• The Korean Journal of Applied Statistics
• /
• v.29 no.5
• /
• pp.807-822
• /
• 2016

The composite lognormal-GPD models (LN-GPD) enjoys both merits from log-normality for the body of distribution and GPD for the thick tailedness of the observation. However, in the estimation perspective, LN-GPD model performs poorly due to numerical instability. Therefore, a two-stage procedure, that estimates threshold first then estimates other parameters later, is a natural method to consider. This paper considers five nonparametric threshold estimation methods widely used in extreme value theory and compares their performance in LN-GPD parameter estimation. A simulation study reveals that simultaneous maximum likelihood estimation performs good in threshold estimation, but very poor in tail index estimation. However, the nonparametric method performs good in tail index estimation, but introduced bias in threshold estimation. Our method is illustrated to the service time of an Israel bank call center and shows that the LN-GPD model fits better than LN or GPD model alone.

• The Korean Journal of Applied Statistics
• /
• v.31 no.1
• /
• pp.109-122
• /
• 2018

The composite lognormal-generalized Pareto distribution (LN-GPD) is a mixture of right-truncated lognormal and GPD for a given threshold value. Scollnik (Scandinavian Actuarial Journal, 2007, 20-33, 2007) shows that the composite LN-GPD is adequate to describe body distribution and heavy-tailedness. This paper considers time-varying modeling of the LN-GPD based on local polynomial maximum likelihood estimation. Time-varying model provides significant detailed information of time dependent data, hence it can be applied to disciplines such as service engineering for staffing and resources management. Our work also extends to Beirlant and Goegebeur (Journal of Multivariate Analysis, 89, 97-118, 2004) in the sense of losing no data by including truncated lognormal distribution. Our proposed method is shown to perform adequately in simulation. Real data application to the service time of the Israel bank call center shows interesting findings on the staffing policy.

• Knowledge Management Research
• /
• v.22 no.2
• /
• pp.247-268
• /
• 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.

• Journal of Veterinary Clinics
• /
• v.15 no.1
• /
• pp.110-115
• /
• 1998

인삼 PD saponin(GPD)으로 배양한 고양이 말초혈액 단핵구세포(afNC) 배양상충 액에서 말초혈액 다형핵백혈구(PMNC)에 대한 interleukin(IL) 8 양 유주활성에 잔하여 검토 하였다. PMNC의 유주활성은 Hoyden chamber 변법으로 측정하였다. GPD를 첨가하여 배양 한 MNC배양상층액중에는 rMNC에 대한유주활성이 인정되었다. PMNC에 대하여 GPD 로 배양한 MNC 배양상층액중에 존재하는 유주활성이 IL 8 양 물질인지를 알아보기 위해 human recombinant IL 8을 이용하여 고양이 PMNC에 대해 유주팔성을 측정한 결과, GPD 로 배양한 MNC 배양상층액의 경우와 동등한 활성이 나타났다. Human IL 8 mAb를 사용하 여 GPD로 배양한 MNC 배양상층액중의 유주활성에 대한 중화반응을 살펴본 결과, GPD로 배양잔 MNC 배양상충액 및 human IL 8에 의해 증가되었던 PMNC의 유주활성은 IL 8 cAb의 첨가농토가 증가함에 따라 활성이 완전히 억제되었다. 또한 GPD로 배양한 고양이 MNC 배양상충액중의 유주활성은 열처리(4, 30, 37, 60 및 $100{\circ}C$) 및 산(pH 3.0)과 알카리 (pH 9.0)처리에도 안정성을 보여 human IL 8의 물리화학적 성상과 매우 유사하였다. 따라서 GPD로 배양한 MNC 배양상충액중에 존재하는 고양이 PMNC에 대한 유주활성은 feline IL 8 양 물질임을 강하게 시사하였다.

• KSBB Journal
• /
• v.10 no.1
• /
• pp.38-45
• /
• 1995

The expression of Aspergillus nidulans glyceraldehyde-3-phosphate dehydrogenase (gpdA) and trpC promoters in A. oryzae were compared using E. coli lacZ gents fusions. The specific activities of the expressed E. coli $\beta$-galactosidase in A. oryzae transformants containing the A. nidulans gpdA promoter were around 2,000 units per ug of protein. The specific activities of transformants containing the A. nidulans trpC promoter were very low, ranging from 10.5 to 52.3 units per ug of protein. These results showed that the expression of the A. nidulans gpdA promoter in A. oryzae was approximately 70 times greater than the A. nidulans trpC promoter. In western blot analysis, immunoreactive bands of a imlilar molecular weight as the E. coli $\beta$-galactosidase were observed in A. oryzae carrying the gpdA-lacZ fusion and to a lesser intensity in those carrying the tvpC-lacZ fusion. Southern analysis showed that the higher expression of the gpdA-lacZ fusion as compared to the trpC-lacZ fusion was not due a greater number of integrated plasmids.

