• The Korean Journal of Applied Statistics
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• v.28 no.3
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• pp.393-406
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• 2015

We examine how to model mortality risk using the adaptation of the mean-reverting processes for the two factor model proposed by Cairns et al. (2006b). Mortality improvements have been recently observed in some countries such as United Kingdom; therefore, we assume long-run mortality converges towards a trend at some unknown time and the mean-reverting processes could therefore be an appropriate stochastic model. We estimate the parameters of the two-factor model incorporated with mean-reverting processes by a Metropolis-Hastings algorithm to fit United Kingdom mortality data from 1991 to 2015. We forecast the evolution of the mortality from 2014 to 2040 based on the estimation results in order to evaluate the issue price of a longevity bond of 25 years maturity. As an application, we propose a method to quantify the speed of mortality improvement by the average mean reverting times of the processes.

• Journal of Korea Water Resources Association
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• v.46 no.8
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• pp.833-842
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• 2013

The quantile mapping is utilized to reproduce reliable GCM(Global Climate Model) data by correct systematic biases included in the original data set. This scheme, in general, projects the Cumulative Distribution Function (CDF) of the underlying data set into the target CDF assuming that parameters of target distribution function is stationary. Therefore, the application of stationary quantile mapping for nonstationary long-term time series data of future precipitation scenario computed by GCM can show biased projection. In this research the Nonstationary Quantile Mapping (NSQM) scheme was suggested for bias correction of nonstationary long-term time series data. The proposed scheme uses the statistical parameters with nonstationary long-term trends. The Gamma distribution was assumed for the object and target probability distribution. As the climate change scenario, the 20C3M(baseline scenario) and SRES A2 scenario (projection scenario) of CGCM3.1/T63 model from CCCma (Canadian Centre for Climate modeling and analysis) were utilized. The precipitation data were collected from 10 rain gauge stations in the Han-river basin. In order to consider seasonal characteristics, the study was performed separately for the flood (June~October) and nonflood (November~May) seasons. The periods for baseline and projection scenario were set as 1973~2000 and 2011~2100, respectively. This study evaluated the performance of NSQM by experimenting various ways of setting parameters of target distribution. The projection scenarios were shown for 3 different periods of FF scenario (Foreseeable Future Scenario, 2011~2040 yr), MF scenario (Mid-term Future Scenario, 2041~2070 yr), LF scenario (Long-term Future Scenario, 2071~2100 yr). The trend test for the annual precipitation projection using NSQM shows 330.1 mm (25.2%), 564.5 mm (43.1%), and 634.3 mm (48.5%) increase for FF, MF, and LF scenarios, respectively. The application of stationary scheme shows overestimated projection for FF scenario and underestimated projection for LF scenario. This problem could be improved by applying nonstationary quantile mapping.

• Journal of the Korean Data and Information Science Society
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• v.25 no.1
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• pp.119-130
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• 2014

This paper is based on water information system of NIE, National Institute of Environmental Research. We used monthly data of water quality from January, 2013 to August, 2013 starting from measuring point A (nbA) to measuring point N (nbN) located along the Nakdong river main stream. Statistical water quality analysis of BOD (biological oxygen demand) is specified by R programming depending on month, year, and points. Based on BOD measured from Nakdong river's measuring points, we used exploratory data analysis and locally weighted scatter plot smoother (Lowess) trend analysis, which is a method of non-parametic regression analysis, to analyze long-term water tendency and water quality distribution depending on points. Also, we analyzed the period and the measuring point of which the outliers are abundant. As a result, compared to BOD measured in nbM located in Busan along the downstream, BOD measured in nbG located in Daegu and nbI located in Changwon along the midstream showed higher rate of water pollution at a severe level.

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.24 no.5
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• pp.326-332
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• 2012

In this paper, error analyses on the calculation of offshore wind speed have been conducted using HeMOSU-1 data to develop offshore wind energy in Yeonggwang sea of Korea and onshore observed wind data in Buan, Gochang and Yeonggwang for 2011. Offshore wind speed data at 98.69 m height above M.S.L is estimated using relational expression induced by linear regression analysis between onshore and offshore wind data. In addition, estimated offshore wind speed data is set at 87.65 m above M.S.L using power law wind profile model with power law exponent(0.115) and its results are compared with the observed data. As a result, the spatial adjustment error are 1.6~2.2 m/s and the altitude adjustment error is approximately 0.1 m/s. This study shows that the altitude adjustment error is about 5% of the spatial adjustment error. Thus, long term observed data are needed when offshore wind speed was estimated by onshore wind speed data. because the conversion of onshore wind data lead to large error.

• Spatial Information Research
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• v.20 no.4
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• pp.47-55
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• 2012

Normalized Difference Vegetation Index (NDVI) has been used to measure and monitor plant growth, vegetation cover, and biomass from multispectral satellite data. It is also a valuable index in forest applications, providing forest resource information. In this research, an approach for monitoring forest change using MODIS NDVI time series data is explored. NDVI difference-based approaches for a specific point in time have possible accuracy problems and are lacking in monitoring long-term forest cover change. It means that a multi-time NDVI pattern change needs to be considered. In this study, an efficient methodology to consider long-term NDVI pattern is suggested using a harmonic model. The suggested method reconstructs MODIS NDVI time series data through application of the harmonic model, which corrects missing and erroneous data. Then NDVI pattern is analyzed based on estimated values of the harmonic model. The suggested method was applied to 49 NDVI time series data from Aug. 21, 2009 to Sep. 6, 2011 and its usefulness was shown through an experiment.

