• 전기학회논문지
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• 제65권1호
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• pp.16-22
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• 2016

This paper addresses the load usage scheduling in the HEMS for residential power consumers. The HEMS would lead the residential users to change their power usage, so as to minimize the cost in response to external information such as a time-varying electricity price, the outside temperature. However, there may be a consumer's inconvenience in the change of the power usage. In order to improve this, it is required to understand the pattern of load usage according to the external information. Therefore, this paper suggests a methodology to model the load usage pattern, which classifies home appliances according to external information affecting the load usage and models the usage pattern for each appliance based on a copula function representing the correlation between variables. The modeled pattern would be reflected as a constraint condition for an optimal load usage scheduling problem in HEMS. To explain an application of the methodology, a case study is performed on an electrical water heater (EWH) and an optimal load usage scheduling for EHW is performed based on the branch-and-bound method. From the case study, it is shown that the load usage pattern can contribute to an efficient power consumption.

• Communications for Statistical Applications and Methods
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• 제24권3호
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• pp.271-290
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• 2017

We study a bivariate response regression model with arbitrary marginal distributions and joint distributions using Frank and Clayton's families of copulas. The proposed model is used for fitting dependent bivariate data with explanatory variables using the log-odd log-logistic Weibull distribution. We consider likelihood inferential procedures based on constrained parameters. For different parameter settings and sample sizes, various simulation studies are performed and compared to the performance of the bivariate odd-log-logistic-Weibull regression model. Sensitivity analysis methods (such as local and total influence) are investigated under three perturbation schemes. The methodology is illustrated in a study to assess changes on schoolchildren's oral health-related quality of life (OHRQoL) in a follow-up exam after three years and to evaluate the impact of caries incidence on the OHRQoL of adolescents.

• International Journal of Internet, Broadcasting and Communication
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• 제15권4호
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• pp.279-293
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• 2023

This study investigates network effects to measure how strongly the early adopters affect the brand choice of the potential consumer. By using the Gumbel-Hougaard (GH) copula, this study checks the magnitude of network effects varied from country to country. To consider consumer heterogeneity and network effects in the growth market, this study proposes the multi-brand Gamma/Shifted-Gompertz (m-G/SG) model based on the GH copula. Out of eighteen Western European cellular phone market data and South Korea smartphone data sets, the m-G/SG model provides an improvement in the estimation accuracy over the Libai, Muller, and Peres model. The results show that network effects enhance (i) the polarization of brand choice probabilities as time elapses; (ii) the dominance of the more preferred and the earlier entered brand; and (iii) the deceleration of category-level diffusion. Potential followers can analyze their relationship with earlier entrants through the m-G/SG model and also establish an optimal market entry strategy.

• Communications for Statistical Applications and Methods
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• 제21권1호
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• pp.23-43
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• 2014

We study the dependence between the insureds in multiple-life insurance contracts. With the future lifetimes of the insureds modeled as correlated random variables, both premium and reserve are different from those under independence. In this paper, Gaussian copula is used to impose the dependence between the insureds with Gompertz marginals. We analyze the change of the reserves of standard multiple-life insurance contracts at various dependence levels. We find that the reserves based on the assumption of dependent lifetimes are quite different for some contracts from those under independence as its correlation increase, which elucidate the importance of the dependence model in multiple-life contingencies in both theory and practice.

• Communications for Statistical Applications and Methods
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• 제30권5호
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• pp.467-483
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• 2023

In this research, a conversion function and a distortion associated with the conversion function are defined and used to derive a unit power Gompertz distortion. A new family of copulas is built using the global distorted function. Four base copulas, namely Clayton, Gumbel, Frank, and Gaussian, are distorted into the family. Some properties including tail dependence coefficients and tail order are examined. Kendall's tau formula is derived for new copulas when the base copula is Clayton, Gumbel, or Frank. The maximum pseudo-likelihood estimation method is employed, and a simulation study was performed. The log-likelihood and AIC are reported to compare the performance of the fitted copulas. According to the applied data, the results indicate that new distorted copulas with additional parameters improve the fit.

