• Proceedings of the Korean Statistical Society Conference
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• 2005.05a
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• pp.277-283
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• 2005

In general, stock prices do not follow normal distributions and mean trend indexes, volatility indexes, and volume indicators relating to these non-normal stock price are widely used as buy-sell strategies. These general buy-sell strategies are rather intuitive than statistical reasoning. The non-normality problem can be solved by normalizing process and statistical buy-sell strategy can be obtained by using mean trend and volatility indexes together with normalized stock prices. In this paper, buy-sell strategy based on mean trend and volatility index with normalized stock prices are proposed and applied to KOSPI200 data to see the feasibility of the proposed buy-sell strategy.

• Proceedings of the Korea Water Resources Association Conference
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• 2016.05a
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• pp.548-548
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• 2016

수위-유량관계 곡선식은 시계열 수위자료를 유량자료로 변환해줄 수 있는 회귀식으로 측정단면의 형태, 단면 상 하류의 지형요인 등으로 인하여 영향을 고려하기 위하여 기간분할 혹은 구간분할을 수행한다. 구간분할을 위하여 측정단면의 변화를 고려한 관계자의 주관적인 판단이 주요 근거로 이용되고 있다. 따라서 본 연구에서는 기존에 개발된 수위-유량관계 곡선식의 자동구 구간분할방법에 대한 적용성 검토를 수행하였다. 객관화된 분할근거의 제시를 위하여 주관성을 배제하고 관측데이터를 기반으로 수위 증가에 따른 변동계수를 계산하였고, 변동계수가 정규분포를 따르는 것으로 가정 하에 계산된 변동계수가 전 단계에서 계산된 95% 신뢰구간 이내에 존재하지 않는 경우 구간을 분할하였다. 즉, 변동계수를 이용하여 집단 간의 특성을 비교하였으며, 변동 계수의 분포를 이용하여 분할을 위한 기준 값을 제시하였다. 방법론의 추정능력 검토를 위하여 가상의 곡선으로부터 생성된 데이터에 제안된 방법론을 적용하였고, 실제 유역에 적용성 검토를 위하여 금강에 위치한 무주 및 산계교 수위관측소 지점에 적용하였다. 결과적으로 자동으로 분할된 관계곡선식을 사용하여 추정의 정확도를 높일 수 있을 뿐만 아니라 외삽을 하는 경우 역시 그 정확도를 향상할 수 있음을 확인하였다. 마지막으로 실측값을 활용한 수위-유량관계 곡선식의 구축 시 구간 분할 전 후의 잔차데이터에 대하여 Shapiro-wilk 정규성 검정을 수행하였으며, 구간분할 후 잔차가 정규성을 갖게 되는 것으로 나타났다.

• Journal of Internet Computing and Services
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• v.4 no.3
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• pp.9-14
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• 2003

The method of vocal tract normalization is a successful method for improving the accuracy of inter-speaker normalization. In this paper, we present an intra-speaker warping factor estimation based on pitch alteration utterance. The feature space distributions of untransformed speech from the pitch alteration utterance of intra-speaker would vary due to the acoustic differences of speech produced by glottis and vocal tract. The variation of utterance is two types: frequency and amplitude variation. The vocal tract normalization is frequency normalization among inter-speaker normalization methods. Therefore, we have to consider amplitude variation, and it may be possible to determine the amplitude warping factor by calculating the inverse ratio of input to reference pitch. k, the recognition results, the error rate is reduced from 0.4% to 2.3% for digit and word decoding.

• Journal of Korea Water Resources Association
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• v.53 no.5
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• pp.337-345
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• 2020

In order to provide information for proper management of groundwater resources, an analysis of the effects of precipitation and groundwater withdrawal on groundwater levels is needed. In this study, we analyzed the correlation of precipitation-groundwater level and groundwater withdrawal-groundwater level using time series data converted by normalized standard deviation (Nor.St.Dev) and cross correlation coefficient (CCC) for nine groundwater monitoring wells in the middle mountainous area in the southeastern Jeju Island. First, the CCCs of precipitation-groundwater level were estimated using daily time series data, and the low CCCs of up to 0.3 were obtained. However, the result of using the Nor.St.Dev showed a clearer correlation by obtaining a CCC of up to 0.8. In addition, in most cases, precipitation variability and groundwater level variability had positive CCCs, whereas groundwater withdrawal variability and groundwater level variability had negative CCCs. Therefore, the groundwater level in this study area was largely influenced by precipitation with little effect of groundwater withdrawal. Lastly, as a result of analyzing the relative effects of Seongpanak and Gyorae rainfall station on the groundwater level, the rainfall at the relatively downstream Gyorae rainfall station has more influence. The analysis method used in this study can be easily used for analyzing the effects of precipitation and groundwater withdrawal on groundwater level variability in other regions in the future.