• Journal of Korea Port Economic Association
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• v.29 no.1
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• pp.67-76
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• 2013

It has been more than four years since the outbreak of global financial crisis. However, the world economy continues to be challenged with new crisis such as the European debt crisis and the fiscal cliff issue of the U.S. The global economic environment remains fragile and prone to further disappointment, although the balance of risks is now less skewed to the downside than it has been in recent years. It's no wonder that maritime business will be bearish since the global business affects the maritime business directly as well as indirectly. This paper, hence, aims to predict the Baltic Dry Index representing the shipping business using the ARIMA-type models and Hodrick-Prescott filtering technique. The monthly data cover the period January 2000 through January 2013. The out-of-sample forecasting performance is measured by three summary statistics: root mean squared percent error, mean absolute percent error and mean percent error. These forecasting performances are also compared with those of the random walk model. This study shows that the ARIMA models including Intervention-ARIMA have lower rmse than random walk model. This means that it's appropriate to forecast BDI using the ARIMA models. This paper predicts that the shipping market will be more bearish in 2013 than the year 2012. These pessimistic ex-ante forecasts are supported by the Hodrick-Prescott filtering technique.

• Journal of the Korean Society of Hazard Mitigation
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• v.9 no.6
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• pp.17-30
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• 2009

In this study, the existence of possible deterministic longterm trend of precipitation amount, monthly maximum precipitation, rain day, the number of rain day greater than 20mm, 30mm, and 80mm was analyzed using the Mann-Kendall rank test and the data from 62 stations between 1905 and 2004 in South Korea. Results indicate that the annual and monthly rainfall amount increases and the number of rain days which have more than 80mm rainfall a day, increases. However the number of rain days decreases. Also, monthly trend analysis of precipitation amount and monthly maximum precipitation increases in Jan., May, Jun., Jul., Aug., and Sep. and they decrease in Mar., Apr., Oct., Nov., and Dec. Monthly trend of the number of rain day greater than 20mm, 30mm, and 80mm increases in Jun., Jul., Aug., and Sep. However results of Mann-Kedall test demonstrated that the ratio of stations, which have meaningful longterm trend in the significance level of 90% and 95%, is very low. It means that the random variability of the analyzed precipitation related data is much greater than their linear increment.

• Journal of Korea Port Economic Association
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• v.27 no.3
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• pp.135-146
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• 2011

A voluminous research on efficiency employs the DEA(Data Envelope Analysis) models. There are, however, only very few that have an interest in the factors influencing such efficiencies. We, furthermore, do not see any studies which analyze the long-term efficiency of the logistics providers using the panel cointegration techniques. The purpose of this paper, hence, is to evaluate the efficiency, analyse its determinants and show a long-term relationship between turnover and the other variables employing the SBM(Slack Based Measure) model, Tobit model, the panel procedure and the FMOLS(Fully Modified OLS). The panel data are composed of 9 individuals and 6 years. The panel cointegrating vectors show that the group coefficient of asset and employees is not only significant but has expected signs, while some of the individual coefficients are insignificant or/and exhibit wrong signs. The panel cointegrating vectors from fully modified OLS also indicate that the estimated coefficients of the panel analysis tend to be overvalued and the asset influences the turnover far greater than the employee does.

• Proceedings of the Korea Technology Innovation Society Conference
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• 2006.11b
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• pp.355-368
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• 2006

본 연구는 1982년부터 2002년까지 우리나라 15개 산업부분의 패널자료를 이용하여 지식생산함수추정을 시도하였다. 해당 산업부문의 지식생산활동에서 서로 다른 산업부문간에 산호작용영향이 중요하다는 관점을 고려하여 Mark et al. (2005)이 제시한 DSUR(Dynamic Seemingly Unrelated Regression)추정량을 이용하여 관련된 지식생산함수의 모수를 추정하였다. 본 연구의 추정결과를 살펴보면, 우리나라 지식생산함수에서 연구원 규모가 지식생산에 기여하는 탄력성정도는 0.25이며, 기존 지식축적량이 기여하는 탄력성정도는 0.353으로 나타났다. 이러한 실증분석 결과는 우리나라의 경우에 기존 지식축적량이 새로운 지식생산에 기여하는 탄력성정도가 1보다 작음을 보여준다. 지식생산함수의 관하여 추정된 계수의 크기가 시사하는 바는 우리나라의 장기적 경제성장률은 제품 및 서비스생산함수에 관련된 탄력성과 인구성장증가율에 따라서 결정되기 때문에 정부의 직접적인 R&D정책개입보다는 지식관리 및 보급 그리고 공유체계정비라는 간접적 R&D정잭개입을 통하여 지속적인 경제성장전략을 추진해야한다는 주장을 뒷받침한다고 볼 수 있다.

• Journal of Korean Society on Water Environment
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• v.20 no.1
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• pp.63-71
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• 2004

The long-tenn trend analyses of water qualities were performed for 49 monitoring stations located in Nakdong River. Water quality parameters used in this study are the monthly data of BOD(Biological Oxygen Demand), TN(Total Nitrogen) and TP(Total Phosphorus) measured from 1990 to 1999. The long-tenn trends were analyzed by Seasonal Mann-Kendall Test and Locally WEighted Scatter plot Smoother(LOWESS). Nakdong river was divided into four subbasins, including upstream watershed, midstream watershed, western downstream watershed and eastern downstream watershed. The results of Seasonal Mann-Kendall Test indicated that there would be no trends of BOD in upstream watershed, western and eastern downstream watershed. Trends of BOD were downward in midstream watershed. For TN and TP, there were upward trends in all of watersheds. But LOWESS curves suggested that BOD, TN and TP concentrations generally increased between 1990 and 1996, then resumed decreasing.