• Title/Summary/Keyword: vector decomposition

Search Result 244, Processing Time 0.032 seconds

A Leading Price Estimation of Jeju Flounder Producer Prices by Fish Weight and a Dynamic Influence Analysis of Market Price Impulse (중량별 제주 넙치 산지가격의 선도가격 추정 및 시장가격 충격에 대한 동태적 영향 분석)

  • SON, Jingon;NAM, Jongoh
    • Journal of Fisheries and Marine Sciences Education
    • /
    • v.28 no.1
    • /
    • pp.198-210
    • /
    • 2016
  • This study firstly aims to estimate a leading-price of Jeju flounders with various price-classes by fish weight and secondly plans to provide policy implications of flounder purchase projects by understanding dynamic changes and interactions among flounder producer price-classes caused by price impulses in the market. This study applies an unit root test for stability of data, uses a Granger causality test to estimate the leading-price among producer prices by fish weight, employs the vector autoregressive model to analyze statistical impacts among t-1 variables used in models, and finally utilizes impulse response analyses and forecast error variance decomposition analyses to understand dynamic changes and interactions among change rates of the producer prices caused by price impulses in the market. The results of the study are as follows. Firstly, KPSS, PP, and ADF tests show that the change rate of Jeju flounder monthly producer prices by fish weight differentiated by logarithm is stable. Secondly, the Granger causality test presents that the change rate of the 1kg flounder producer price strongly leads it of 500g, 700g, and 2kg flounder producer prices respectively. Thirdly, the vector autoregressive model indicates that the change rate of the 1kg producer price in t-1 period statistically, significantly influences it of own weight in t period and also slightly affects price change rates of other weights in t period. Fourthly, the impulse response analysis indicates that impulse responses of structural shocks for the change rate of the 1kg producer price are relatively more powerful in its own weight and in other weights than shocks emanating from price change rates of other weights. Fifthly, the variance decomposition analysis points out that the change rate of the 1kg producer price is relatively more influential than it of 500g, 700g, and 2kg producer prices respectively. In conclusion, the change rate of the 1kg Jeju flounder producer price leads the change rates of other ones and Jeju purchase projects need to be targeted to the 1kg Jeju flounder producer price as the purchase project implemented in 2014.

Dynamic Integration and Causal Relationships between Stock Price Indexes (주가지수간의 동태적 통합 및 인과관계 분석)

  • 김태호;박지원
    • The Korean Journal of Applied Statistics
    • /
    • v.17 no.2
    • /
    • pp.239-252
    • /
    • 2004
  • It is known that the domestic and the U.S. stock prices tend to move together as those markets are closely interrelated. In this study, cointegration and causal relationships among the four stock price indexes of KOSPI, KOSDAQ, DOWJONES and NASDAQ are carefully investigated for the period of declining stock prices in the long run. When all indexes move in a similar fashion, cointegration does not exist and the causal linkages between the domestic and the U.S. stock prices appear relatively complex. On the other hand, when the domestic and the V.S. stock prices move in a different manner, cointegration exists and the causal relationships appear relatively simple. NASDAQ is apparently found to lead the domestic stock market in both periods, which is consistent with the actual market situation when the If industry is under recession.

Impulse Response of Inflation to Economic Growth Dynamics: VAR Model Analysis

  • DINH, Doan Van
    • The Journal of Asian Finance, Economics and Business
    • /
    • v.7 no.9
    • /
    • pp.219-228
    • /
    • 2020
  • The study investigates the impact of inflation rate on economic growth to find the best-fit model for economic growth in Vietnam. The study applied Vector Autoregressive (VAR), cointegration models, and unit root test for the time-series data from 1996 to 2018 to test the inflation impact on the economic growth in the short and long term. The study showed that the two variables are stationary at lag first difference I(1) with 1%, 5% and 10%; trace test indicates two cointegrating equations at the 0.05 level, the INF does not granger cause GDP, the optimal lag I(1) and the variables are closely related as R2 is 72%. It finds that the VAR model's results are the basis to perform economic growth; besides, the inflation rate is positively related to economic growth. The results support the monetary policy. This study identifies issues for Government to consider: have a comprehensive solution among macroeconomic policies, monetary policy, fiscal policy and other policies to control and maintain the inflation and stimulate growth; set a priority goal for sustainable economic growth; not pursue economic growth by maintaining the inflation rate in the long term, but take appropriate measures to stabilize the inflation at the best-fitted VAR forecast model.