• The Korean Journal of Applied Statistics
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• v.24 no.4
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• pp.575-586
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• 2011

In this paper, we study an asymptotic behavior of the finite-time ruin probability of the compound Poisson model in the case that the initial surplus is large. To compare an exact ruin probability with an approximate one, we place the focus on the exact calculation for the ruin probability when the claim size distribution is regularly varying tailed (i.e. exponential claims and inverse Gaussian claims). We estimate an adjustment coefficient in these examples and show the relationship between the adjustment coefficient and the safety premium. The illustration study shows that as the safety premium increases so does the adjustment coefficient. Larger safety premium means lower "long-term risk", which only stands to reason since higher safety premium means a faster rate of safety premium income to offset claims.

• The Korean Journal of Applied Statistics
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• v.33 no.6
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• pp.713-722
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• 2020

Contrasted with the standard symmetric GARCH models, we consider a broad class of threshold-asymmetric models to analyse financial time series exhibiting asymmetric volatility. By further introducing power transformations, we add more flexibilities to the asymmetric class, thereby leading to power transformed and asymmetric volatility models. In particular, the paper is concerned with the nonstationary volatilities in which conditions for integrated volatility and explosive volatility are separately discussed. Dow Jones Industrial Average is analysed for illustration.

• Journal of Digital Convergence
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• v.13 no.8
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• pp.153-160
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• 2015

The domestic stock market has been subjected to a major change since the September 1997 financial crisis. Foreign capital came repeat themselves in the stock market and bond market, foreign exchange market opening up domestic financial markets after the financial crisis. The domestic stock market has been most affected by domestic capital before the financial crisis. But it has been receiving an absolute influenced by foreign capital after the financial crisis. The purpose of this study is to analyze the trends in the two sections that look at any changes in the volatility of the KOSPI appears after the crisis. To this, obtained a daily weekly monthly normal distribution and kurtosis, skewness degree it should be analyze the tilt phenomenon and variability of the two intervals. This study also predict the future movement of the domestic stock market Based on this, look at the difference between the two sections. Analysis result, after the financial crisis change width has a reduction but direction of the KOSPI has appeared relatively distinct in the medium to long term. Based on this future market seems desirable the mid- to long-term investment looking for direction.

• Communications for Statistical Applications and Methods
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• v.5 no.1
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• pp.205-215
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• 1998

정규분포에 관한 검정에 있어서 P-P 플롯과 Q-Q 플롯의 가시적인 변동을 이용한 통계량을 제시하고 이 통계량들과 Shapiro-Wilk의 W 통계량과의 비교를 정확도(accuracy)의 측면을 고려하여 실시하였다. 또한, 의학이나 임상에서 척도의 우수성을 검정하기 위해 많이 사용하는 Receiver Operating Characteristic (ROC) 분석 기법을 이용하여 제시된 통계량들에 관한 Power와 Accuracy는 물론 Best Cut-Off 측면에서의 효율성을 검정하였다.

• Environmental and Resource Economics Review
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• v.16 no.4
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• pp.947-978
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• 2007

In this paper, we investigated a Value-at-Risk approach to the volatility of two crude oil markets (Brent and Dubai). We also assessed the performance of various VaR models (RiskMetrics, GARCH, IGARCH and FIGARCH models) with the normal and skewed Student-t distribution innovations. The FIGARCH model outperforms the GARCH and IGARCH models in capturing the long memory property in the volatility of crude oil markets returns. This implies that the long memory property is prevalent in the volatility of crude oil returns. In addition, from the results of VaR analysis, the FIGARCH model with the skewed Student-t distribution innovation predicts critical loss more accurately than other models with the normal distribution innovation for both long and short positions. This finding indicates that the skewed Student-t distribution innovation is better for modeling the skewness and excess kurtosis in the distribution of crude oil returns. Overall, these findings might improve the measurement of the dynamics of crude oil prices and provide an accurate estimation of VaR for buyers and sellers in crude oil markets.

• Journal of Korea Water Resources Association
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• v.48 no.10
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• pp.807-816
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• 2015

In general, the water stage-discharge relationship curve is established based on the assumptions of linearity and homoscedasticity. However, the relationship between the water stage and discharge is affected from geomorphological factors, which violates the basic assumptions of the water stage-discharge relationship curve. In order to reduce the error due to the violations, the curve is divided into several sections based on the manager's judgement considering change of cross-sectional shape. In this research, the objective-splitting criteria of the curve is proposed based on the measured data without the subjective decision. First, it is assumed that the coefficient of variation follows the normal distribution. Then, if the newly calculated coefficient of variation is outside of the 95% confidential interval, the curve is divided. Namely, the groups is divided by the characteristics of the coefficient of variation and the reasonable criteria is provided for establishing a multi-segmented rating curve. To validate the proposed method, it was applied to the data generated by three artificial power functions. In addition, to confirm the applicability of the proposed method, it is applied to the water stage and discharge data of the Muju water stage gauging station and Sangegyo water stage gauging station. As a result, it is found that the automatically divided rating curve improves the accuracy and extrapolation accuracy of the rating curve. Finally, through the residual analysis using Shapiro-Wilk normality test, it is confirmed that the residual of water stage-discharge relationship curve tends to follow the normal distribution.