• Journal of the Korean Statistical Society
• /
• v.26 no.1
• /
• pp.131-146
• /
• 1997

In this paper the problem of measuring the stochastic dependence among sets fo random variates is considered, and attention is specifically directed to forming a single well-defined measure of the dependence among sets of normal variates. A new information theoretic measure of the dependence called dependence index (DI) is introduced and its several properties are studied. The development of DI is based on the generalization and normalization of the mutual information introduced by Kullback(1968). For data analysis, minimum cross entropy estimator of DI is suggested, and its asymptotic distribution is obtained for testing the existence of the dependence. Monte Carlo simulations demonstrate the performance of the estimator, and show that is is useful not only for evaluation of the dependence, but also for independent model testing.

• Journal of Korean Institute of Industrial Engineers
• /
• v.33 no.4
• /
• pp.410-418
• /
• 2007

This article suggests the methods to investigate adverse movement across global stock markets arising from insolvency of subprime mortgage in U.S. Our application deals with asymptotic tail dependence of daily stock index returns (KOSPI, DJIA, Shanghai Composite) of three countries; Korea, U.S., and China, over specific period via extreme value theory and copula functions. Daily stock index returns among three countries show higher extremal dependence during the period exposed to systematic shock. We confirm that extreme value theory and copula functions have potential to well describe the extreme dependence between three countries' daily stock index returns.

• Communications for Statistical Applications and Methods
• /
• v.21 no.5
• /
• pp.445-459
• /
• 2014

This paper investigates the dependence structure of Korean financial markets (stock, foreign exchange (FX) rates and bond) using copula-GARCH and dynamic conditional correlation (DCC) models. We examine GJR-GARCH with skewed elliptical distributions and four copulas (Gaussian, Student's t, Clayton and Gumbel) to model dependence among returns, and then employ DCC model to describe system-wide correlation dynamics. We analyze the daily returns of KOSPI, FX (WON/USD) and KRX bond index (Gross Price Index) from $2^{nd}$ May 2006 to $30^{th}$ June 2014 with 2,063 observations. Empirical result shows that there is significant asymmetry and fat-tail of individual return, and strong tail-dependence among returns, especially between KOSPI and FX returns, during the 2008 Global Financial Crisis period. Focused only on recent 30 months, we find that the correlation between stock and bond markets shows dramatic increase, and system-wide correlation wanders around zero, which possibly indicates market tranquility from a systemic perspective.

• Asian Pacific Journal of Cancer Prevention
• /
• v.13 no.1
• /
• pp.343-346
• /
• 2012

Two methods of identifying smokers with high nicotine dependence, the heaviness of smoking index (HSI) and number of cigarettes per day (CPD) were compared with the Fagerstrom test for nicotine dependence (FTND). The HSI, CPD and the FTND were administered to 316 adult Malaysian male, daily smokers aged between 25-64 years old in the Malaysian NCD Surveillance-1 Survey using a two-stage stratified random sampling of enumeration blocks and living quarters, via an interview based on a validated questionnaire. The cut-off point for classification of high nicotine dependence on the HSI was a score of four or higher, and for the heavy smoking category, smoking more than 20 cigarettes per day. Classification using each method was compared with classification by the FTND (score of six or more) as the reference standard. Sensitivity, specificity and kappa statistics for concordance between both measures and the FTND were evaluated. The HSI gave a similar prevalence rate of high nicotine dependence as the FTND. There was substantial agreement between the HSI and the FTND (kappa=0.63.), with moderate sensitivity (69.8%) and high specificity (92.5%). However, prevalence of high nicotine dependence using the CPD was 7% lower than the FTND. The heavy smoking category also showed fair agreement with the FTND (kappa=0.45) and moderate sensitivity (67.0%), but specificity was high (86.9%). The findings indicate that the HSI can be used as an alternative to the FTND in screening for high nicotine dependence among daily smokers in large population-based studies, while CPD may not be a suitable alternative to the FTND.

• Journal of the Korean Institute of Electrical and Electronic Material Engineers
• /
• v.15 no.3
• /
• pp.214-219
• /
• 2002

In order to elucidate the crystallographic orientation dependence of electrical properties of carbon (C)-doped GaAs epilayers, C incorporation into GaAs epilayers on high-index GaAs substrates with various crystallographic orientations from (100) to (111)A has been performed by a low pressure metalorganic chemical vapor deposition using C tetrabromide ($CBt_4$) as a C source. The hole concentration of C-doped GaAs epilayers rapidly decreases with a hump at (311)A with increasing the offset angle. Although the growth temperature and the V/III ratio are varied, the crystallographic orientation dependence of hole concentration show a same trend. The above behaviors indicate that the bonding strength of As sites on a glowing surface plays an important role in the C incorporation into the high-index GaAs substrates.