Do Real Interest Rate, Gross Domestic Savings and Net Exports Matter in Economic Growth? Evidence from Indonesia

  • SUJIANTO, Agus Eko;PANTAS, Pribawa E.;MASHUDI, Mashudi;PAMBUDI, Dwi Santosa;NARMADITYA, Bagus Shandy
    • The Journal of Asian Finance, Economics and Business
    • /
    • v.7 no.11
    • /
    • pp.127-135
    • /
    • 2020
  • This study aims to measure the effects of real interest rate (RIR), gross domestic savings (GDS), and net exports (EN) shocks on Indonesia's economic growth (EG). The focus on Indonesia is unique due to the abundant resources available in the nation, but they are unsuccessful in boosting economic growth. This study applied a quantitative method to comprehensively analyze the correlation between variables by employing Vector Autoregression Model (VAR) combined with Vector Error Correction Model (VECM). Various procedures are preformed: Augmented Dickey-Fuller test (ADF), Optimum Lag Test, Johansen Cointegration Test, Granger Causality Test, as well as Impulse Response Function (IRF) and Error Variance Decomposition Analysis (FEVD). The data were collected from the World Bank and the Asian Development Bank from 1986 to 2017. The findings of the study indicated that economic growth responded positively to real interest rate shocks, which implies that when the real interest rate experiences a shock (increase), the economy will be inclined to growth. While, economic growth responded negatively to gross domestic savings and net export shocks. Policymakers are expected to consider several matters, particularly the economic conditions at the time of formulating policy, so that the prediction effectiveness of a policy can be appropriately assessed.

An Application of Canonical Analysis on the Distribution of Lichens in Mt. Duckyuoo (덕유산 지의식물 분포에 대한 정준분석법의 적용연구)

  • Park, Seung Tai
    • The Korean Journal of Ecology
    • /
    • v.9 no.3
    • /
    • pp.135-147
    • /
    • 1986
  • The simplification and the searching trends of complex data which assumed relationship between predictor variables and object variables are one of primary objective of ecological research. This study was aimed to apply cononical analysis consisting of canonical correlation analysis and canonical variate analysis related to lichen vegetation and several environmental variables which are elevation, height on grond, exposure side and cover values. Data collected from the Duckyoo National Park in August 1985. Lichen species was ranked by eqivocation information theory with cover values. Canonical correlation analysis was applied to one data set both set both environmental variables and lichem family. In order to make two sets of data matrix the scale of position vector ordination was calculated from the vector scalar product for lichen species. Canonical variate analysis was applied to rearranged data which was made by interval class code for environmental variables. The sharpness values was calculated in frequency of cotingency tables and the dispersion profiles of each species in classes of environmental variables was designed to extract component values based on the decomposition of expected frequencies in contingency table. The results of canonical correlation analysis revealed canonical first correlation value 0.815(89%), and second correlation value 0.083(11%). Significance test showed that the hypothesis of joint mutuallity of canonical correlation is accepted (P>0.05). The relation between canonical score of vegetation variables and that of environmental variable indicated linear tendency.

