• Knowledge Management Research
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• 제22권2호
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• pp.247-268
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• 2021

Investors mainly use PER and PBR among financial ratios for valuation and investment decision-making. I conduct an analysis of two basic financial ratios from a statistical perspective. Financial ratios contain key accounting numbers which reflect firm fundamentals and are useful for valuation or risk analysis such as enterprise credit evaluation and default prediction. The distribution of financial data tends to be extremely heavy-tailed, and PER and PBR show exceedingly high level of kurtosis and their extreme cases often contain significant information on financial risk. In this respect, Extreme Value Theory is required to fit its right tail more precisely. I introduce not only GPD but exGPD. GPD is conventionally preferred model in Extreme Value Theory and exGPD is log-transformed distribution of GPD. exGPD has recently proposed as an alternative of GPD(Lee and Kim, 2019). First, I conduct a simulation for comparing performances of the two distributions using the goodness of fit measures and the estimation of 90-99% percentiles. I also conduct an empirical analysis of Information Technology firms in Korea. Finally, exGPD shows better performance especially for PBR, suggesting that exGPD could be an alternative for GPD for the analysis of financial ratios.

• KSCE Journal of Civil and Environmental Engineering Research
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• 제29권3B호
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• pp.259-267
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• 2009

Generalized Extreme Value (GEV) distribution is recommended for flood frequency and extreme rainfall distribution in many country. L-moment method is the most common estimation procedure for the GEV distribution. In this study, the relationships between the cross-site correlations between extreme events and the cross-correlation of estimators of L-moment ratios (L-moment Coefficient of Variation (L-CV) and L-moment Coefficient of Skewness (L-CS)) for data generated from GEV distribution were derived by Monte Carlo simulation. Those relationships were fit to the simple power function. In this Monte Carlo simulation, GEV+ distribution were employed wherein unrealistic negative values were excluded. The simple power models provide accurate description of the relationships between cross-correlation of data and cross-correlation of L-moment ratios. Estimated parameters and accuracies of the power functions were reported for different GEV distribution parameters combinations. Moreover, this study provided a description about regional regression approach using Generalized Least Square (GLS) regression method which require the cross-site correlation among L-moment estimators. The relationships derived in this study allow regional GLS regression analyses of both L-CV and L-CS estimators that correctly incorporate the cross-correlation among GEV L-moment estimators.

• Journal of Ocean Engineering and Technology
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• 제28권5호
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• pp.396-403
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• 2014

This paper considered the prediction of the tension force in the design of a TLP tendon, particularly focusing on the springing problem. Springing is an important parameter that exerts a large tension in special cases. It is a nonlinear phenomenon and requires the 2nd-order wave loads to solve. In this paper, a new prediction method for springing and the resultant extreme tension on the tendon of a TLP is introduced. Using the 2nd-order response function computed using the commercial program WADAM, the probability density function of the 2nd-order tension is obtained from an eigenvalue analysis using a quadratic transfer function and sea spectra. A new method is then suggested to predict the extreme tension loads with respect to the number of occurrences. It is shown that the PDF suggested in this study properly predicts the extreme tension in comparison with the time histories of the 2nd-order tension. The expected tension force is larger than that from a linear analysis in the same time windows. This supports the use of the present method to predict the tension due to springing.

• Proceedings of the Korea Water Resources Association Conference
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• 한국수자원학회 2019년도 학술발표회
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• pp.390-390
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• 2019

Application of Hidden Markov Model (HMM) to the hydrological time series would be an innovative way to identify extreme rainfall events in a series. Even though the optimum number of hidden states can be identify based on maximizing the log-likelihood or minimizing Bayesian information criterion. However, occasionally value for the log-likelihood keep increasing with the state which gives false identification of the optimum hidden state. Therefore, this study attempts to identify optimum number of hidden states for Colombo station, Sri Lanka as fundamental approach to identify frequency and percentage of extreme rainfall events for the station. Colombo station consisted of daily rainfall values between 1961 and 2015. The representative station is located at the wet zone of Sri Lanka where the major rainfall season falls on May to September. Therefore, HMM was ran for the season of May to September between 1961 and 2015. Results showed more or less similar log-likelihood which could be identified as maximum for states between 4 to 7. Therefore, measure of central tendency (i.e. mean, median, mode, standard deviation, variance and auto-correlation) for observed and simulated daily rainfall series was carried to each state to identify optimum state which could give statistically compatible results. Further, the method was applied for the second major rainfall season (i.e. October to February) for the same station as a comparison.

