• International Journal of Reliability and Applications
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• 제18권2호
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• pp.65-82
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• 2017

Abstract. Camilo Dagum proposed several variants of a new model for the size distribution of personal income in a series of papers in the 1970s. He traced the genesis of the Dagum distributions in applied economics and points out parallel developments in several branches of the applied statistics literature. The main aim of this paper is to define a bivariate Dagum distribution so that the marginals have Dagum distributions. It is observed that the joint probability density function and the joint cumulative distribution function can be expressed in closed forms. Several properties of this distribution such as marginals, conditional distributions and product moments have been discussed. The maximum likelihood estimates for the unknown parameters of this distribution and their approximate variance-covariance matrix have been obtained. Some simulations have been performed to see the performances of the MLEs. One data analysis has been performed for illustrative purpose.

• 대기
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• 제25권2호
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• pp.283-294
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• 2015

For urban flash flood simulation, we need the higher resolution radar rainfall than radar rainfall of KMA, which has 10 min time and 1km spatial resolution, because the area of subbasins is almost below $1km^2$. Moreover, we have to secure the high quantitative accuracy for considering the urban hydrological model that is sensitive to rainfall input. In this study, we developed the quantitative precipitation estimation (QPE), which has 250 m spatial resolution and high accuracy using KMA AWS and SK Planet stations with Mt. Gwangdeok radar data in Seoul area. As the results, the rainfall field using KMA AWS (QPE1) is showed high smoothing effect and the rainfall field using Mt. Gwangdeok radar is lower estimated than other rainfall fields. The rainfall field using KMA AWS and SK Planet (QPE2) and conditional merged rainfall field (QPE4) has high quantitative accuracy. In addition, they have small smoothed area and well displayed the spatial variation of rainfall distribution. In particular, the quantitative accuracy of QPE4 is slightly less than QPE2, but it has been simulated well the non-homogeneity of the spatial distribution of rainfall.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제11권2호
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• pp.15-29
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• 2007

In this paper, we explore some interesting models of the quasi-negative-binomial distribution based on difference differential equations applicable to theory of microorganisms and the situations like that. Some characterizations based on conditional distributions and damage process have been obtained. Further, the distribution of number of accidents as the quasi-negative-binomial distribution in the light of Irwin's theory of ";proneness-liability"; model has been derived. Finally, the proposed model (QNBD) has been applied to study the Shunting accidents, home injuries, and strikes in industries.

• 터널과지하공간
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• 제16권2호
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• pp.135-145
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• 2006

본 연구에서는 조건부 모사 기법 중 순차 가우시안 시뮬레이션(SGS)과 순차 지시 시뮬레이션(SIS)을 이용하여 터널설계 시 미시추구간의 암반등급(RMR)을 예측하여 보았다. 총 30개의 시추공자료 가운데 25개의 시추공자료를 이용하여 순차 가우시안 시뮬레이션과 순차 지시 시뮬레이션을 수행하였으며, 나머지 5개의 시추공에서의 실제 암반등급과 예측 암반등급을 비교하여 보았다. 그 결과 조건부 모사 기법은 암반등급의 공간적 분포특성을 비교적 잘 예측할 수 있고, 예측의 불확실성을 정량적으로 평가할 수 있는 효과적인 방법임을 확인할 수 있었다. 따라서 조건부 모사 기법의 결과는 미시추구간의 암반등급을 예측하는데 있어서 유용한 정보를 제공 해 줄 수 있을 것으로 판단된다.

• Communications for Statistical Applications and Methods
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• 제30권3호
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• pp.273-289
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• 2023

In this paper, we develop a new time series model for predicting IPO (initial public offering) data with non-negative integer value. The proposed model is based on integer-valued autoregressive (INAR) model with a Poisson thinning operator. Just as the heterogeneous autoregressive (HAR) model with daily, weekly and monthly averages in a form of cascade, the integer-valued heterogeneous autoregressive (INHAR) model is considered to reflect efficiently the long memory. The parameters of the INHAR model are estimated using the conditional least squares estimate and Yule-Walker estimate. Through simulations, bias and standard error are calculated to compare the performance of the estimates. Effects of model fitting to the Korea's IPO are evaluated using performance measures such as mean square error (MAE), root mean square error (RMSE), mean absolute percentage error (MAPE) etc. The results show that INHAR model provides better performance than traditional INAR model. The empirical analysis of the Korea's IPO indicates that our proposed model is efficient in forecasting monthly IPO volumes.

