• Communications for Statistical Applications and Methods
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• v.16 no.5
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• pp.803-812
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• 2009

The application of extreme value theory to financial data is a fairly recent innovation. The classical annual maximum method is to fit the generalized extreme value distribution to the annual maxima of a data series. An alterative modern method, the so-called threshold method, is to fit the generalized Pareto distribution to the excesses over a high threshold from the data series. A more substantial variant is to take the point-process viewpoint of high-level exceedances. That is, the exceedance times and excess values of a high threshold are viewed as a two-dimensional point process whose limiting form is a non-homogeneous Poisson process. In this paper, we apply the two-dimensional non-homogeneous Poisson process model to daily losses, daily negative log-returns, in the data series of KBW/USD exchange rate, collected from January 4th, 1982 until December 31 st, 2008. The main question is how to estimate extreme quantiles of losses such as the 10-year or 50-year return level.

• Journal of Korean Society for Quality Management
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• v.43 no.2
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• pp.169-184
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• 2015

Purpose: This paper is concerned with optimally designing accelerated degradation test (ADT) plans based on a gamma process for the degradation model. Methods: By minimizing the asymptotic variance of the MLE of the q-th quantile of the lifetime distribution at the use condition, the test stress levels and the proportion of test units allocated to each stress level are optimally determined. Results: The optimal plans of ADT are developed for various combination of parameters. In addition, a method for determining the sample size is developed, and sensitivity analysis procedures are illustrated with an example. Conclusion: It is important to optimally design ADT based on a gamma process under the condition that a degradation process should be always nonnegative and strictly increasing over time.

• Phonetics and Speech Sciences
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• v.7 no.1
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• pp.107-116
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• 2015

The present experiment investigated the effect of word length on the length of f0 intervals for North Kyungsang children. In order to find out the lengths of the f0 intervals, the f0 values at the midpoints of vowels in words were measured. F0 estimates were computed as intervals consistent with the logarithmic scale corresponding to the number of syllables in the words. The results indicated that the mean f0 intervals in words of different lengths showed a significant difference for the HH in HH vs. HHL and the LH in LH vs. LLH for North Kyungsang children. Adult speakers from the North Kyungsang region significantly differed only within the HH in HH vs. HHL. Adult speakers made a noticeable contribution in this characteristic from the children. The result of the adult study was presented to confirm whether the children used a North Kyungsang dialect. With respect to individual speaker differences, the North Kyungsang children showed more or less consistent patterns in quantile-quantile plots for the HH vs. HHL, but for the HL vs. LHL and LH vs. LLH, there were more variations than for the HH vs. HHL. The individual speakers' variation was the largest for the HL vs. LHL and the smallest for HH vs. HHL. Considering these results, the effect of word length on f0 intervals tended to show pitch accent-type-specific characteristics in the process of prosodic acquisition.

• Journal of the Korean Statistical Society
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• v.31 no.1
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• pp.109-120
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• 2002

In this paper, we show the weak convergence of U-empirical processes for two sample problem. We use the result to show the asymptotic normality for the generalized dodges-Lehmann estimates with the Bahadur representation for quantifies of U-empirical distributions. Also we consider the asymptotic normality for the test statistics in a simple way.

• Communications for Statistical Applications and Methods
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• v.12 no.1
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• pp.71-86
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• 2005

Testing for normality has always been an important part of statistical methodology. In this paper a test statistic for multivariate normality is proposed. The underlying idea is to investigate all the possible linear combinations that reduce to the standard normal distribution under the null hypothesis and compare the order statistics of them with the theoretical normal quantiles. The suggested statistic is invariant with respect to nonsingular matrix multiplication and vector addition. We show that the limit distribution of an approximation to the suggested statistic is representable as the supremum over an index set of the integral of a suitable Gaussian process.

• Journal of Korean Society for Quality Management
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• v.40 no.2
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• pp.117-125
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• 2012

For the highly reliable products, an accelerated degradation test (ADT) is a useful tool which has been employed in industry to obtain reliability-related information within an affordable amount of time and cost. In an ADT, as all other reliability tests, it is important to carefully design the ADT beforehand to obtain estimates of the quantities of interest as precisely as possible. In this paper, optimal ADTs are developed assuming that the constant-stress loading method is employed and the degradation characteristic follows a Wiener process. Under the constraint that the total cost does not exceed a pre-specified budget, the stress levels, the number of test units allocated to each stress level and the number of measurement (termination time) are determined such that the asymptotic variance of the maximum likelihood estimator of the q-th quantile of the lifetime distribution at the use condition is minimized.

• Journal of Korea Water Resources Association
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• v.55 no.9
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• pp.701-705
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• 2022

Reliable drought inflow scenarios are required to plan reservoirs in response to the present severe drought-like conditions. However, the previously developed method for generating drought inflows, the K-water cumulative difference method (KCM), is considered inadequate owing to its potential for negative inflow, reversal phenomena, and overestimation. Nevertheless, the occurrence of these aspects has not been theoretically analyzed. Hence, this study employed the quantile function and frequency factor for log-normal and Gumbel distributions to quantify the contributing factors of these limitations. Consequently, it was found that the negative inflows are generated when the difference in the location parameters, during the accumulation process, exceeds that of the scale parameters. In addition, as the standard deviation decrease during the accumulation process, the reversal phenomena, and inflated values prevailed.

• Wind and Structures
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• v.6 no.5
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• pp.357-386
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• 2003

A number of methods based on various ideas have been proposed for simulating the non-Gaussian stationary process. However, these methods have some limitations. This paper reviewed several simulation methods based on the translation method using logarithmic and polynomial functions, which have emerged in the history of statistics and in the field of civil engineering. The applicability of each method is discussed from the viewpoint of the reproducibility of higher order statistics of the object function in the simulated sample functions, and examined using pressure signals measured from wind tunnel experiments for various shapes of buildings. The parameter estimation methods, i.e. the method of moments and quantile plot, are also reviewed, and the useful aspects of each method are discussed. Additionally, a simple worksheet for parameter estimation is derived based on the method of moment for practical application, and the accuracy is discussed comparing with a set of previously proposed formulae.

• Journal of Broadcast Engineering
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• v.24 no.2
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• pp.264-272
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• 2019

In this paper, we propose a 3D human body reconstruction and refinement method from the frames extracted from a video to obtain natural and smooth motion in temporal domain. Individual frames extracted from the video are fed into convolutional neural network to estimate the location of the joint and the silhouette of the human body. This is done by projecting the parameter-based 3D deformable model to 2D image and by estimating the value of the optimal parameters. If the reconstruction process for each frame is performed independently, temporal consistency of human pose and shape cannot be guaranteed, yielding an inaccurate result. To alleviate this problem, the proposed method analyzes and interpolates the principal component parameters of the 3D morphable model reconstructed from each individual frame. Experimental result shows that the erroneous frames are corrected and refined by utilizing the relation between the previous and the next frames to obtain the improved 3D human reconstruction result.

• The Korean Journal of Applied Statistics
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• v.27 no.1
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• pp.103-114
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• 2014

Significant research has been devoted to the consistency index of the Analytic Hierarchy Process(AHP) from several perspectives. Critics of the consistency index in AHP state that the critical value of consistency index depends on an average of the random index based simulation study using a 9 scale comparison matrix. We found that the distribution of the consistency index followed the skew distribution according to the dimension of the comparison matrix based on a simulation study with a 9 scale comparison matrix. From the simulation study, we suggest a consistency index quantile table to assist the decision-making process in AHP; in addition, we can approximate the distribution of the consistency index to the gamma distribution under the limited assumptions.