  • PDF

An Improved Motion Compensated Temporal Filtering for Efficient Scalable Video Coding (효율적인 스케일러블 비디오 부호화를 위한 향상된 움직임 보상 시간적 필터링 방법)

  • Jeon, Ki-Cheol;Kim, Jong-Ho;Jeong, Je-Chang
    • The Journal of Korean Institute of Communications and Information Sciences
    • /
    • v.32 no.5C
    • /
    • pp.520-529
    • /
    • 2007
  • In this paper, we study the characteristics of parameters which are related to performance of MCTF which is a key technique for wavelet-based scalable video coding, and propose an improved MCTF method. The proposed MCTF method adopts the motion estimation of which motion vector field is distributed more uniformly using variable block sizes. By using the proposed method, the decomposition performance of temporal filter is improved, and the energy in high-frequency frames is reduced. It can help the entropy coder to generate lower bitrate. From simulation results, we verify the decomposed energy on high-frequency frame using the proposed method is reduced by 25.86% at the most in terms of variance of the high-frequency frame.

A Dynamic Study on Housing and Stock Market in Europe : Focused on Greece

  • JEONG, Dong-Bin
    • East Asian Journal of Business Economics (EAJBE)
    • /
    • v.8 no.1
    • /
    • pp.57-69
    • /
    • 2020
  • Purpose - This study examines what are the asset market fluctuations in Europe and how each economic variable affects major variables, and explore the dynamics of housing and stock market through Greece. The variables under consideration are balance on current account (BCA), index of stock (STOCK), gross domestic product (GDP), housing price indices (HOUSING), M3, real rate of interest (IR_REAL) and household credits (LOAN). We investigate the functional and causal relationships between housing and stock market. Research design, data, and methodology - Vector error correction model (VECM) is used to figure out the dynamic relationships among variables. This study also contains the augmented Dickey-Fuller unit root, cointegration, Granger causality test, and impulse response function and variance decomposition analysis by EViews 11.0. Results - The statistical tests show that all variables under consideration have one unit root and there is a longterm equilibrium relationship among variables for Greece. GDP, IR_REAL, M3, STOCK and LOAN can be considered as causal factors to affect real estate market, while GDP, LOAN, M3, BCA and HOUSING can bring direct effects to stock market in Greece. Conclusions - It can be judged that the policy that affects the lending policy of financial institutions may be more effective than the indirect variable such as monetary interest rate.

The Fiscal Policy Instruments and the Economic Prosperity in Jordan

  • ALZYADAT, Jumah A.;AL-NSOUR, Iyad A.
    • The Journal of Asian Finance, Economics and Business
    • /
    • v.8 no.1
    • /
    • pp.113-122
    • /
    • 2021
  • This study aims to investigate the effects of fiscal policy instruments on economic growth in Jordan using annual data from 1970 to 2019, by applying the VAR model (Vector Auto regression) and the Vector Error Correction Model (VECM). The study also examines the dynamic relationship among economic variables over time using the Granger casualty test, Impulse Response Function, and Variance Decomposition. The results show that not only the public expenditures have a positive effect on economic growth in Jordan, but also the tax revenues positively affect the economic growth in the short-run, and this is because of using the tax revenues to finance the government activities in Jordan. This effect becomes negative in the long run, and this is explained because the tax seems a source of distortions in the economy, The extreme taxes may cause huge distortions in the economy, and these distortions destroys the purchasing power, the aggregate demand, and supply. More governmental dependence on tax revenues is the main source of tax evasion and less efficiency. The effect of taxation will curb any prosperity in the economy. Therefore, the government should estimate the fair tax rates to generate sufficient revenues to finance the public expenditure required to enhance economic prosperity.

The Impact of COVID-19 on Individual Industry Sectors: Evidence from Vietnam Stock Exchange

