• Journal of the Korean Data and Information Science Society
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• v.17 no.4
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• pp.1091-1098
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• 2006

Park et al.(2005) and Choi et al.(2006) studied quick detection of variance change point for time series data in progress. For efficient detection they used moving variance ratio equipped with two tuning parameters; information tuning parameter p and lag tuning parameter q. In this paper, the moving variance ratio is studied under harsh conditions.

• Communications for Statistical Applications and Methods
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• v.17 no.2
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• pp.223-229
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• 2010

We consider the asymptotic results of the variance ratio statistic when the underlying processes have moving average(MA) unit roots. This degenerate situation of zero spectral density near the origin cause the limit of the variance ratio to become zero. Its asymptotic behaviors are different from non-degenerating case, where the convergence rate of the variance ratio statistic is formally derived.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.10
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• pp.523-530
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• 2020

The efficient market hypothesis explains the random walk hypothesis suggesting that stock prices are independent of each other, hence, it is impossible to earn abnormal profits. The positive effect of a well-functioning and highly efficient stock market on the performance of an economy motivated the Philippine Stock Exchange to pursue massive modernization initiatives. This research provides evidence of the existence of random walk in the Philippine stock market employing the Augmented Dickey-Fuller (1981) and Phillips-Perron (1988) unit root tests, the Lo-MacKinlay's (1988) conventional variance ratio test, and Chow-Denning's (1993) simple multiple variance ratio test. Results of the ADF and PP unit root tests confirm the necessary condition for a random walk. The Chow-Denning (1993) maximum /z/ statistic and the Wald test statistic as in Richardson and Smith (1991) for the joint hypotheses and the Lo and MacKinlay (1988) individual statistics variance ratio test generally accepted the null hypothesis of a random walk. That is, the unit root and variance ratio tests consistently indicate that the null hypothesis of random walk cannot be rejected. The existence of a random walk in weak-form efficiency can be attributed to market liquidity as a result of continuous development and modernization of the Philippine equity market.

• Management & Information Systems Review
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• v.26
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• pp.293-309
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• 2008

This study examined the market efficiency of korea stock market by comparing variance ratios(VR) of stock groups which is sorted by market capitalization. We compute variance ratios of KOSPI large capitalization, midium capitalization, and small capitalization for 546 trading days from 2006/01/02 to 2008/04/15. For our study, we also use high frequency data that is; intra-day 1 minute data. The characteristics of variance ratios of stock groups by market capitalization as follows: From 1 to 5 minute interval, variance ratios of three stock group increase far from zero(0). The longer time interval, the more variance ratios decrease, but only large capitalization converge on around zero. This means that the market of large capitalization is more efficient compare to other stock groups. The entire sample period can be divided two sub-period because the impact of sub prime crisis arised from U.S.A. influences Korea stock market. Before sub prime crisis, the VRs of mid cap and small cap do not converge on around zero except large cap although the time interval is longer. After sub prime crisis, the VRs of three stock groups decrease when time interval is longer, but only large cap converge on around zero. We conclude that large cap is more efficient than other stock groups in Korea Stock Market.

• Journal of the Korean Data and Information Science Society
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• v.24 no.4
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• pp.911-918
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• 2013

This study deals with the small sample likelihood based inference for the ratio of two normal variances. The small sample likelihood inference is an approximation method. The signed log-likelihood ratio statistic and the modified signed log-likelihood ratio statistic, which converge to standard normal distribution, are proposed for the normal variance ratio. Through the simulation study, the coverage probabilities of confidence interval and power of the exact, the signed log-likelihood and the modified signed log-likelihood ratio statistic will be compared. A real data example will be provided.

• Journal of the Korean Data and Information Science Society
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• v.17 no.2
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• pp.559-568
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• 2006

In this paper, we develop the noninformative priors for the linear mixed models when the parameter of interest is the ratio of variance components. We developed the first and second order matching priors. We reveal that the one-at-a-time reference prior satisfies the second order matching criterion. It turns out that the two group reference prior satisfies a first order matching criterion, but Jeffreys' prior is not first order matching prior. Some simulation study is performed.

• Journal of the Korean Data and Information Science Society
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• v.16 no.2
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• pp.173-183
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• 2005

This paper studies quick detection of variance change point for iid data. For development of sensitive and adaptive variance change point detector, moving variance ratio is employed as a variance ratio estimator. It is shown that selection of tuning parameters of detector, (i.e., information and lag tuning parameters) is critical for detector to achieve desirable sensitivity and adaptiveness. Interestingly our simulation result reveals limitations of the commonly used change ratio against the previous day. Our results will provide useful insight when the detector is applied to time series data.

• Journal of the Korean Data and Information Science Society
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• v.28 no.2
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• pp.443-449
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• 2017

Estimation of population proportion like the distribution rate of LED TV and the prevalence of a disease are often estimated based on survey sample data. Population proportion is generally considered as a special form of population mean. In complex sampling like stratified multistage sampling with unequal probability sampling, the denominator of mean may be random variable and it is estimated like ratio estimator. In this research, we examined the estimation of distribution rate based on stratified multistage sampling, and determined some numerical outcomes using stratified random sample data with about 25% of missing observations. In the data used for this research, the survey weight was determined by deterministic way. So, the weights are not random variable, and the population distribution rate and its variance estimator can be estimated like population mean estimation. When the weights are not random variable, if one estimates the variance of proportion estimator using ratio method, then the variances may be inflated. Therefore, in estimating variance for population proportion, we need to examine the structure of data and survey design before making any decision for estimation methods.

• Journal of the Korean Statistical Society
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• v.29 no.4
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• pp.385-394
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• 2000

Jackknife variance estimation based on adjusted imputed values when nonresponse is nonrandom and follow-up data are available for a subsample of nonrespondents is provided. Both hot-deck and ratio imputation method are considered as imputation method. The performance of the proposed variance estimator under nonrandom response mechanism is investigated through numerical simulation.

• Journal of Korean Society for Quality Management
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• v.38 no.4
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• pp.580-586
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• 2010

Performance variations in mixture products such as medicine, food, and chemicals can be caused by their own subcomponents. For instance, a discharge capacity of a lithium-ion battery depends upon the mixture ratio of ethylene, dimethyle, and ethyle-methyle, all of which are subcomponents of an electrolyte solution in the battery. Thus it is crucial to determine tolerances of the mixture ratio in order to maintain the product quality at a desired level. This paper is concerned with the tolerance design of the mixture ratio. In particular, minimizing variance around the mixture ratio is adopted as a decision criterion in this paper. An illustrative example with multiple quality characteristics is given as well.