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이정형,조신섭 한국자료분석학회 2009 Journal of the Korean Data Analysis Society Vol.11 No.4
In this paper, we investigated a stochastic volatility of absolute returns and squared returns of the KOSPI 200 Futures and the KOSPI of Korean stock market for evidence of long memory process, providing new empirical results and extending the extant literature in important dimensions. For measure of long memory, we used the popular estimator by Geweke and Porter-Hudak(GPH, 1983) that based on spectral density. The GPH point estimates range from 0.3263 for KOSPI to 0.5144 for KOSPI 200 Futures. The point estimates for d near and above 0.5 are potentially of concern. The GPH estimates indicate evidence of long memory in the KOSPI 200 Futures and the KOSPI. The GPH estimates, however, are somewhat sensitive to the size of the estimation window. These results apply to the volatility of other financial time series for stock market, providing new statistical evidence of stock market volatilities and reexamining the evidence of long memory. These results, also, provide important information about prediction of volatility of financial time series. Therefore, the risk of a portfolio in order to properly evaluate and predict the financial time series analysts will have to consider stock market volatility. 본 연구에서는 우리나라 주식시장의 KOSPI 200 선물과 KOSPI의 절대수익률(absolute returns)과 제곱수익률(squared returns)에 대한 확률적 변동성을 장기기억과정을 이용하여 설명하였다. 수익률에 대한 장기기억성의 측도로 Geweke and Porter-Hudak(GPH, 1983)의 반모수적(semiparametric) 추정량을 이용하였다. KOSPI 200 선물 및 KOSPI의 절대수익률과 제곱수익률에 대한 GPH 추정 결과 KOSPI의 제곱수익률은 대역폭의 변화에 관계없이 0<d<0.5를 만족하여 장기기억성이 강하게 존재하였으나, KOSPI 200 선물의 절대수익률과 제곱수익률 및 KOSPI의 절대수익률은 GPH 추정량의 대역폭 변화에 따라 장기기억과정을 따르지 않아 장기기억성이 약하게 존재하는 것으로 나타났다. 이러한 결과는 금융시계열의 분산예측에 중요한 정보를 제공하여 각종 금융상품에 대한 포트폴리오의 위험성 평가에 새로운 모형의 필요성을 암시하고 있다. 따라서 포트폴리오의 위험을 적절히 평가하고 예측하기 위해서 분석가들은 금융시계열의 지속적인 변동성을 고려해야만 할 것이다.
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이정형,손건태,김병수,권원태,민승기 한국자료분석학회 2002 Journal of the Korean Data Analysis Society Vol.4 No.2
We performed that using Bayesian approach, detection and attribution test of anthropogenic climate change signal associated with changes in anthropogenic dioxide carbon (CO_2` 본 논문에서는 ECHAM4/OPYC3 자료를 이용하여 관심 영역인 동아시아 영역과 비교 영역인 시베리아 영역에 대하여 베이즈 접근법을 적용하여 기후변화 시그널탐지 및 속성검증을 실시하였다. 동아시아 영역과 시베리아 영역에 대하여 베이즈 접근법을 이용한 기후변화 시그널탐지 결과 시베리아 영역에서는 기후변화의 시그널이 매우 약하게 존재하는 것으로 나타났으나, 동아시아 영역에서는 기후변화의 시그널이 거의 존재하지 않는 것으로 나타났다. 또한 시나리오 자료에 대한 기후변화 원인별 정량화 실시 결과, 동아시아 영역의 ECHAM4/OPYC3 시나리오 자료에서 2090년까지 10년 단위의 기온 변화량의 대부분은 인위적 요인에 의한 변화가 아니라 자연변동성에 의한 변화로 추론할 수 있다.
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이정형 대한영상의학회 1984 대한영상의학회지 Vol.20 No.3
Author analyzed 154 cases of transabdominal ultrasonography of normal adults who had normal urinalysis, no complaint of symptoms related with urinary system and no evidence of prostate disease. The maximum anteroposterior, transverse and longitudinal diameters of prostate were measured. The weight of prostate was computed using the formula for the weitht of ellipsoid of prostate were measured. The weight of prostate was computed using the formula for the weitht of ellipsoid object (W=SGx4/3$\pi$ xl.r2.r3, w; weight, SG; specific gravity about 1.05 gm/ml, r; radius of prostate in any dimension) The result were as follows; 1. The average sizes of prostate were 4.12 $\pm$0.68cm in trasverse diameter, 3.46$\pm$0.49cm in longitudinal diameter and 2.36$\pm$0.40cm in AP diameter Transverse diameter was the longest and AP diameter was the shortest in all cases. 2. The average weight of prostate in each age groups were 19.25$\pm$6.78gm in the 3rd decade, 16.64$\pm$5.18gm in the 4th decade, 16.28$\pm$5.31gm in the 5th decade, 22.31 $\pm$6.95gm in the 6th decade and 23.06$\pm$8.18gm in over the 7th decade. The average weight of prostate in groups more than 50 years of age were significantly greater than younger age groups (p<0.005). Total aberage weight was 18.96$\pm$6.78gm. 3. the distribution of prostate weighing over 30gm in each groups were 14.29% (5/35) in the 3rd decade, 0% (0/34) in the 4th decade, 2.63% (1/38) in the 5th decade, 20% (6/30) in the 6th decade and 23.5% (4/17) in the 7th decade.
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최적지문법과 베이즈방법을 이용한 동아시아 지역의 인위적 기후변화 탐지
이정형 동아대학교 경영대학 2002 經營硏究 Vol.- No.15
Statistical analyses play a fundamental role in climate assessment. Many of methods known as fingerprinting have strong roots in classical statistical hypothesis testing and regression analysis. An alternative to the traditional statistical viewpoint is offered by Bayesian method. We develop an optimal fingerprint methodology and a Bayesian fingerprinting methodology for assessing anthropogenic impacts on climate. Our analysis considers the effect of increased CO₂ and combined sulfate aerosol/CO₂ on near surface air temperatures of nine GCMs. The caveats regarding the signals and natural variability noise which form the basis of this study numerous. Nevertheless, we have provided firs evidence that components of CO₂ and combined sulfate aerosol/CO₂ signals are identifiable in the observed near surface air temperature data. The facts that we have been able to detect the detailed spatial signature in response to CO₂ and combined sulfate aerosol/CO₂ forcing suggests that some of the regional-scale background noise is in fact part of the signal of CO₂ and combined sulfate aerosol/CO₂ effect on climate. While our confidence in the identification of an anthropogenic effect on climate is high, we have not shown conclusively that the signal identified can be attributed to the cause of anthropogenic CO₂ and combined anthropogenic sulfate aerosol/CO₂. We have taken a first step in the direction of attribution by showing that agreement between modeled and observed changes exists at relatively small spatial scales. Enhancing our confidence in the attribution of observed climate changes to anthropogenic causes will require the elimination of other forcing mechanism as possible explanations for the observed changes. This should provide strong motivation for future modeling studies.
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