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ML estimation and an efficiency study for mean estimators in spatially correlated repeated arrays
신동완 한국통계학회 2009 Journal of the Korean Statistical Society Vol.38 No.1
For spatially correlated repeated arrays, a simple method is proposed for maximum likelihood (ML) estimation of the mean parameters. Efficiency of the sample mean over the maximum likelihood estimator (MLE) is analyzed. Spatial correlations combined with heterogeneity of spatial correlations or heterogeneity of error variances are shown to have adverse effect on efficiency of the sample mean. Therefore, in such spatially correlated and heterogeneous situations, it is recommended that spatial correlations should be properly addressed in estimating mean parameters.
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Unit root tests based on IV estimators for time series with multiple breaks
신동완 한국통계학회 2008 Journal of the Korean Statistical Society Vol.37 No.1
Unit root tests are developed for multiple break time series. The tests, being based on an instrumental variable estimator andother existing tests. A Monte-Carlo experiment shows that the proposed tests have stable sizes and reasonable powers.
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신동완,최기영 대한전자공학회 1997 電子工學會論文誌, C Vol.c34 No.5
With the increasing performance and density of VLSI scircuits as well as the popularity of portable devices such as personal digital assitance, power consumption has emerged as an important issue in the design of electronic systems. Low power design techniqeus have been pursued at all design levels. However, it is more effective to attempt to reduce power dissipation at higher levels of abstraction which allow wider view. In this paper, we propose a simultaneous scheduling and binding scheme which increases the correlation between cosecutive inputs to an operation so that the switched capacitance of execution units is reduced in datapath-dominated circuits. The proposed method is implemented and integrated into the scheduling and assignment part of HYPER synthesis environment. Compared with original HYPER synthesis system, average power saving of 23.0% in execution units and 14.2% in the whole circuits, ar eobtained for a set of benchmark examples.
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A Sign Test for Unit Roots in a Seasonal MTAR Model
신동완,박세정 한국통계학회 2007 Journal of the Korean Statistical Society Vol.36 No.1
This tudy suggests a new method for testing seasonal unit roots in a mo-mentum threshold autoregressive (MTAR) process. This sign test is robustagainst heteroscedastic or heavy tailed errors and is invariant to monotonedata transformation. The proposed test is a seasonal extension of the signtest of Park and Shin (2006). In the case of partial seasonal unit root in anMTAR model, a Monte-Carlo study shows that the proposed test has betterpower than the seasonal sign test developed for AR model.AMS 2000 subject classications.Primary 62M10; Secondary 91B84.Keywords.Invariant, MTAR, robust, seasonal unit roots, sign test, unit root.1. IntroductionAsymmetry in time series data has attracted considerable attention frommany researchers. To accommodate the asymmetry, Enders and Granger (1998)adopted the threshold autoregressive (TAR) model and proposed a modied ver-sion of the TAR model, the momentum TAR (MTAR) model, which consists oftwo regimes of autoregressive processes depending on levels of previous changes ofthe time series process. For MTAR models, various tests for unit roots hypothe-sis were developed by Enders and Granger (1998), Caner and Hansen (2001) andShin and Lee (2003), which are based on the ordinary least squares estimator(OLSE). But such OLS-based procedures are neither invariant to monotone datatransformations nor robust against heteroscedastic or heavy-tailed errors. Camp-bell and Dufour (1995) and So and Shin (2001) suggested invariant and robustsign tests for unit roots for AR processes.Received September 2006; accepted November 2006.†This work was supported by grant R01-2006-000-10563-0 from the Basic Research Programof the Korea Science & Engineering Foundation.1Corresponding author. Department of Statistics, Ewha Womans University, Seoul 120-750,Korea (e-mail: shindw@ewha.ac.kr)
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A CUSUM test for panel mean change detection
신동완,황은주 한국통계학회 2017 Journal of the Korean Statistical Society Vol.46 No.1
A test for panel structural mean change is developed from the CUSUM of the panel processes. Limiting null distribution and consistency of the test are established. The test is shown to have stable finite sample sizes than the existing test of Horvath and Huskova (2012) based on the squared CUSUM. If the mean changes are not cancelled in that their average is away from zero, the proposed test has better power than the existing test. On the other hand, if the mean changes are nearly cancelled, the existing test has better power. The proposed tests are illustrated by a real data set analysis.
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신동완 한국국제농업개발학회 1994 韓國國際農業開發學會誌 Vol.6 No.2
One of the most urgent problem of humankind, met at the end of twentieth century, the preservation and improvement of environment has been added to increasing population and food shortage problems. Since the low investment sustainable agriculture has been concentrated world wide attention. Some general recent information for the research future in agricultural area was summarized.
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申東完,權容大 충남대학교 농업과학연구소 1984 農業技術硏究報告 Vol.11 No.2
As the typical farming of the most Asian countries are of small and subsisting scale, the infrastructure is variable depending on the region and more complicated than in the industrialized countries. Except such basic statistics as acreage of farm land, farming population and production, there are no common standard methods to be used for indepth analysis on the farming status, the level of farming techniques, financial status of farming, consciousness of farmers and others. Therefore, it is necessary to develop survey models which can be commonly used to compare with different circumstance. The purpose of this report is to provide examples of survey models which are used to measure farming performances in Korea. Those are (1) Diagnosis and analysis on farming technique, labor utilization and farm income, (2) Management. performance analysis, (3) Planning for farming, (4) Survey on the nutritional status of farming, (5) Survey on rural village status and planning regional agricultural development.
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Forecasting realized volatility: A review
신동완 한국통계학회 2018 Journal of the Korean Statistical Society Vol.47 No.4
Forecast methods for realized volatilities are reviewed. Basic theoretical and empirical features of realized volatilities as well as versions of estimators of realized volatility are briefly investigated. Major forecast models featuring the empirical aspects of persistency and asymmetry are discussed in terms of forecasting models for which the heterogeneous autoregressive (HAR) model is one of the most basic one in the recent literature. Forecast methods addressing the issues of jump, break, implied volatility, and market microstructure noise are reviewed. Forecasting realized covariance matrix is also considered.
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