• Journal of the Chungcheong Mathematical Society
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• v.27 no.3
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• pp.347-361
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• 2014

Generalized Pareto distribution play an important role in reliability, extreme value theory, and other branches of applied probability and statistics. This family of distribution includes exponential distribution, Pareto or Lomax distribution. In this paper, we established exact expressions and recurrence relations satised by the quotient moments of generalized order statistics for a generalized Pareto distribution. Further the results for quotient moments of order statistics and records are deduced from the relations obtained and a theorem for characterizing this distribution is presented.

• Asia pacific journal of information systems
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• v.26 no.3
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• pp.449-476
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• 2016

This study examines how an initially perceived product value affects consumer's purchase intention after reading online reviews with various tones. The study proposes that associations among initially perceived overall product value, degree of confirmation resulting from reading the reviews, and final purchase intention differ across review tones such that 1) when the tone is favorable, the effect of an initially perceived product value is stronger than when the tone is critical, and 2) when the tone is extreme, the effect of confirmation is stronger than when the tone is moderate. The survey was conducted with 276 online shopping mall users in Korea, and most of the hypotheses were supported. This study asserts that the effects of online reviews should be considered together with customer's level of expectation formed prior to reading online reviews, which resulted from extensive search and screening processes that the customer went through before reading online reviews.

• Communications for Statistical Applications and Methods
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• v.25 no.1
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• pp.15-27
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• 2018

Parametric method of flood frequency analysis involves fitting of a probability distribution to observed flood data. When record length at a given site is relatively shorter and hard to apply the asymptotic theory, an alternative distribution to the generalized extreme value (GEV) distribution is often used. In this study, we consider the beta-P distribution (BPD) as an alternative to the GEV and other well-known distributions for modeling extreme events of small or moderate samples as well as highly skewed or heavy tailed data. The L-moments ratio diagram shows that special cases of the BPD include the generalized logistic, three-parameter log-normal, and GEV distributions. To estimate the parameters in the distribution, the method of moments, L-moments, and maximum likelihood estimation methods are considered. A Monte-Carlo study is then conducted to compare these three estimation methods. Our result suggests that the L-moments estimator works better than the other estimators for this model of small or moderate samples. Two applications to the annual maximum stream flow of Colorado and the rainfall data from cloud seeding experiments in Southern Florida are reported to show the usefulness of the BPD for modeling hydrologic events. In these examples, BPD turns out to work better than $beta-{\kappa}$, Gumbel, and GEV distributions.

• Journal of the Korean Solar Energy Society
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• v.25 no.1
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• pp.79-86
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• 2005

The external conditions for estimating dynamic wind loads of wind turbines, such as the turbulence, the extreme wind, the mean velocity gradients and the flow angles, are simulated over GangWon Wind Energy Test Field placed in one of the most complex terrain in Korea. Reference meteorological data has been gathered at a height of 30m from 2003 to 2004 with a ultrasonic anemometer. The absolute value of the spectral energy are simulated and the verification of this prediction has been carried out with comparing to the experimental data. The most desirable place for constructing new wind turbine are resulted as Point 2 and Point 3 due to the lower value of Turbulence Intensity and the higher value of wind resource relatively.

• The Korean Journal of Applied Statistics
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• v.26 no.3
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• pp.483-494
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• 2013

The importance of financial risk management has been highlighted after several recent incidences of global financial crisis. One of the issues in financial risk management is how to measure the risk; currently, the most widely used risk measure is the Value at Risk(VaR). We can consider to estimate VaR using extreme value theory if the financial data have heavy tails as the recent market trend. In this paper, we study estimations of VaR using Peaks over Threshold(POT), which is a common method of modeling fat-tailed data using extreme value theory. To use POT, we first estimate parameters of the Generalized Pareto Distribution(GPD). Here, we compare three different methods of estimating parameters of GPD by comparing the performance of the estimated VaR based on KOSPI 5 minute-data. In addition, we simulate data from normal inverse Gaussian distributions and examine two parameter estimation methods of GPD. We find that the recent methods of parameter estimation of GPD work better than the maximum likelihood estimation when the kurtosis of the return distribution of KOSPI is very high and the simulation experiment shows similar results.

• The Korean Journal of Applied Statistics
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• v.26 no.4
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• pp.595-610
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• 2013

Testing of order-restricted alternative hypothesis in $2{\times}k$ contingency tables can be applied to various fields of medicine, sociology, and business administration. Most testing methods have been developed based on a large sample theory. In the case of a small sample size or unbalanced sample size, the Type I error rate of the testing method (based on a large sample theory) is very different from the target point of 5%. In this paper, the exact testing method is introduced in regards to the testing of an order-restricted alternative hypothesis in categorical data (particularly if a small sample size or extreme unbalanced data). Power and exact p-value are calculated, respectively.

