A Change-Point Analysis of Oil Supply Disruption : Bayesian Approach

Park, Chun-Gun; Lee, Sung-Su

Journal of Korean Society for Quality Management > Volume 35(4); 2007 > Article

Journal of Korean Society for Quality Management 2007;35(4): 159-.

석유공급교란에 대한 변화점 분석 및 분포 추정 : 베이지안 접근

박천건¹, 이성수²

¹서울시정개발연구원
²경기대학교 경제학부

A Change-Point Analysis of Oil Supply Disruption : Bayesian Approach

Chun-Gun Park¹, Sung-Su Lee²

¹Seoul Development Institute
²School of Economics, Kyonggi University

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.

Key Words: Oil Supply Disruption;Change-Point;Weibull Distribution;Markov Chain Monte Carlo(MCMC);