  • TU, Thi Hoang Lan;HOANG, Tri M.
    • The Journal of Asian Finance, Economics and Business
    • /
    • v.8 no.7
    • /
    • pp.91-101
    • /
    • 2021
  • The paper examines the impact of the COVID-19 pandemic on the stock market prices. The vector autoregression model (VAR) has been used in this analysis to survey 341 stocks on the Ho Chi Minh City Stock Exchange (HOSE) for the period from January 23, 2020 to December 31, 2020. The empirical results obtained from the analysis of 11 economic sectors suggest that there is a statistically significant impact relationship between COVID-19 and the healthcare and utility industries. Additional findings show a statistically significant negative impact of COVID-19 on the utility share price at lag 1. Analysis of impulse response function (IRF) and forecast error variance decomposition (FEVD) show an inverse reaction of utility stock prices to the impact of COVID-19 and a gradual disappearing shock after two steps. Major findings show that there is a clear negative effect of the COVID-19 pandemic on share prices, and the daily increase in the number of confirmed cases, indicate that, in future disease outbreaks, early containment measures and positive responses are necessary conditions for governments and nations to protect stock markets from excessive depreciation. Utility stocks are among the most severely impacted shares on financial exchanges during a pandemic due to the high risk of immediate or irreversible closure of manufacturing lines and poor demand for basic amenities.

Multi-Vector Document Embedding Using Semantic Decomposition of Complex Documents (복합 문서의 의미적 분해를 통한 다중 벡터 문서 임베딩 방법론)

  • Park, Jongin;Kim, Namgyu
    • Journal of Intelligence and Information Systems
    • /
    • v.25 no.3
    • /
    • pp.19-41
    • /
    • 2019
  • According to the rapidly increasing demand for text data analysis, research and investment in text mining are being actively conducted not only in academia but also in various industries. Text mining is generally conducted in two steps. In the first step, the text of the collected document is tokenized and structured to convert the original document into a computer-readable form. In the second step, tasks such as document classification, clustering, and topic modeling are conducted according to the purpose of analysis. Until recently, text mining-related studies have been focused on the application of the second steps, such as document classification, clustering, and topic modeling. However, with the discovery that the text structuring process substantially influences the quality of the analysis results, various embedding methods have actively been studied to improve the quality of analysis results by preserving the meaning of words and documents in the process of representing text data as vectors. Unlike structured data, which can be directly applied to a variety of operations and traditional analysis techniques, Unstructured text should be preceded by a structuring task that transforms the original document into a form that the computer can understand before analysis. It is called "Embedding" that arbitrary objects are mapped to a specific dimension space while maintaining algebraic properties for structuring the text data. Recently, attempts have been made to embed not only words but also sentences, paragraphs, and entire documents in various aspects. Particularly, with the demand for analysis of document embedding increases rapidly, many algorithms have been developed to support it. Among them, doc2Vec which extends word2Vec and embeds each document into one vector is most widely used. However, the traditional document embedding method represented by doc2Vec generates a vector for each document using the whole corpus included in the document. This causes a limit that the document vector is affected by not only core words but also miscellaneous words. Additionally, the traditional document embedding schemes usually map each document into a single corresponding vector. Therefore, it is difficult to represent a complex document with multiple subjects into a single vector accurately using the traditional approach. In this paper, we propose a new multi-vector document embedding method to overcome these limitations of the traditional document embedding methods. This study targets documents that explicitly separate body content and keywords. In the case of a document without keywords, this method can be applied after extract keywords through various analysis methods. However, since this is not the core subject of the proposed method, we introduce the process of applying the proposed method to documents that predefine keywords in the text. The proposed method consists of (1) Parsing, (2) Word Embedding, (3) Keyword Vector Extraction, (4) Keyword Clustering, and (5) Multiple-Vector Generation. The specific process is as follows. all text in a document is tokenized and each token is represented as a vector having N-dimensional real value through word embedding. After that, to overcome the limitations of the traditional document embedding method that is affected by not only the core word but also the miscellaneous words, vectors corresponding to the keywords of each document are extracted and make up sets of keyword vector for each document. Next, clustering is conducted on a set of keywords for each document to identify multiple subjects included in the document. Finally, a Multi-vector is generated from vectors of keywords constituting each cluster. The experiments for 3.147 academic papers revealed that the single vector-based traditional approach cannot properly map complex documents because of interference among subjects in each vector. With the proposed multi-vector based method, we ascertained that complex documents can be vectorized more accurately by eliminating the interference among subjects.