• 한국수자원학회논문집
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• 제35권1호
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• pp.109-124
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• 2002

본 연구는 간헐 수문사상인 시간강수계열의 구조적 특성을 고찰하여 강수발생의 군집성을 고려한 강수발생과정에 대한 추계학적 모의발생 모형을 개발한 것이다. 먼저 강수사상의 발생패턴을 기술하기 위해 Poisson 군집과정을 사용하였고, 이 과정에서 군집간의 시간과 군집내의 사상 수는 지수분포로 기술하였다. 둘째로 사상의 지속기간과 군집내에서 사상간의 시간은 음대수혼합분포로 기술하였다. 마지막으로 이상과 같은 시간강수사상의 발생패턴과 사상기간내의 강수의 종속구조를 구명하기 위해 서울을 대상으로 하여 실적강수자료를 분석하였다. Monte Carlo 모의결과는 모형이 강수발생의 계절적 패턴, 사상특성의 주변 및 조건부 분포를 잘 재현하고 있음을 보여주었다.

• Journal of applied mathematics & informatics
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• 제35권5_6호
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• pp.477-493
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• 2017

The dual generalized order statistics is a unified model which contains the well known decreasingly ordered random variables like order statistics and lower record values. With this definition we give simple expressions for single and product moments of dual generalized order statistics from Dagum distribution. The results for order statistics and lower records are deduced from the relations derived and some computational works are also carried out. Further, a characterizing result of this distribution on using the conditional moment of the dual generalized order statistics is discussed. These recurrence relations enable computation of the means, variances and covariances of all order statistics for all sample sizes in a simple and efficient manner. By using these relations, we tabulate the means, variances, skewness and kurtosis of order statistics and record values of the Dagum distribution.

• International Journal of Reliability and Applications
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• 제15권2호
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• pp.111-123
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• 2014

A new class of bivariate distributions is derived by specifying its conditionals as the exponential and gamma distributions. Some properties and relations with other distributions of the new class are studied. In particular, the estimation of parameters is considered by the methods of maximum likelihood and pseudolikelihood of a special case of the new class. An application using a real bivariate data is given for illustrating the flexibility of the new class in this context, and, also, for comparing the estimation results obtained by the maximum likelihood and pseudolikelihood methods.

• Communications for Statistical Applications and Methods
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• 제21권6호
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• pp.501-512
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• 2014

Stylized facts on asset return are fat-tail, asymmetry, volatility clustering and structure changes. This paper simultaneously captures these characteristics by introducing a multi-regime models: Finite mixture distribution and regime switching GARCH model. Analyzing the daily KOSPI return from $4^{th}$ January 2000 to $30^{th}$ June 2014, we find that a two-component mixture of t distribution is a good candidate to describe the shape of the KOSPI return from unconditional and conditional perspectives. Empirical results suggest that the equality assumption on the shape parameter of t distribution yields better discrimination of heterogeneity component in return data. We report the strong regime-dependent characteristics in volatility dynamics with high persistence and asymmetry by employing a regime switching GJR-GARCH model with t innovation model. Compared to two sub-samples, Pre-Crisis (January 2003 ~ December 2007) and Post-Crisis (January 2010 ~ June 2014), we find that the degree of persistence in the Pre-Crisis is higher than in the Post-Crisis along with a strong asymmetry in the low-volatility (high-volatility) regime during the Pre-Crisis (Post-Crisis).

• Journal of the Korean Data and Information Science Society
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• 제28권2호
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• pp.421-433
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• 2017

The CTE (conditional tail expectation) is a useful risk management measure for a diversified investment portfolio that can be generally estimated by using a transformed univariate distribution. Hong et al. (2016) proposed a multivariate CTE based on multivariate quantile vectors, and explored its characteristics for multivariate normal distributions. Since most real financial data is not distributed symmetrically, it is problematic to apply the CTE to normal distributions. In order to obtain a multivariate CTE for various kinds of joint distributions, distribution fitting methods using copula functions are proposed in this work. Among the many copula functions, the Clayton, Frank, and Gumbel functions are considered, and the multivariate CTEs are obtained by using their generator functions and parameters. These CTEs are compared with CTEs obtained using other distribution functions. The characteristics of the multivariate CTEs are discussed, as are the properties of the distribution functions and their corresponding accuracy. Finally, conclusions are derived and presented with illustrative examples.