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• 2022

Determination of VLBI IVP (Very Long Baseline Interferometry Invariant Point) position with high accuracy is required to compute local tie vectors between the space geodetic techniques. In general, reflective targets are attached on VLBI antenna and slant distances, horizontal and vertical angles are measured from the pillars. Then, adjustment computation is performed by using the mathematical model which connects measurements and unknown parameters. This indicates that the accuracy of the estimated solutions is affected by the accuracy of the measurements. One of issues in local tie surveying, however, is that the reflective targets are not in favorable condition, that is, the reflective sheet target cannot be perfectly aligned to the instrument perpendicularly. Deviation from the line of sight of an instrument may cause different type of measurement errors. This inherent limitation may lead to incorrect stochastic modeling for the measurements in adjustment computation procedures. In this study, error characteristics by measurement types and pillars are analyzed, respectively. The analysis on the studentized residuals is performed after adjustment computation. The normality of the residuals is tested and then equal variance test between the measurement types are performed. The results show that there are differences in variance according to the measurement types. Differences in variance between distances and angle measurements are observed when F-test is performed for the measurements from each pillar. Therefore, more detailed stochastic modeling is required for optimal solutions, especially in local tie survey.

• Korean Journal of Remote Sensing
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• v.30 no.1
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• pp.149-160
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• 2014

Recently studies on application development and utilization using sensors and devices embedded in smartphones have flourished at home and abroad. This study aimed to analyze the accuracy of the images of smartphone to determine three-dimension position of close objects prior to the development of photogrammetric system applying smartphone and evaluate the feasibility to use. First of all, camera calibration was conducted on autofocus and infinite focus. Regarding camera calibration distortion model with balance system and unbalance system was used for the decision of lens distortion coefficient, the results of calibration on 16 types of projects showed that all cases were in RMS error by less than 1 mm from bundle adjustment. Also in terms of autofocus and infinite focus on S and S2 model, the pattern of distorted curve was almost the same, so it could be judged that change in distortion pattern according to focus mode is very little. The result comparison according to autofocus and infinite focus and the result comparison according to a software used for multi-image processing showed that all cases were in standard deviation less than ${\pm}3$ mm. It is judged that there is little result difference between focus mode and determination of three-dimension position by distortion model. Lastly the checkpoint performance by total station was fixed as most probable value and the checkpoint performance determined by each project was fixed as observed value to calculate statistics on residual of individual methods. The result showed that all projects had relatively large errors in the direction of Y, the direction of object distance compared to the direction of X and Z. Like above, in terms of accuracy for determination of three-dimension position for a close object, the feasibility to use smartphone camera would be enough.

• Korean Journal of Ecology and Environment
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• v.43 no.3
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• pp.349-355
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• 2010

This study aims at the augmentation of reliability of the long-term rainfall runoff model. To do so agricultural water uses are evaluated by analyzing the effects of small scale irrigational hydraulic structures on long term runoff processes and thereby rainfall-runoff model is modified considering them. As a result the simulation results of the sub-basins having more agricultural reservoirs than the others are disagreed with the observations. The 2nd quarter simulation results show similar trend to it. Especially the farming seasonal results of the drought year as the year of 2008 have many negative discharge values due to the lack of agricultural water uses. This result come from the water uses input data corresponding to not real water uses but water demands. In this study the formulas are derived to estimate the discharges and return ratios and the long term rainfall-runoff model is reformulated based on these. It is confirmed that the errors of the simulation results could be reduced by considering the effects of small scale irrigational hydraulic structures and the reliability of the simulation results improved greatly.