• Communications for Statistical Applications and Methods
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• v.21 no.4
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• pp.335-347
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• 2014

This paper employs dynamic conditional correlation (DCC) model to examine time-varying comovement in the Korean stock market with a focus on the financial industry. Analyzing the daily returns of KOSPI 200 eight sector indices from January 2008 to December 2013, we find that stock market correlations significantly increased during the GFC period. The Financial Sector had the highest correlation between the Constructions-Machinery Sector; however, the Consumer Discretionary and Consumer Staples sectors indicated a relatively lower correlation between the Financial Sector. In terms of model fitting, the DCC with t distribution model concludes as the best among the four alternatives based on BIC, and the estimated shape parameter of t distribution is less than 10, implicating a strong tail dependence between the sectors. We report little asymmetric effect in correlation dynamics between sectors; however, we find strong asymmetric effect in volatility dynamics for each sector return.

• Journal of Electrical Engineering and Technology
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• v.9 no.6
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• pp.2098-2106
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• 2014

In the area of clustering, there are numerous approaches to construct clusters in the input space. For regression problem, when forming clusters being a part of the overall model, the relationships between the input space and the output space are essential and have to be taken into consideration. Conditional Fuzzy C-Means (c-FCM) clustering offers an opportunity to analyze the structure in the input space with the mechanism of supervision implied by the distribution of data present in the output space. However, like other clustering methods, c-FCM focuses on the distribution of the data. In this paper, we introduce a new method, which by making use of the ambiguity index focuses on the boundaries of the clusters whose determination is essential to the quality of the ensuing classification procedures. The introduced design is illustrated with the aid of numeric examples that provide a detailed insight into the performance of the fuzzy classifiers and quantify several essentials design aspects.

• Communications for Statistical Applications and Methods
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• v.5 no.3
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• pp.887-894
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• 1998

Let T=( $T_1$,…, $T_{k}$;k$\geq$2) be a minimal sufficient and complete statistic for a k-parameter exponential model. Consider a partition of T into ( $T_1$, $T_2$), where $T_1$=( $T_1$,…, $T_{r}$ and $T_2$=( $T_{r+1}$,…, $T_{k}$1$\leq$r$\leq$k-1/). This article represents a way to obtain higher moments such as skewness and kurtosis for the distribution T and the conditional distribution of $T_1$, given $T_2$= $t_2$. These results are illustrated by some examples.s.les.s.

• Communications for Statistical Applications and Methods
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• v.19 no.5
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• pp.673-683
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• 2012

Cabral et al. (2012) defined a mixture model of multivariate skew t-distributions(STMM), and proposed the use of an ECME algorithm (a variation of a standard EM algorithm) to fit the model. Their estimation by the ECME algorithm is closely related to the estimation of the degree of freedoms in the STMM. With the ECME, their purpose is to escape from the calculation of a conditional expectation that is not provided by a closed form; however, their estimates are quite unstable during the procedure of the ECME algorithm. In this paper, we provide a conditional expectation as a closed form so that it can be easily calculated; in addition, we propose to use the ECM algorithm in order to stably fit the STMM.

• Journal of the Korean Data and Information Science Society
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• v.26 no.6
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• pp.1495-1500
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• 2015

We obtain means and variances of max {X, Y} and min {X, Y} in the underlying Morgenstern type bivariate uniform variables X and Y with same scale parameters and different scale parameters respectively. And we obtain the conditional expectations in the underlying Morgenstern type bivariate uniform variables. Here, we shall consider the conditional expectations to know the dependence of one variable on the other variable and we consider the behaviors of means and variances of max {X, Y} and min {X, Y} with respect to changes in means, variances, and the correlation coeffcient of the underlying Morgenstern type bivariate uniform variables.

• Proceedings of the Safety Management and Science Conference
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• 1999.11a
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• pp.147-155
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• 1999

This paper discusses an optimal burn-in procedure to minimize total costs based on the assumption that the failure rate pattern follows a bimodal mixed Weibull distribution. The procedure will consider warranty period as a factor of the total expected burn-in cost. A cost model is formulated to find the optimal burn-in time that minimizes the expected burn-in cost. Conditional reliability for warranty period will be discussed. An illustrative example is included to show how to use the cost model in practice.

• Communications for Statistical Applications and Methods
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• v.19 no.1
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• pp.107-115
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• 2012

Yoo and Cook (2007) developed an optimal sufficient dimension reduction methodology for the conditional mean in multivariate regression and it is known that their method is asymptotically optimal and its test statistic has a chi-squared distribution asymptotically under the null hypothesis. To check the effect of dimension used in estimation on regression coefficients and the explanatory power of the conditional mean model in multivariate regression, we applied their method to several simulated data sets with various dimensions. A small simulation study showed that it is quite helpful to search for an appropriate dimension for a given data set if we use the asymptotic test for the dimension as well as results from the estimation with several dimensions simultaneously.

• Communications for Statistical Applications and Methods
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• v.16 no.2
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• pp.287-297
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• 2009

In terms of generalized autoregressive conditional heteroscedastic(GARCH) model, estimation of prediction interval based on likelihood is quite sensitive to distribution of error. Moveover, it is not an easy job to construct prediction interval for conditional variance. Recent studies show that the bootstrap method can be one of the alternatives for solving the problems. In this paper, we introduced the bootstrap approach proposed by Pascual et al. (2006). We employed it to Korean stock price data set.

• Journal of Korea Society of Industrial Information Systems
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• v.6 no.2
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• pp.16-22
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• 2001

In this paper we mose a new scheme for recognition of deformed letters by extracting feature vectors based on Gibbs distributions which are well suited for representing the spatial continuity. The extracted feature vectors are comprised of 2-D conditional moments which are invariant under translation, rotation, and scale of an image. The Algorithm for pattern recognition of deformed letters contains two parts: the extraction of feature vector and the recognition process. (i) We extract feature vector which consists of an improved 2-D conditional moments on the basis of estimated conditional Gibbs distribution for an image. (ii) In the recognition phase, the minimization of the discrimination cost function for a deformed letters determines the corresponding template pattern. In order to evaluate the performance of the proposed scheme, recognition experiments with a generated document was conducted. on Workstation. Experiment results reveal that the proposed scheme has high recognition rate over 96%.

• Tunnel and Underground Space
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• v.15 no.2 s.55
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• pp.129-136
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• 2005

This paper describes the implementation of rock mass rating evaluation based on genetic algorithm(GA) and conditional simulation technique to estimate RMR in the area without sufficient borehole data RMR were estimated by GA and conditional simulation technique with reflecting distribution feature and spatial correlation. And RMR determined by GA were compared with the results from kriging. Through the analysis of the results from 30 simulations, the uncertainty of estimation could be quantified.