• Wind and Structures
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• 제30권2호
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• pp.141-153
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• 2020

Probabilistic information regarding directional extreme wind speeds is important for the precise estimation of the design wind loads on structures. A joint probability distribution model of directional extreme typhoon wind speeds is established using Monte Carlo simulation and empirical copula function to fully consider the correlations of extreme typhoon wind speeds among the different directions. With this model, a procedure for estimating directional extreme wind speeds for given return periods, which ensures that the overall risk is distributed uniformly by direction, is established. Taking 5 typhoon-prone cities in China as examples, the directional extreme typhoon wind speeds for given return periods estimated by the present method are compared with those estimated by the method proposed by Cook and Miller (1999). Two types of directional factors are obtained based on Cook and Miller (1999) and the UK standard's drafting committee (Standard B, 1997), and the directional risks for the given overall risks are discussed. The influences of the extreme wind speed correlations in the different directions and the simulated typhoon wind speed sample sizes on the estimated extreme wind speeds for a given return period are also discussed.

• 한국수자원학회:학술대회논문집
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• 한국수자원학회 2017년도 학술발표회
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• pp.46-46
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• 2017

지역가뭄빈도분석의 분위산정에 대한 신뢰성은 수문학적으로 균일한 지역으로 구분하기 위해 사용된 장기간의 과거 자료와 분석절차에 의해 결정된다. 그러나 극심한 가뭄은 매우 드물게 발생하며 신뢰 할 수 있는 지역빈도분석을 위한 지속기간이 충분치 않는 경우가 많이 발생한다. 이 외에도 우리나라의 복잡한 지형적 및 기후적 특징은 동질한 지역으로 구분하기 위한 통계적인 처리방법이 필요하였다. 본 연구에서 적용한 지역빈도분석은 여러 지역의 다양한 변수인 수문기상 특성을 분석하여 동질한 지역을 확인하고, 주요 가뭄변수(지속 시간 및 심각도)를 통합 적용하여 각각의 동질한 지역 분위를 추정함으로써 동질한 지역을 구분하는 해결책을 제시하였다. 본 연구에서는 가우시안 혼합 모형(Gaussian Mixture Model)을 기반으로 기반 군집분석 방법을 적용하여 최적의 동질한 지역을 구분하고 그 결과를 우도비검정 및 다른 유효성 검사 지수를 이용해서 확인하였다. 가우시안 혼합 모델에서 산정했던 매개변수를 방향저감 공간으로 표현하기 위해서 가우시안 혼합 모델방향 저감(GMMDR)방법을 적용하였다. 이 변수는 가뭄빈도분석을 위해 다양한 분포와 코풀라(copula) 적합도를 이용하여 추정 비교하였다. 그 결과 우리나라를 4개의 동질한 지역으로 나누게 되었다. 가우시안과 Frank copula를 이용한 Pearson type III(PE3) 분포는 우리나라의 가뭄 기간과 심각도의 공동 분포를 추정하는데 적합한 것으로 나타났다.

• Journal of the Korean Data and Information Science Society
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• 제22권6호
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• pp.1065-1074
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• 2011

1990년대 중반 이후 금융 분야에서 가장 많은 관심을 받는 연구 주제 중의 하나는 대표적인 위험측정 방법인 VaR (Value at risk)이다. VaR는 주어진 신뢰수준에서 정상적인 시장조건을 가정할 때 선택한 목표기간 동안 발생할 수 있는 포트폴리오의 최대손실액으로 정의된다. 본 논문에서는 국내 주가지수 자료를 이용한 포트폴리오에 다변량 정규분포를 이용하는 VaR 예측 방법인 단순이동평균법과 지수가중이동평균법을 고려하여 VaR를 예측한 결과와 t 분포 및 조건부 코퓰라 (Copula) 함수를 이용하여 VaR를 예측한 결과를 비교 평가하였다. 자료 분석 결과에 의하면 포트폴리오 구성 종목 간에 종속성구조와 비정규성이 존재하는 경우에 t 분포와 조건부 코퓰라 방식을 이용하여 VaR 추정의 정확도를 높일 수 있다는 결론을 얻을 수 있었다.

