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CSAM(Communications for Statistical Applications and Methods) update

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  • : 한국통계학회논문집(~2011)→Communications for statistical applications and methods(2012~)

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수록범위 : 1권1호(1994)~28권6호(2021) |수록논문 수 : 1,968
CSAM(Communications for Statistical Applications and Methods)
28권6호(2021년 11월) 수록논문
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KCI후보 SCI SCOPUS

1How to identify fake images? : Multiscale methods vs. Sherlock Holmes

저자 : Minsu Park , Minjeong Park , Donghoh Kim , Hajeong Lee , Hee-seok Oh

발행기관 : 한국통계학회 간행물 : CSAM(Communications for Statistical Applications and Methods) 28권 6호 발행 연도 : 2021 페이지 : pp. 583-594 (12 pages)

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In this paper, we propose wavelet-based procedures to identify the difference between images, including portraits and handwriting. The proposed methods are based on a novel combination of multiscale methods with a regularization technique. The multiscale method extracts the local characteristics of an image, and the distinct features are obtained through the regularized regression of the local characteristics. The regularized regression approach copes with the high-dimensional problem to build the relation between the local characteristics. Lytle and Yang (2006) introduced the detection method of forged handwriting via wavelets and summary statistics. We expand the scope of their method to the general image and significantly improve the results. We demonstrate the promising empirical evidence of the proposed method through various experiments.

KCI후보 SCI SCOPUS

2Robust second-order rotatable designs invariably applicable for some lifetime distributions

저자 : Jinseog Kim , Rabindra Nath Das , Poonam Singh , Youngjo Lee

발행기관 : 한국통계학회 간행물 : CSAM(Communications for Statistical Applications and Methods) 28권 6호 발행 연도 : 2021 페이지 : pp. 595-610 (16 pages)

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Recently a few articles have derived robust first-order rotatable and D-optimal designs for the lifetime response having distributions gamma, lognormal, Weibull, exponential assuming errors that are correlated with different correlation structures such as autocorrelated, intra-class, inter-class, tri-diagonal, compound symmetry. Practically, a first-order model is an adequate approximation to the true surface in a small region of the explanatory variables. A second-order model is always appropriate for an unknown region, or if there is any curvature in the system. The current article aims to extend the ideas of these articles for second-order models. Invariant (free of the above four distributions) robust (free of correlation parameter values) second-order rotatable designs have been derived for the intra-class and inter-class correlated error structures. Second-order rotatability conditions have been derived herein assuming the response follows non-normal distribution (any one of the above four distributions) and errors have a general correlated error structure. These conditions are further simplified under intra-class and inter-class correlated error structures, and second-order rotatable designs are developed under these two structures for the response having anyone of the above four distributions. It is derived herein that robust second-order rotatable designs depend on the respective error variance covariance structure but they are independent of the correlation parameter values, as well as the considered four response lifetime distributions.

KCI후보 SCI SCOPUS

3A multi-state model approach for risk analysis of pensions for married couples with consideration of mortality difference by marital status

저자 : Anastasia Stefani , Hyuk-sung Kwon

발행기관 : 한국통계학회 간행물 : CSAM(Communications for Statistical Applications and Methods) 28권 6호 발행 연도 : 2021 페이지 : pp. 611-626 (16 pages)

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Marital status has been identified as an important risk factor affecting adult mortality. Many studies have found that marriage has positive effects on mortality and increases life expectancy. Since most pension contracts providing retirement income are provided to married couples, mortality assumption for actuarial valuation based on the entire population is likely to overestimate the actual mortality of the group of beneficiaries specified in the contracts. This study considered the differences in mortality according to marital status to analyze the length and value of the payments of a typical pension contract for a married couple. The study quantified the effect on actuarial measurements of considering marital status in mortality assumptions with a multi-state model framework using Korean experience mortality data organized by marital status. The results of analysis indicate that considering marital status in mortality assumptions improves mortality risk management.

