• 응용통계연구
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• 제17권3호
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• pp.431-443
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• 2004

본 연구에서는 질병지도작성(disease mapping)을 위해 인접지역의 정보를 효과적으로 활용할 수 있는 EB(empirical Bayes) 추정 법과 HGLM(hierarchial generalized linear model)을 기초로 한 추정법을 다룬다. 사례연구로 이 추정방법들을 이용하여 2000년 사망원인통계자료를 이용해 경상도 및 전라도의 112개 시$.$군$.$구 단위 행정자치구역별 45세 이상 폐암 사망률을 산출하고, 경상도 및 전라도 지역 폐암 사망률 지도를 작성한다. 아울러 제시된 방법들에 위해 얻어진 추정치들의 변동과 3년간 평균 사망률을 기준으로 구한 MSD(mean square deviation)를 이용하여 추정방법들의 특성을 비교 분석한다.

• The Journal of Asian Finance, Economics and Business
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• 제6권1호
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• pp.107-119
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• 2019

This paper examines the impact of financial integration on economic growth in Southeast Asia over the period 1993-2013. This paper further investigates whether the relationship depends on the level of financial and economic development, government corruption, and macroeconomic policy. These questions raise important issues both from a theoretical and a policy perspective. We employ the generalized methods of moment (GMM) in the dynamic panel estimation framework to analyse several factors, including initial income, initial schooling, financial development, inflation, trade openness, corruption, and financial crisis. The study further analyzes the data using the EGLS model to examine the consistency of the GMM model. We found that financial integration has a significant positive effect on economic growth in Southeast Asia. Our findings suggest that increasing financial integration could improve the productive capacity of the economy, including more investments and efficient allocation of capital, and thus enhancing economic growth in this region. More specifically, the results suggest that the government should work towards eliminating corruption and stabilizing macroeconomics in order to enhance financial integration and economic growth. This paper sheds new insights on a better evaluation of the past and present theorizing on the subject of financial integration and economic growth; especially, in Southeast Asia.

• 응용통계연구
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• 제26권5호
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• pp.767-783
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• 2013

일반화적률추정법(GMM)은 금융자료에 대한 모형모수의 추정에 자주 이용되는 방법이다. 특히 GMM은 현대금융 공학 이론의 기본을 이루는 확산모형의 추정에도 매우 자주 사용된다. 그러나 최근의 연구에서 GMM은 확산모형의 모수, 특히 확산계수에 관계되는 모수의 추정에 있어서 그 성능이 좋지 못함이 지적되었다. 본 연구에서는 GMM의 이러한 단점을 개선하기 위한 대안적 방법들을 제시하고 그 통계적 성능을 시뮬레이션 연구를 통해서 비교하게 된다. 이런 과정을 통하여 제안되고 검토된 추정방법들 중, Shoji와 Ozaki (1998)가 제안한 국소선형근사법의 결과를 적용하여 GMM의 성능을 개선한 NGMM-Y 추정량이 매우 우수한 성질을 가지고 있음을 확인하게 된다. 특히 NGMM-Y 추정량은 확산계수에 관계된 모수의 추정에 있어서 비교대상이 된 다른 대안적 GMM 방법들에 비하여 우수한 성질을 가지고 있음을 확인하게 된다.

• Communications for Statistical Applications and Methods
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• 제23권5호
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• pp.363-383
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• 2016

The Weibull family of lifetime distributions play a fundamental role in reliability engineering and life testing problems. This paper investigates the potential usefulness of transmuted new generalized Weibull (TNGW) distribution for modeling lifetime data. This distribution is an important competitive model that contains twenty-three lifetime distributions as special cases. We can obtain the TNGW distribution using the quadratic rank transmutation map (QRTM) technique. We derive the analytical shapes of the density and hazard functions for graphical illustrations. In addition, we explore some mathematical properties of the TNGW model including expressions for the quantile function, moments, entropies, mean deviation, Bonferroni and Lorenz curves and the moments of order statistics. The method of maximum likelihood is used to estimate the model parameters. Finally the applicability of the TNGW model is presented using nicotine in cigarettes data for illustration.

• Journal of the Korean Data and Information Science Society
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• 제25권1호
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• pp.211-218
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• 2014

Qu et. al. (2000) proposed the quadratic inference functions (QIF) method to marginal model analysis of longitudinal data to improve the generalized estimating equations (GEE). It yields a substantial improvement in efficiency for the estimators of regression parameters when the working correlation is misspecified. But for the longitudinal data with time-dependent covariates, when the implicit full covariates conditional mean (FCCM) assumption is violated, the QIF can not provide more consistent and efficient estimator than GEE (Cho and Dashnyam, 2013). Lai and Small (2007) divided time-dependent covariates into three types and proposed generalized method of moment (GMM) for longitudinal data with time-dependent covariates. They showed that their GMM type II and GMM moment selection methods can be more ecient than GEE with independence working correlation (GEE-ind) in the case of type II time-dependent covariates. We develop upgraded QIF method for type II time-dependent covariates. We show that this upgraded QIF method can provide substantial gains in efficiency over QIF and GEE-ind in the case of type II time-dependent covariates.