• The Korean Journal of Applied Statistics
• /
• v.23 no.3
• /
• pp.471-485
• /
• 2010

VaR is used extensively as a tool for risk management by financial institutions. For convenience, the normal distribution is usually assumed for the measurement of VaR, but recently the method using extreme value theory is attracted for more accurate VaR estimation. So far, GEV and GPD models are used for probability models of EVT for the VaR estimation. In this paper, the PP model is suggested for improved VaR estimation as compared to the traditonal EV models such as GEV and GPD models. In view of the stochastic process, the PP model is regarded as a generalized model which include GEV and GPD models. In the empirical analysis, the PP model is shown to be superior to GEV and GPD models for the performance of VaR estimation.

• Journal of Korea Water Resources Association
• /
• v.41 no.5
• /
• pp.527-544
• /
• 2008

Generalized Pareto distribution (GPD) is frequently applied in hydrologic extreme value analysis. The main objective of statistics of extremes is the prediction of rare events, and the primary problem has been the estimation of the threshold and the exceedances which were difficult without an accurate method of calculation. In this paper, to obtain the threshold or the exceedances, four methods were considered. For this comparison a GPD model was used to estimate parameters and quantiles for the seven durations (1, 2, 3, 6, 12, 18 and 24 hours) and the ten return periods (2, 3, 5, 10, 20, 30, 50, 70, 80 and 100 years). The parameters and quantiles of the three-parameter generalized Pareto distribution were estimated with three methods (MOM, ML and PWM). To estimate the degree of fit, three methods (K-S, CVM and A-D test) were performed and the relative root mean squared error (RRMSE) was calculated for a Monte Carlo generated sample. Then the performance of these methods were compared with the objective of identifying the best method from their number.

• Journal of Life Science
• /
• v.20 no.6
• /
• pp.934-939
• /
• 2010

We have previously reported recombinant productions of bacteriocins using yeast expression plasmid pAUR123, which contains the alcohol dehydrogenase (ADH) promoter, in Saccharomyces cerevisiae cells and their antibacterial activities. In order to improve the antibacterial activities of bacteriocidal yeast cells, a strong glyceraldehyde phosphate dehydrogenase (GPD) promoter gene of S. cerevisiae was amplified and inserted upstream into bacteriocin genes such as the OR-7, Subpeptin JM4-A or JM4-B gene in the corresponding recombinant yeast plasmid. Yeast cells transformed by the recombinant plasmid containing the GPD promoter represented higher antibacterial activities against both Gram positive B. subtilis and Gram negative E. coli cells compared to those transformed by the corresponding recombinant plasmid containing the ADH promoter. Thus, yeast cells harboring the recombinant plasmid containing the GPD promoter constructed in this study could be applied in the food preservative or animal feed industries.

• Journal of Microbiology
• /
• v.44 no.5
• /
• pp.515-522
• /
• 2006

A cDNA library of Ganoderma lucidum has been constructed using a Zap Express cloning vector. A glyceraldehyde-3-phosphate dehydrogenase gene (gpd) was isolated from this library by hybridization of the recombinant phage clones with a gpd-specific gene probe generated by PCR. By comparison of the cDNA and the genomic DNA sequences, it was found that the complete nucleotide sequence encodes a putative polypeptide chain of 338 amino acids interrupted by 6 introns. The predicted amino acid sequence of this gene shows a high degree of sequence similarity to the GPD proteins from yeast and filamentous fungi. The promoter region contains a CT-rich stretch, two CAAT boxes, and a consensus TATA box. The possibility of using the gpd promoter in the construction of new transformation vectors is discussed.

• Proceedings of the Korea Water Resources Association Conference
• /
• 2008.05a
• /
• pp.1053-1057
• /
• 2008

본 연구에서는 산악형 강수 해석을 위해 제주도내 강우관측 자료를 이용하여 확률강우량 산정 및 고도와의 선형회귀분석을 수행하였다. 제주도내 강우관측 자료는 기상관서 4개소 및 AWS(Automatic Weather System, 자동기상관측소) 13개소의 자료를 활용하였다. 확률강우량 산정시 AWS 강우관측 자료는 AMS(Annual Maximum Series, 연 최대치 계열) 모형을 적용하기에는 자료기간이 충분하지 않으므로 짧은 자료기간에 적합한 PDS(Partial Duration Series, 부분 기간치 계열) 모형을 적용하였다. 따라서 본 연구에서는 PDS의 대표적인 분포형인 GPD(Generalized Pareto Distribution)를 적용하여 지속시간별 확률강우량을 산정하였다. 산정된 지속시간별 확률강우량과 고도와의 관계를 확인하기 위하여 선형회귀분석을 수행하였다. 회귀분석 결과 확률강우량은 고도가 증가함에 따라 선형적으로 증가하였다. 또한, 재현기간이 길어질수록 고도에 따른 확률강우량 증가율도 증가하였다. 다만, 재현기간과 관계없이 지속시간이 짧을 경우 확률강우량과 고도와의 선형 관계는 약해지는 것으로 나타났다.