• Proceedings of the Korea Water Resources Association Conference
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• 2010.05a
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• pp.571-575
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• 2010

Drought is a natural hazard with different properties that are usually dependent to each other. Therefore, a multivariate model is often used for drought frequency analysis. The Copula based bivariate drought severity and duration frequency analysis is applied in the current study in order to show the effect of tail behavior of drought severity and duration on the selection of a copula function for drought bivariate frequency analysis. Four copula functions, namely Clayton, Gumbel, Frank and Gaussian, were fitted to drought data of four stations in Iran and Canada in different climate regions. The drought data are calculated based on standardized precipitation index time series. The performance of different copula functions is evaluated by estimating drought bivariate return periods in two cases, [$D{\geq}d$ and $S{\geq}s$] and [$D{\geq}d$ or $S{\geq}s$]. The bivariate return period analysis indicates the behavior of the tail of the copula functions on the selection of the best bivariate model for drought analysis.

• Communications for Statistical Applications and Methods
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• v.21 no.4
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• pp.335-347
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• 2014

This paper employs dynamic conditional correlation (DCC) model to examine time-varying comovement in the Korean stock market with a focus on the financial industry. Analyzing the daily returns of KOSPI 200 eight sector indices from January 2008 to December 2013, we find that stock market correlations significantly increased during the GFC period. The Financial Sector had the highest correlation between the Constructions-Machinery Sector; however, the Consumer Discretionary and Consumer Staples sectors indicated a relatively lower correlation between the Financial Sector. In terms of model fitting, the DCC with t distribution model concludes as the best among the four alternatives based on BIC, and the estimated shape parameter of t distribution is less than 10, implicating a strong tail dependence between the sectors. We report little asymmetric effect in correlation dynamics between sectors; however, we find strong asymmetric effect in volatility dynamics for each sector return.

• Journal of the Korean Mathematical Society
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• v.51 no.4
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• pp.735-749
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• 2014

This paper studies the asymptotic behavior of the finite-time ruin probability in a jump-diffusion risk model with constant force of interest, upper tail asymptotically independent claims and a general counting arrival process. Particularly, if the claim inter-arrival times follow a certain dependence structure, the obtained result also covers the case of the infinite-time ruin probability.

• Toxicological Research
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• v.19 no.4
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• pp.311-314
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• 2003

This study was performed to investigate the effects of glycine on the development of tolerance to and physical dependence on morphine. Repeated administration of morphine (10 mg/kg) developed tolerance and physical dependence. Glycine (100, 200 and 400 mg/kg) was administered intraperitoneally (i.p.) to mice for 7 days prior to the morphine injection. Analgesic effects were estimated by the tail flick methods. The inhibitory degree of the development of morphine-induced analgsic tolerance by i.p. administration of glycine was evidenced by the increase in analgesic response to morphine. Glycine inhibited the development of tolerance to morphine. In addition, we separately measured jumping response as the naloxone-precipitated withdrawal sign in mice that had received the same morphine. Glycine reduced the number of jumping behaviors in morphine dependent mice. These results suggest that glycine might be useful the prevention or treatment of morphine tolerance and physical dependence.

• YAKHAK HOEJI
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• v.29 no.1
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• pp.27-31
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• 1985

The administraction of ginseng butanol fraction(GBF) inhibited the development of tolerance to and physical dependence on morphine induced by morphine multiple injections in mice. Each group of mice was injected with morphine hydrochloride (40mg/kg s.c.) three times at 8 hr intervals for a period of 6 days. GBF (25, 50, 100, 200mg/kg) was injected (i.p.) to mice 1hr prior to the third morphine injection daily. Inhibition of morphine tolerance by GBF was evidenced by the increase in analgesic response to morphine hydrochloride (10mg/kg) as estimated by the tail flick method and the reduction in morphine dependence was estimated by the decreased number of the naloxone induced withdrawal jumping mice. Further evidenced that GBF reduced the development of morphine dependence was indicated by the fact that GBF decreased the loss in body weight.

• Communications for Statistical Applications and Methods
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• v.7 no.3
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• pp.845-858
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• 2000

In this paper new results are obtained for multivariate processes which help us to identify weak negative orthant dependent(WNOD) structures among hitting times of the processes. Furthermore, an approach to derive dependence properties among the processes is proposed and a partial solution to the question tat what kinds of the dependence properties, when they are imposed on processes, are reflected as analogous properties of corresponding hitting times is give. Examples are given to illustrate these concepts.

• Journal of the Korean Mathematical Society
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• v.54 no.6
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• pp.1879-1903
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• 2017

In this paper we study the closure property and probability tail asymptotics for randomly weighted sums $S^{\Theta}_n={\Theta}_1X_1+{\cdots}+{\Theta}_nX_n$ for long-tailed random variables $X_1,{\ldots},X_n$ and positive bounded random weights ${\Theta}_1,{\ldots},{\Theta}_n$ under similar dependence structure as in [26]. In particular, we study the case where the distribution of random vector ($X_1,{\ldots},X_n$) is generated by an absolutely continuous copula.

• 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.

• Korean journal of applied entomology
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• v.61 no.1
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• pp.117-128
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• 2022

In this study, we have examined pyrethroid actions on sodium channels in the pest insect Heliothis virescens. The synthetic pyrethroid permethrin increased steady-state sodium current in H. virescens central neurons and prolonged tail currents (I_Na-tail) due to extreme slowing of sodium channel deactivation. Prolongation of I_Na-tail was evident at permethrin concentrations as low as 60 nM, which modified ~1.7% of sodium channels and 10 μM permethrin modified about 30% of channels. The average time constant (τ₁) of tail current decay was ~335 ms for permethrin-modified channels. These modified channels activated at more negative potentials and showed slower activation kinetics, and failed to inactivate. Permethrin modification of sodium channels was dramatically potentiated by the α scorpion toxin LqhαIT, showing positive cooperativity between two binding sites. The amplitude of the tail current induced by 0.3 μM permethrin was enhanced ~8-fold by LqhαIT (200 pM). Positive cooperativity was also observed between permethrin and the insect-specific scorpion toxin AaIT as 10 nM permethrin potentiated the shift of voltage dependence caused by AaIT (~2-fold).

• The Korean Journal of Applied Statistics
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• v.26 no.6
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• pp.987-998
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• 2013

This paper considers the statistical characteristics on the air quality (PM10) of Korea collected hourly in 2011. PM10 in Korea exhibits very strong correlations even for higher lags, namely, long range dependence. It is power-law tailed in marginal distribution, and generalized Pareto distribution successfully captures the thicker tail than log-normal distribution. However, slowly decaying autocorrelations may confuse practitioners since a non-stationary model (such as changes in mean) can produce spurious long term correlations for finite samples. We conduct a statistical testing procedure to distinguish two models and argue that the high persistency can be explained by non-stationary changes in mean model rather than long range dependent time series models.