KCI후보 SCI SCOPUS

4Generalized nonlinear percentile regression using asymmetric maximum likelihood estimation

저자 : Juhee Lee , Young Min Kim

발행기관 : 한국통계학회 간행물 : CSAM(Communications for Statistical Applications and Methods) 28권 6호 발행 연도 : 2021 페이지 : pp. 627-641 (15 pages)

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An asymmetric least squares estimation method has been employed to estimate linear models for percentile regression. An asymmetric maximum likelihood estimation (AMLE) has been developed for the estimation of Poisson percentile linear models. In this study, we propose generalized nonlinear percentile regression using the AMLE, and the use of the parametric bootstrap method to obtain confidence intervals for the estimates of parameters of interest and smoothing functions of estimates. We consider three conditional distributions of response variables given covariates such as normal, exponential, and Poisson for three mean functions with one linear and two nonlinear models in the simulation studies. The proposed method provides reasonable estimates and confidence interval estimates of parameters, and comparable Monte Carlo asymptotic performance along with the sample size and quantiles. We illustrate applications of the proposed method using real-life data from chemical and radiation epidemiological studies.

KCI후보 SCI SCOPUS

5Quantile estimation using near optimal unbalanced ranked set sampling

저자 : Raman Nautiyal , Neeraj Tiwari , Girish Chandra

발행기관 : 한국통계학회 간행물 : CSAM(Communications for Statistical Applications and Methods) 28권 6호 발행 연도 : 2021 페이지 : pp. 643-653 (11 pages)

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Few studies are found in literature on estimation of population quantiles using the method of ranked set sampling (RSS). The optimal RSS strategy is to select observations with at most two fixed rank order statistics from different ranked sets. In this paper, a near optimal unbalanced RSS model for estimating pth(0 < p < 1) population quantile is proposed. Main advantage of this model is to use each rank order statistics and is distributionfree. The asymptotic relative efficiency (ARE) for balanced RSS, unbalanced optimal and proposed near-optimal methods are computed for different values of p. We also compared these AREs with respect to simple random sampling. The results show that proposed unbalanced RSS performs uniformly better than balanced RSS for all set sizes and is very close to the optimal RSS for large set sizes. For the practical utility, the near optimal unbalanced RSS is recommended for estimating the quantiles.

KCI후보 SCI SCOPUS

6Feasibility assessment of longevity swap for the Korean life annuity market

저자 : Changsoo Lee , Jimin Hong , Seongmin Kim

발행기관 : 한국통계학회 간행물 : CSAM(Communications for Statistical Applications and Methods) 28권 6호 발행 연도 : 2021 페이지 : pp. 655-671 (17 pages)

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This study analyzes the premium risk of insurers in Korea, which is expected to experience the fastest population aging in the world. Based on the Lee-Carter model, we generate 10,000 scenarios for the number of future survivors in the group of the 10,000 policyholders of life annuity. According to the result of simulation study, the probability of insurer's loss for both groups of male and female policyholders is very low. This result indicates that the premium risk of insurers is not as great as the insurer's concern. This study also suggests introduction of the longevity swap as an alternative to manage the premium risk for the insurer which sells life annuity products. The longevity swap allows insurers to hedge premium risk and reduce capital burden due to the premium risk inherent in life annuity. This study also shows through examples that the counterparty of swap deal may have excess profit in exchange for taking premium risk.

KCI후보 SCI SCOPUS

7trunmnt: An R package for calculating moments in a truncated multivariate normal distribution

저자 : Seung-chun Lee

발행기관 : 한국통계학회 간행물 : CSAM(Communications for Statistical Applications and Methods) 28권 6호 발행 연도 : 2021 페이지 : pp. 673-679 (7 pages)

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The moment calculation in a truncated multivariate normal distribution is a long-standing problem in statistical computation. Recently, Kan and Robotti (2017) developed an algorithm able to calculate all orders of moment under different types of truncation. This result was implemented in an R package MomTrunc by Galarza et al. (2021); however, it is difficult to use the package in practical statistical problems because the computational burden increases exponentially as the order of the moment or the dimension of the random vector increases. Meanwhile, Lee (2021) presented an efficient numerical method in both accuracy and computational burden using Gauss-Hermit quadrature. This article introduces trunmnt implementation of Lee's work as an R package. The Package is believed to be useful for moment calculations in most practical statistical problems.

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