• Wind and Structures
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• 제37권2호
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• pp.153-161
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• 2023

Wind speed data from Nepal and adjoining countries have been analyzed to estimate an extreme wind speed climatology for the region. Previously wind speed information for Nepal was adopted from the Indian National Standard and applied to two orographically different regions: above and below 3000 m elevation respectively. Comparisons of the results of this analysis are made with relevant codes and standards. The study confirms that the assigned basic wind speed of 47 m/s for the plains and hills of Nepal (below 3000 m) is appropriate, however, data to substantiate a basic wind speed of 55 m/s above 3000 m is unavailable. Using a composite analysis of 15 geographically similar stations, the study also generated 435 years of annual maxima wind data and fitted them to Type I and Type III extreme value distributions. The results suggest that Type III distribution may better represent the data. The findings are also consistent with predictions made by Holmes and Weller (2002) and to a certain extent those of Sarkar et al. (2014), but lower than the analysis undertaken by Lakshmanan et al. (2009) for northern India. The study also highlights that the use of a load factor of 1.5 on wind load implies lower strength design MRI's of around 260 years compared to the 700 years of ASCE 7-22.

• Journal of Korean Society of Coastal and Ocean Engineers
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• 제21권6호
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• pp.480-494
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• 2009

Long term extreme wave data are essential for planning and designing coastal structures. Since the availability of the field data for the waters around Korean peninsula is limited to provide a reliable wave statistics, the wave climate information has been generated by means of long-term wave hindcasting using available meteorological data. KORDI(2005) has proposed extreme wave data at 106 stations off the Korean coast from 1979 to 2003. In this paper, extreme data sets of wave(KORDI, 2005) have been analyzed for best-fitting distribution functions, for which the spread parameter proposed by Goda(2004) is evaluated. The calculated values of the spread parameter are in good agreement with the values based on method of moment for parameter estimation. However, the spread parameter of extreme wave data has a representative value ranging from about 1.0 to 2.8 which is larger than some foreign coastal waters, it is necessary to review deep water design wave.

• Atmosphere
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• 제22권2호
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• pp.221-231
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• 2012

Representative Concentration Pathways (RCP) are the latest emission scenarios recommended to use for the fifth assessment report of Intergovernmental Panel on Climate Change. This study investigates the projection of extreme precipitation in South Korea during the forthcoming 21st Century using the generalized extreme value (GEV) analysis based on two different RCP conditions i.e., RCP 4.5 and 8.5. Maximum daily precipitation required for GEV analysis for RCP 4.5 and 8.5 are obtained from a high-resolution regional climate model forced by the corresponding global climate projections, which are produced within the CMIP5 framework. We found overall increase in frequency of extreme precipitation over South Korea in association with climate change. Particularly, daily extreme precipitation that has been occurred every 20 years in current climate (1980~2005) is likely to happen about every 4.3 and 3.4 years by the end of 21st Century (2070~2099) under the RCP 4.5 and 8.5 conditions, respectively.

• Journal of Korea Water Resources Association
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• 제43권4호
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• pp.337-351
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• 2010

There is a growing dissatisfaction with use of conventional statistical methods for the prediction of extreme events. Conventional methodology for modeling extreme event consists of adopting an asymptotic model to describe stochastic variation. However asymptotically motivated models remain the centerpiece of our modeling strategy, since without such an asymptotic basis, models have no rational for extrapolation beyond the level of observed data. Also, this asymptotic models ignored or overestimate the uncertainty and finally decrease the reliability of uncertainty. Therefore this article provide the research example of the extreme rainfall event and the methodology to reduce the uncertainty. In this study, the Bayesian MCMC (Bayesian Markov Chain Monte Carlo) and the MLE (Maximum Likelihood Estimation) methods using a quadratic approximation are applied to perform the at-site rainfall frequency analysis. Especially, the GEV distribution and Gumbel distribution which frequently used distribution in the fields of rainfall frequency distribution are used and compared. Also, the results of two distribution are analyzed and compared in the aspect of uncertainty.

• Current Optics and Photonics
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• 제1권1호
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• pp.23-28
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• 2017

The laser has been regarded as the potential illumination source for the next generation of projectors. However, currently the major issues in applying the laser as an illumination source for projectors are beam shaping and laser speckle. We present a compact solution for both issues by using a vibrating diffractive optical element (DOE). The DOE is designed and fabricated, and it successfully transforms the circular Gaussian laser beam to a low speckle contrast uniform rectangular pattern. Under a vibration frequency of 150 Hz and amplitude of $200{\mu}m$, the speckle contrast value is reduced from 67.67% to 13.78%, and the ANSI uniformity is improved from 24.36% to 85.54%. The experimental results demonstrate the feasibility and potential of the proposed scheme, and the proposed method is a feasible approach to the miniaturization of laser projection display illumination systems.

• Transactions of the Korean Society of Mechanical Engineers A
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• 제36권2호
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• pp.223-230
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• 2012

The strength of brittle material has commonly been characterized by a normal distribution or Weibull distribution, but it may fit the gamma distribution for some material. The use of an extreme value distribution is proper when the largest values of a set of stresses dominate the failure of the material. This paper presents a formula for reliability estimation based on stress-strength interference theory that is applicable when the strength of material is distributed like a gamma distribution and the stress is distributed like an extreme value distribution. We verified the validity of the equation for the reliability estimation by examining the relationships among the factor of safety, the coefficient of variation, and the reliability. The required minimum factor of safety and the highest allowable coefficient of variation of stress can be estimated by choosing an objective reliability and estimating the reliabilities obtained for various factors of safety and coefficients of variation.