• The Korean Journal of Applied Statistics
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• v.28 no.5
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• pp.871-883
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• 2015

Vector autoregressive (VAR) models in high dimension suffer from noisy estimates, unstable predictions and hard interpretation. Consequently, the sparse vector autoregressive (sVAR) model, which forces many small coefficients in VAR to exactly zero, has been suggested and proven effective for the modeling of high dimensional time series data. This paper studies coupling measures to select non-zero coefficients in sVAR. The basic idea based on the simulation study reveals that removing the effect of other variables greatly improves the performance of coupling measures. sVAR model coefficients are asymmetric; therefore, asymmetric coupling measures such as Granger causality improve computational costs. We propose two asymmetric coupling measures, filtered-cross-correlation and filtered-Granger-causality, based on the filtered residuals series. Our proposed coupling measures are proven adequate for heavy-tailed and high order sVAR models in the simulation study.

• The Korean Journal of Applied Statistics
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• v.36 no.4
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• pp.349-360
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• 2023

Dynamic Nelson-Siegel model is widely used in modeling term structure of interest rates for financial products. In this study, we explain dynamic Nelson-Siegel model from the perspective of the state space model and explore Bayesian approaches that can be applied to that model. By applying SOFR term rate data to the Bayesian dynamic Nelson-Siegel model, we confirm the performance and compare it with other competing models such as Vasicek model, dynamic Nelson-Siegel model based on the frequentist approach, and the two-factor Bayesian dynamic Nelson-Siegel model. We also confirm that the Bayesian dynamic Nelson-Siegel model outperformed its competitors on SOFR term rate data based on RMSE.

• The Korean Journal of Applied Statistics
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• v.37 no.2
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• pp.255-263
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• 2024

GDP represents the total market value of goods and services produced by all economic entities, including households, businesses, and governments in a country, during a specific time period. It is a representative economic indicator that helps identify the size of a country's economy and influences government policies, so various studies are being conducted on it. This paper presents a GDP growth rate forecasting model based on a dynamic factor model using key macroeconomic indicators of G20 countries. The extracted factors are combined with various regression analysis methodologies to compare results. Additionally, traditional time series forecasting methods such as the ARIMA model and forecasting using common components are also evaluated. Considering the significant volatility of indicators following the COVID-19 pandemic, the forecast period is divided into pre-COVID and post-COVID periods. The findings reveal that the dynamic factor model, incorporating ridge regression and lasso regression, demonstrates the best performance both before and after COVID.

• Journal of Korean Society on Water Environment
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• v.25 no.5
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• pp.735-741
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• 2009

In order to support the basic information for planning and performing the environment management such as Total Maximum Daily Loads (TMDLs), it is highly recommended to understand the spatial distribution of water quality and runoff data in the unit watersheds. Therefore, in the present study, we applied Self-Organizing Map (SOM) to detect the characteristics of spatial distribution of Biological Oxygen Demand (BOD) concentration and runoff data which have been measured in the Yeongsan, Seomjin, and Tamjin River basins. For the purpose, the input dataset for SOM was constructed with the mean, standard deviation, skewness, and kurtosis values of the respective data measured from the stations of 22-subbasins in the rivers. The results showed that the $4{\times}4$ array structure of SOM was selected by the trial and error method and the best performance was revealed when it classified the stations into three clusters according to the basic statistics. The cluster-1 and 2 were classified primarily by the skewness and kurtosis of runoff data and the cluster-3 including the basic statistics of YB_B, YB_C, and YB_D stations was clearly decomposed by the mean value of BOD concentration showing the worst condition of water quality among the three clusters. Consequently, the methodology based on the SOM proposed in the present study can be considered that it is highly applicable to detect the spatial distribution of BOD concentration and runoff data and it can be used effectively for the further utilization using different water quality items as a data analysis tool.

• The Korean Journal of Applied Statistics
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• v.27 no.6
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• pp.1049-1068
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• 2014

Autoregressive models are used to analyze an univariate time series data; however, these methods can be inappropriate when a structural break appears in a time series since they assume that a trend is consistent. Threshold autoregressive models (popular regime-switching models) have been proposed to address this problem. Recently, the models have been extended to two regime-switching models with delay parameter. We discuss two regime-switching threshold autoregressive models from a Bayesian point of view. For a Bayesian analysis, we consider a parametric threshold autoregressive model and a nonparametric threshold autoregressive model using Dirichlet process prior. The posterior distributions are derived and the posterior inferences is performed via Markov chain Monte Carlo method and based on two Bayesian threshold autoregressive models. We present a simulation study to compare the performance of the models. We also apply models to gross domestic product data of U.S.A and South Korea.

• The Korean Journal of Applied Statistics
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• v.37 no.1
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• pp.103-118
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• 2024

The horseshoe prior is notably one of the most popular priors in sparse regression models, where only a small fraction of coefficients are nonzero. The parameter space of the horseshoe prior is much smaller than that of the spike and slab prior, so it enables us to efficiently explore the parameter space even in high-dimensions. However, on the other hand, the horseshoe prior has a high computational cost for each iteration in the Gibbs sampler. To overcome this issue, various MCMC algorithms for the horseshoe prior have been proposed to reduce the computational burden. Especially, Johndrow et al. (2020) recently proposes an approximate algorithm that can significantly improve the mixing and speed of the MCMC algorithm. In this paper, we compare (1) the traditional MCMC algorithm, (2) the approximate MCMC algorithm proposed by Johndrow et al. (2020) and (3) its variant in terms of computing times, estimation and variable selection performance. For the variable selection, we adopt the sequential clustering-based method suggested by Li and Pati (2017). Practical performances of the MCMC methods are demonstrated via numerical studies.

