석유공급교란에 대한 변화점 분석 및 분포 추정: 베이지안 접근 = A Change-Point Analysis of Oil Supply Disruption: Bayesian Approach

다국어 초록 (Multilingual Abstract)

Using statistical methods a change-point analysis of oil supply disruption is conducted. The statistical distribution of oil supply disruption is a weibull distribution. The detection of the change-point is applied to Bayesian method and weibull parameters are estimated through Markov chain monte carlo and parameter approach. The statistical approaches to the estimation for the change-point and weibull parameters is implemented with the sets of simulated and real data with small sizes of samples.1. 서 론攀Leiby(1997)가 석유비축모형의 핵심인 석유공급교란의 형태를 파악하고자 와이블분포를 도입하였다. 일반적으로 와이블분포는 실패율 및 수명과 같은 자료에 사용되었으며, 모수추정에 관한 연구도 오래전부터 수행되어왔다. 본 논문에서 제시된 와이블분포는 형태모수와 척도모수로 결정된 것이다.攀攀

참고문헌 (Reference)

1 박창원, "석유비축의 Risk Premium 산정과 적정수준 검토" 에너지경제연구원 2002

2 Lockhart, "“Estimation and tests of fit for the three parameter Weibull distributions”" 491-500, 1994

3 "“Derivative Free Adaptive Rejection Sampling for Gibbs Sampling”" Oxford University Press 1992

4 and Wild, "“Adaptive rejection sampling for Gibbs sampling”" 337-348, 1992

5 Prabhaker, D. N, "Weibull Models" John Wiley and Sons 2004

6 Leiby, P, "Oil Imports: An Assessment of Benefits and Costs" 1997

7 Gilks, W. R, "Markov Chain Monte Carlo in Practice" Chapman and Hall 486-, 1996

8 Belgrave, "Energy Security to 2000" energy policy : 1988

9 Gelman, A, "Bayesian Data Analysis" Chapman & Hall 1995

10 Gilks, W. R, "Adaptive rejection Metropolis sampling" 44 : 455-472, 1995