• 한국농공학회:학술대회논문집
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• 한국농공학회 1999년도 Proceedings of the 1999 Annual Conference The Korean Society of Agricutural Engineers
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• pp.479-485
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• 1999

This study was conducted to derived design floods by Generalized Extreme Value(GEV) distributiion for the annual maximum series at ten watersheds along Han, Nagdong, Geum , Yeongsan and Seomjin river systems. Adequency for the analysis of flood data used in this study was established by the test of Independence, Homogeneity , detection of Outliers. Coefficient of variation , skewness and kurtosis were calculated by the L-Moment, and LH-Moment ratio respectively. Parameters were estimated by the Method of L-Method of LH-Moment. Design floods obtained by Method of L-Moments and LH-Moments using different methods for plotting positions in GEV distributions and were compared with those obatined using the Method of L-Moments and LH-Moments by the Relative Mean Errors and Realtive Absoulte Errors. It was found that desgin floods derived by the method of L-Moments and LH-Moments using Cunnane plotting position foumula in the GEV distribution are much closer to those of the observed data in comparison with those obtained by methods of L-moments and LH-moments using the other formula for poltting postions from the viewpoint of Relative Mean Errors and Relative Absoulte Errors. In view of the fact that hydraulic structures indcluding dams and levees are generally usiong design floods with the return period of two hundred years or so, design floods derived by LH-Moments are seemed to be more reasonable than those of L-Moments in the GEV distribution.

• 한국해안해양공학회지
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• 제4권4호
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• pp.250-260
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• 1992

본 논문에서는 비교적 장기간의 조위 관측자료가 축적되어 있는 인천, 제주, 여수, 부산, 묵호에 대하여 극치확률법과 결합확률법을 이용하여 극치해면을 산정하였다. 극치확률법의 분포는 Gumbel, Weibull 및 일반화 극치(GEV)분포에 대하여 최소자승법, 모멘트법, 확률가중적률(PWM)법으로 parameter를 추정하여 극치해면을 산출하였다. 그 결과 Gumbel 분포와 최소자승법이 각각 다른 분포와 다른 parameter 추정법에 비해 크게 추정되는 경향이 있다. 그리고 결합확률법이 극치확률법 보다 대략 5-l0cm 정도 크게 나타났다. 이는 극치확률법이 tide와 surge가 동시에 발생한 조위를 사용한 반면 결합확률법은 동시 발생하지 않은 극치 tide와 극치 surge도 포함하여 극치해면을 산출하기 때문에 값이 조금 크게 추정된다.

• International Journal of Naval Architecture and Ocean Engineering
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• 제12권1호
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• pp.325-342
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• 2020

The current study is focused on the evaluation of the ultimate strength of stiffened panels found in ship hull structures that are subjected to combined uniaxial thrust, in-plane and out-of-plane bending moments. This loading condition, which is in general ignored when performing buckling checks, applies to representative control geometries (stiffener with attached plating) as a consequence of the linearly varying normal stresses along the ship's depth induced by the hull-girder vertical bending moment. The problem is generalized by introducing a non-uniform thrust described by a displacement ratio and rotation angle and by introducing the slenderness ratios, within the practical range of interest. The formed design space is explored through methods sourcing from Design of Experiments and by applying non-linear finite element procedures. Surrogate empirical models have been constructed through regression analysis and Response Surface Methods. An additional empirical model is provided to the literature for predicting the ultimate strength under uniaxial thrust. The numerical experimentation has shown that is a significant influence on the ultimate strength of stiffened panels as the thrust non-uniformity increases.

• 한국농공학회:학술대회논문집
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• 한국농공학회 1998년도 학술발표회 발표논문집
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• pp.318-324
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• 1998

This study was conducted to derive optimal design floods by Generalized Extreme-value(GEV) distribution for the annual maximum series at ten watersheds along Han, Nagdong, Geum, Yeongsan and Seomjin river systems. Adequacy for the analysis of flood data used in this study was established by the tests of Independence, Homogeneity, detection of Outliers. L-coefficient of variation, L-skewness and L-kurtosis were calculated by L-moment ratio respectively. Parameters were estimated by the Methods of Moments and L-Moments. Design floods obtained by Methods of Moments and L-Moments using different methods for plotting positions in GEV distribution were compared by the relative mean and relative absolute error. It was found that design floods derived by the method of L-moments using weibull plotting position formula in GEV distribution are much closer to those of the observed data in comparison with those obtained by method of moments using different formulas for plotting positions in view of relative mean and relative absolute error.

• Communications for Statistical Applications and Methods
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• 제26권3호
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• pp.239-259
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• 2019

The transmuted generalized extreme value (TGEV) distribution was first introduced by Aryal and Tsokos (Nonlinear Analysis: Theory, Methods & Applications, 71, 401-407, 2009) and applied by Nascimento et al. (Hacettepe Journal of Mathematics and Statistics, 45, 1847-1864, 2016). However, they did not give explicit expressions for all the moments, tail behaviour, quantiles, survival and risk functions and order statistics. The TGEV distribution is a more flexible model than the simple GEV distribution to model extreme or rare events because the right tail of the TGEV is heavier than the GEV. In addition the TGEV distribution can adjusted various forms of asymmetry. In this article, explicit expressions for these measures of the TGEV are obtained. The tail behavior and the survival and risk functions were determined for positive gamma, the moments for nonzero gamma and the moment generating function for zero gamma. The performance of the maximum likelihood estimators (MLEs) of the TGEV parameters were tested through a series of Monte Carlo simulation experiments. In addition, the model was used to fit three real data sets related to financial returns.