• Proceedings of the Korea Water Resources Association Conference
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• 2023.05a
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• pp.158-158
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• 2023

Characterizing the performance of precipitation (hereafter PRE) products in estimating the uncertainties in daily PRE in the era of global warming is of great value to the ecosystem's sustainability and human survival. This study intercompares the performance of different PRE products (gauge-based, satellite and reanalysis) sourced from the Frequent Rainfall Observations on GridS (FROGS) database over diverse climate zones in Africa and identifies regions where they depict minimal uncertainties in order to build optimal maps as a guide for different climate users. This is achieved by utilizing various techniques, including the triple collection (TC) approach, to assess the capabilities and limitations of different PRE products over nine climatic zones over the continent. For daily scale analysis, the uncertainties in light PRE (0.1 5mm/day) are prevalent over most regions in Africa during the study duration (2001-2016). Estimating the occurrence of extreme PRE events based on daily PRE 90th percentile suggests that extreme PRE is mainly detected over central Africa (CAF) region and some coastal regions of west Africa (WAF) where the majority of uncorrected satellite products show good agreement. The detection of PRE days and non-PRE days based on categorical statistics suggests that a perfect POD/FAR score is unattainable irrespective of the product type. Daily PRE uncertainties determined based on quantitative metrics show that consistent, satisfactory performance is demonstrated by the IMERG products (uncorrected), ARCv2, CHIRPSv2, 3B42v7.0 and PERSIANN_CDRv1r1 (corrected), and GPCC, CPC_v1.0, and REGEN_ALL (gauge) during the study period. The optimal maps that show the classification of products in regions where they depict reliable performance can be recommended for various usage for different stakeholders.

• Journal of Korean Clinical Health Science
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• v.5 no.4
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• pp.1009-1014
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• 2017

Purpose. This study compared the awareness of the evidence-based practice(EBP) in 100 physical and occupational therapists. Methods. A questionnaire on awareness was conducted to examine the attitude toward EBP, the educational experience of EBP, and the performance ability of EBP. A questionnaire consisted of items on the general characteristics, the attitude toward EBP, the educational experience of EBP, and the performance ability of EBP of the subjects. Data analysis was made by IBM SPSS Statistics Ver. 20. The EBP awareness was examined by the independent t-test. Results. For the attitude toward EBP, there was a statistically significant difference in the item of 'Therapists should judge whether they apply study results to individual patient. For the educational experience of EBP, there was no statistically significant difference in all items. For the performance ability of EBP, there was a statistically significant difference in the item about the ability to understand patient's desire for treatment and treatment preference and the item about the ability to determine appropriate treatment process in cooperation with patients. Conclusions. Both two groups showed very low results in the attitude toward EBP, the educational experience of EBP, and the performance ability of EBP. Therefore, it is necessary to enhance EBP education in undergraduate programs and the clinical field.

• Journal of Korean Society for Quality Management
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• v.44 no.4
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• pp.751-770
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• 2016

Purpose: Two-stage ${\bar{X}}$ chart is a useful tool for process control when a surrogate variable may be used together with a performance variable. This paper extends the two-stage ${\bar{X}}$ chart to a three stage version by decomposing the first stage into the preliminary stage and the main stage. Methods: The expected cost function is derived using Markov-chain approach. The optimal designs are found for numerical examples using a genetic algorithm combined with a pattern search algorithm and compared to those of the two-stage ${\bar{X}}$ chart. Sensitivity analysis is performed to see the parameter effects. Results: The proposed design outperforms the optimal design of the two-stage ${\bar{X}}$ chart in terms of the expected cost per unit time unless the correlation between the performance and surrogate variables is modest and the shift in process mean is smallish. Conclusion: Three-stage ${\bar{X}}$ chart may be a useful alternative to the two-stage ${\bar{X}}$ chart especially when the correlation between the performance and surrogate variables is relatively high and the shift in process mean is on the small side.

• Journal of Korean society of Dental Hygiene
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• v.20 no.4
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• pp.479-490
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• 2020

Objectives: The purpose of this study was to investigate the actual condition of bullying in the workplace by dental hygienists and to determine whether workplace bullying affects job performance. Methods: Data were collected from 308 clinical dental hygienists working in dental medical institutions located in the whole country. Frequency analysis, descriptive statistics, t-test, and ANOVA were performed using SPSS 23.0 for analysis. Results: First, the main targets of bullying in the workplace were senior dental hygienists (53.6%) and dentists (24.7%). Second, the number of turnovers was a significant influence on bullying and job performance according to general characteristics. Finally, the 'improper work environment' among the subfactors of workplace bullying had a negative effect on 'job performance' (p<0.001). Conclusions: Based on the results of the study, we reviewed the actual condition of bullying in the workplace and whether bullying in the workplace affects job performance in the workforce problem of dental hygienists. In this regard, the importance of prevention of bullying in the workplace was discussed.