• 한국신뢰성학회지:신뢰성응용연구
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• 제18권1호
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• pp.20-32
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• 2018

Purpose: The purpose of this study is to set up an anomaly detection criteria for sensor data coming from a motorcycle. Methods: Five sensor values for accelerator pedal, engine rpm, transmission rpm, gear and speed are obtained every 0.02 second from a motorcycle. Exploratory data analysis is used to find any pattern in the data. Traditional process control methods such as X control chart and time series models are fitted to find any anomaly behavior in the data. Finally unsupervised learning algorithm such as k-means clustering is used to find any anomaly spot in the sensor data. Results: According to exploratory data analysis, the distribution of accelerator pedal sensor values is very much skewed to the left. The motorcycle seemed to have been driven in a city at speed less than 45 kilometers per hour. Traditional process control charts such as X control chart fail due to severe autocorrelation in each sensor data. However, ARIMA model found three abnormal points where they are beyond 2 sigma limits in the control chart. We applied a copula based Markov chain to perform statistical process control for correlated observations. Copula based Markov model found anomaly behavior in the similar places as ARIMA model. In an unsupervised learning algorithm, large sensor values get subdivided into two, three, and four disjoint regions. So extreme sensor values are the ones that need to be tracked down for any sign of anomaly behavior in the sensor values. Conclusion: Exploratory data analysis is useful to find any pattern in the sensor data. Process control chart using ARIMA and Joe's copula based Markov model also give warnings near similar places in the data. Unsupervised learning algorithm shows us that the extreme sensor values are the ones that need to be tracked down for any sign of anomaly behavior.

• 재무관리연구
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• 제23권1호
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• pp.193-225
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• 2006

본 연구는 EVT-Copula모형을 이용하여 아시아지역 8개국 외환시장 간 극단적 사건의 동조화 정도를 측정하였다. 본 연구의 분석대상은 대만, 말레이시아, 싱가포르, 인도네시아, 일본, 태국, 필리핀, 한국의 일별 현물환율이며 분석기간은 1997년 1월 1일부터 2005년 4월 13일까지이다. 주요 연구결과를 요약하면 다음과 같다. 첫째, AIC기준에 따라 의존구조를 모형화 하는데 있어 Gumbel Copula가 Galambos Copula에 비해 더 적합한 모형으로 나타났다. 둘째, 동남아시아 외환위기국 간의 극단적 동조성은 외환위기 기간에 비하여 그 이후에 낮아진 것으로 확인되었다. 넷째, 아시아 국가들은 동남아시아 외환시장의 거점인 싱가포르와 상대적으로 높은 극단적 의존성을 가지는 것이 확인되었다. 넷째, 인도네시아, 말레이시아, 태국, 필리핀 간 아시아 외환위기 동안의 꼬리의존성이 표본전체기간과 외환위기 이후기간에 비해 높게 나타났다. 특히 말레이시아의 경우 외환위기 기간에 필리핀, 인도네시아, 태국과의 꼬리의존성이 현저히 높았다. 지역적으로 인접한 국가들에서 단기간에 꼬리의존성이 급증하는 사실은 아시아 외환위기에 있어 시장간 극단적 의존성이 금융위기의 전파에 중요한 역할을 했다는 것을 의미한다. 다섯 째, 외환위기 동안 한국과 인도네시아, 말레이시아, 태국, 필리핀간의 극단적 의존관계는 증가하지 않았음으로 한국의 금융위기가 외부 요인으로 인한 것이 아니라는 주장을 지지하였다.