• Journal of Korea Port Economic Association
• /
• v.36 no.4
• /
• pp.93-106
• /
• 2020

Trade is an important economic activity. In particular, since the establishment of the World Trade Organization (WTO), the scope of trade has been expanding due to events such as the entry of China into the WTO in 2001, the establishment of a multilateral trading system, mitigation and integration of trade barriers, and the establishment of the free trade agreement (FTA). Despite the expansion of the trade market, however, extreme events such as the 2008 global financial crisis, the 2016 Brexit, and the 2018 US-China trade war have had a direct negative impact on the trade market. Therefore, the present this study analyzed the dependence structure between the international shipping freight rate index, a variable representing trade activities, and the trade uncertainty between the US and China. The following is a summary of the analysis results. First, the US-Chinese trade policy uncertainty and international shipping freight rate index presented a Frank copula and rotated Clayton copula 270° distribution, respectively, showing the same distribution structure for each country. Second, the Kendall's tau correlation revealed a negative dependence between the international shipping freight rate index and US-Chinese trade policy uncertainty. The degree of dependence was greater in the combination of uncertainty in China's trade policy and international shipping freight rates. In other words, the dependence of global demand and trade policy uncertainty confirmed that China was stronger than the US. Finally, the tail dependence results revealed that the US-Chinese trade policy uncertainty and international shipping freight rates were independent of each other. This means that extreme events related to the trade policy uncertainty or international shipping rate index were not affected by each other.

• Communications for Statistical Applications and Methods
• /
• v.27 no.2
• /
• pp.163-175
• /
• 2020

We consider a wide class of general weakly-dependent processes, called ψ-weak dependence, which unify almost all weak dependence structures of interest found in statistics under natural conditions on process parameters, such as mixing, association, Bernoulli shifts, and Markovian sequences. For detecting the tail behavior of the weakly dependent processes, change point tests are developed by means of cumulative sum (CUSUM) statistics with the empirical distribution functions of sample extremes. The null limiting distribution is established as a Brownian bridge. Its proof is based on the ψ-weak dependence structure and the existence of the phantom distribution function of stationary weakly-dependent processes. A Monte-Carlo study is conducted to see the performance of sizes and powers of the CUSUM tests in GARCH(1, 1) models; in addition, real data applications are given with log-returns of financial data such as the Korean stock price index.

• Journal of Korea Foundry Society
• /
• v.38 no.5
• /
• pp.95-102
• /
• 2018

The dependence of the tensile properties on variations in the porosity of A356 aluminium alloys was investigated in terms of the quality index of the tensile properties based upon the ultimate tensile strength and elongation as well as the variation of the strength coefficient and strain-hardening exponent with regard to a T6 treatment. The test specimens were prepared by low-pressure die-casting and a subsequent T6 treatment, and the experimental results of a tensile test carried out at room temperature were compared to the theoretical description using a modified constitutive model. The nominal value of the quality index of A356 alloys increases gradually with a lapse of the ageing time upon a T6 treatment, despite the fact that this value is temporarily decreased during the initial stage of ageing from a solutionised condition. Additionally, the quality index depends practically upon the porosity variation with a power law relationship without regard to whether in solutionised or artificial aged conditions. The theoretical description indicates that the strength coefficient directly determines the nominal level of the quality index. Moreover, the overall dependence of the quality index on the porosity variation is remarkably weakened with an increase in the tensile strain, whereas the quality index depends sensitively upon the porosity variation with a low value of the strain-hardening exponent.

• Journal of Convergence for Information Technology
• /
• v.9 no.9
• /
• pp.133-140
• /
• 2019

Following the recent US trade deficit, the trade war began between Korea and Japan in July. Korea's trade dependence is about 60% or more, indicating high export dependence and import dependence. The purpose of this study is to examine export amount, export volume, export price index, Treasury bond interest rate and analyze how index affects export amount. This study attempts to analyze the comovement and volatility with export amount. For this purpose, monthly data for each indicator were selected for a total of 234 months from January 2000 to June 2019. As a result of analysis, exports amount and exports volume showed very high comovement, exports amount and interest rates showed low comovement, but exports amount and exports prices showed very low comovement. In the future, Korea should continue to increase exports amount in view of its high dependence on trade, along with policies to expand the domestic market. To this end, strategy to increase exports volume should be presented. Korea should increase the logistics environment and competitiveness of each port and airport, improve domestic and overseas network construction and support services of logistics companies.

• Korean Journal of Optics and Photonics
• /
• v.9 no.5
• /
• pp.307-314
• /
• 1998

We have studied the effects of interface on polarization dependence of waveguide and designed the polarization independent 2-dimensional waveguides on InP for arrayed waveguide grating. To figure out the effects of interface on polarization dependence, we have solved the 1-dimensional wave equation using a transfer matrix method. It is shown that the birefringence becomes stronger as the number of interfaces increases. In order to design polarization independent 2-dimensional waveguides, we have used effective index method. The structures considered are ridge type, raised strip type, and buried type waveguide. In the cases of ridge and raised strip type, conventional effective index method was used. In the case of buried type corrected effective index method was used. We have determined the height and width of waveguides such that the waveguides become polarization independent.