• Proceedings of the Korea Water Resources Association Conference
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• 2012.05a
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• pp.346-346
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• 2012

우리나라의 최근 10년간(1999~2008년) 1일 100mm 이상 집중호우의 발생빈도는 총 385회로, 70~80년대 222회에 비해 무려 1.7배나 증가하였으며 이상기후로 인한 국지성 폭우로 각종 피해가 커지고 있는 추세이다. 2011년의 경우에도 7월 서울 및 수도권 지역에 발생한 100년 빈도 설계 강우량을 초과하는 집중호우로 인해 서울의 도심지역 곳곳이 침수로 인해 많은 재산피해와 인명피해를 유발하였다. 이러한 원인으로서 기후변화와 변동이 기정사실로 인정되고 있으며 가까운 미래에도 기후변화로 인한 물 관련 재해의 정도는 점차 심해질 것으로 예상되고 있다. 그러나 대부분의 기후변화로 인한 집중호우 관련 연구들은 주로 서울, 부산 등 대도시 및 중부 내륙지방과 남부 지방을 중심으로 이루 졌으며 실제로 과거에 이상기후로 인한 집중호우로 큰 피해를 입은 강릉을 중심으로 한 영동지방에 대한 연구는 미비한 실정이다. 예를 들어, 2002년 8월 31일 하루 동안 강릉에 870.5mm의 비가 내렸으며 이는 국내 기상 관측 사상 최고 기록이었다. 2006년 7월 14~24일 평창 지역에 쏟아진 집중호우 역시 대단했다. 이 기간 봉평의 누적 강우량은 694mm에 이르렀다. 실제 2000년대 들어 이상강우현상은 영서와 영동의 태백산맥의 관문인 대관령 양쪽 지역에서 자주 나타나고 있다. 이에 본 연구에서는 영동지방의 과거 강우량자료를 대상으로 극한치 이론을 이용한 분석을 통해 극한강우특성 변화를 분석하고 비정상성 빈도해석을 통해 기후변화 및 변동이 미치는 영향을 분석하였다.

• Communications for Statistical Applications and Methods
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• v.30 no.1
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• pp.75-94
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• 2023

The growing trend of cyber risk has put forward the importance of cyber risk management. Cyber risk is defined as an accidental or intentional risk related to information and technology assets. Although cyber risk is a subset of operational risk, it is reported to be handled differently from operational risk due to its different features of the loss distribution. In this study, we aim to detect the characteristics of cyber loss and find a suitable model by measuring value at risk (VaR). We use the loss distribution approach (LDA) and the time series model to describe cyber losses of financial and non-financial business sectors, provided in SAS^® OpRisk Global Data. Peaks over threshold (POT) method is also incorporated to improve the risk measurement. For the financial sector, the LDA and GARCH model with POT perform better than those without POT, respectively. The same result is obtained for the non-financial sector, although the differences are not significant. We also build a two-dimensional model reflecting the dependence structure between financial and non-financial sectors through a bivariate copula and check the model adequacy through VaR.

• The Korean Journal of Financial Management
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• v.23 no.1
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• pp.193-225
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• 2006

The purpose of this paper is to analyze contagion in Asian foreign exchange markets using Extreme Value Theory and Copula. Our application deals with asymptotic dependence of daily exchange rate return for a sample of eight countries over period 1997.1.1-2005.4.13. The empirical results are summarized as follows. Firstly, Gumbel Copula is a good model to our data according to the value of AIC. Secondly, the extremal dependence between East Asian crisis countries became lower in the post crisis period than the crisis period. Thirdly, It seemed that high extremal dependence exists between East Asian countries with Singapore. Fourthly, the tail dependence between Indonesia, Malaysia, Thailand, Philippine became higher in the crisis period than the total period and post crisis period. Fifthly, the fact that the extremal dependence between Korea and Indonesia, Malaysia, Thailand, Philippine did not increase during the Asian Financial Crisis showed that the contagion effect was not the reason of the Korea's Fiancial Crisis. Sixthly, the extremal dependence between Asian exchange markets was not very high while comparing with the European exchange markets.

• Earthquakes and Structures
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• v.5 no.4
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• pp.395-416
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• 2013

The magneto-rheological (MR) damper contributes to the new technology of structural vibration control. Its developments and applications have been paid significant attentions in earthquake engineering in recent years. Due to the shortages, however, inherent in deterministic control schemes where only several observed seismic accelerations are used as the trivial input and in classical stochastic optimal control theory with assumption of white noise process, the derived control policy cannot effectively accommodate the performance of randomly base-excited engineering structures. In this paper, the experimental and analytical studies on stochastic seismic response control of structures with specifically designed MR dampers are carried out. The random ground motion, as the base excitation posing upon the shaking table and the design load used for structural control system, is represented by the physically based stochastic ground motion model. Stochastic response analysis and reliability assessment of the tested structure are performed using the probability density evolution method and the theory of extreme value distribution. It is shown that the seismic response of the controlled structure with MR dampers gain a significant reduction compared with that of the uncontrolled structure, and the structural reliability is obviously strengthened as well.