• Title/Summary/Keyword: statistical dependence

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The Likelihood for a Two-Dimensional Poisson Exceedance Point Process Model

  • Yun, Seok-Hoon
    • Communications for Statistical Applications and Methods
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    • v.15 no.5
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    • pp.793-798
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    • 2008
  • Extreme value inference deals with fitting the generalized extreme value distribution model and the generalized Pareto distribution model, which are recently combined to give a single model, namely a two-dimensional non-homogeneous Poisson exceedance point process model. In this paper, we extend the two-dimensional non-homogeneous Poisson process model to include non-stationary effect or dependence on covariates and then derive the likelihood for the extended model.

Fluid Queueing Model with Fractional Brownian Input

  • Lee, Jiyeon
    • Communications for Statistical Applications and Methods
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    • v.9 no.3
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    • pp.649-663
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    • 2002
  • We consider an unlimited fluid queueing model which has Fractional Brownian motion(FBM) as an input and a single server of constant service rate. By using the result of Duffield and O'Connell(6), we investigate the asymptotic tail-distribution of the stationary work-load. When there are multiple homogeneous FBM inputs, the workload distribution is similar to that of the queue with one FBM input; whereas for the heterogeneous sources the asymptotic work-load distributions is dominated by the source with the largest Hurst parameter.

Long Memory Characteristics in the Korean Stock Market Volatility

  • Cho, Sinsup;Choe, Hyuk;Park, Joon Y
    • Communications for Statistical Applications and Methods
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    • v.9 no.3
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    • pp.577-594
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    • 2002
  • For the estimation and test of long memory feature in volatilities of stock indices and individual companies semiparametric approach, Geweke and Porter-Hudak (1983), is employed. Empirical study supports the strong evidence of volatility persistence in Korean stock market. Most of indices and individual companies have the feature of long term dependence of volatility. Hence the short memory models are unable to explain the volatilities in Korean stock market.

Dependent F Ratios Sharing a Common Cenominator in ANOVA Table

  • Kang, Phillee
    • Journal of the Korean Statistical Society
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    • v.24 no.1
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    • pp.111-125
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    • 1995
  • Let $F_1$ and $F_2$ be two F ratios with independent numerators and a common denominator. They are known to be positively dependent. The probabilities of simultaneous rejection and conditional rejection are numerically computed for both null and nonnull cases. The probabilities are presented in tables and graphics to show the influence of the seven parameters, the degrees of freedom of the numerators and the denominator, the non-centralities of the numerators, and the two levels of significance of the tests. The values of the correlation coefficient between $F_1$ and $F_2$ are also presented. Finally, a conjecture on the dependence order of the family of distributions of $(F_1, F_2)$ is given.

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A Note on Stationary Linearly Positive Quadrant Dependent Sequences

  • Kim, Tae-Sung
    • Journal of the Korean Statistical Society
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    • v.24 no.1
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    • pp.249-256
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    • 1995
  • In this note we prove an invariance principle for strictly stationary linear positive quadrant dependent sequences, satifying some assumption on the covariance structure, $0 < \sum Cov(X_1,X_j) < \infty$. This result is an extension of Burton, Dabrowski and Dehlings' invariance principle for weakly associated sequences to LPQD sequences as well as an improvement of Newman's central limit theorem for LPQD sequences.

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Effective Bandwidth for a Single Server Queueing System with Fractional Brownian Input

  • Kim, Sung-Gon;Nam, Seung-Yeob;Sung, Dan-Keun
    • Proceedings of the Korean Statistical Society Conference
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    • 2003.10a
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    • pp.1-8
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    • 2003
  • The traffic patterns of today's IP networks exhibit two important properties: self-similarity and long-range dependence. The fractional Brownian motion is widely used for representing the traffic model with the properties. We consider a single server fluid queueing system with input process of a fractional Brownian motion type. Formulas for effective bandwidth are derived in a single source and multiple source cases.

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The Ordering of Hitting Times of Multivariate Processes

  • Baek, Jong-Il
    • Journal of the Korean Statistical Society
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    • v.25 no.4
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    • pp.545-556
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    • 1996
  • In this paper, we introduce a new concept of partial ordering which permits us to compare pairs of the dependence structures of a new hitting times for POD multivariate vector process of interest as to their degree of POD-ness. We show that POD ordering is closed under convolution, limit in distribution, compound distribution, mixture of a certain type and convex combination. Finally, we present several examples of POD ordering processes.

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No Arbitrage Condition for Multi-Facor HJM Model under the Fractional Brownian Motion

  • Rhee, Joon-Hee;Kim, Yoon-Tae
    • Communications for Statistical Applications and Methods
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    • v.16 no.4
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    • pp.639-645
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    • 2009
  • Fractional Brwonian motion(fBm) has properties of behaving tails and exhibiting long memory while remaining Gaussian. In particular, it is well known that interest rates show some long memories and non-Markovian. We present no aribitrage condition for HJM model under the multi-factor fBm reflecting the long range dependence in the interest rate model.

Analysis of Linear Regression Model with Two Way Correlated Errors

  • Ssong, Seuck-Heun
    • Journal of the Korean Statistical Society
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    • v.29 no.2
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    • pp.231-245
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    • 2000
  • This paper considers a linear regression model with space and time data in where the disturbances follow spatially correlated error components. We provide the best linear unbiased predictor for the one way error components. We provide the best linear unbiased predictor for the one way error component model with spatial autocorrelation. Further, we derive two diagnostic test statistics for the assessment of model specification due to spatial dependence and random effects as an application of the Lagrange Multiplier principle.

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