• 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.

• Spatial Information Research
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• v.6 no.1
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• pp.77-90
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• 1998

The complex interactions of climate, topography, geology, biota and hwnan activities result in the land cover patterns, which are impacted by natural disturbances such as fire, earthquake and flood. Natural disturbances disrupt ecosystem communities and change the physical environment, thereby generating a new landscape. Community ecologists believe that disturbance is critical in determining how diverse ecological systems function. Fires were once a major agent of disturbance in the North American tall grass prairies, African savannas, and Australian bush. The major focus of this research was to develop stochastic model of spatial process of disturbance or spatial events and simulate the process based on the developed model and it was applied to the fire arrival process in the Great Victoria Desert of Australia, where wildfires generate a mosaic of patches of habitat at various stages of post-fire succession. For this research, Landsat Multi-Spectral Scanner(MSS) data covering the period from 1972 to 1994 were utilized. Fire arrival process is characterized as a spatial point pattern irregularly distributed within a region of space. Here, nonhomogeneous planar Poisson process is proposed as a model for the fire arrival process and rejection sampling thinning the homogeneous Poisson process is used for its simulation.

• The Journal of the Korea institute of electronic communication sciences
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• v.9 no.2
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• pp.187-194
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• 2014

In this paper, we analyze the outage probability of macro diversity combining in cellular networks in consideration of aggregate interference from other mobile stations (MSs). Different from existing works analyzing the outage probability of macro diversity combining, we focus on a diversity gain attained by selecting a base station (BS) subject to relatively low aggregate interference. In our model, MSs are randomly located according to a Poisson point process. The outage probability is analyzed by approximating the multivariate distribution of aggregate interferences on multiple BSs by a multivariate lognormal distribution.

• Journal of Communications and Networks
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• v.16 no.5
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• pp.568-577
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• 2014

We consider a mobile content delivery network (mCDN) in which special mobile devices designated as caching servers (caching-server device: CSD) can provide mobile stations with popular contents on demand via device-to-device (D2D) communication links. On the assumption that mobile CSD's are randomly distributed by a Poisson point process (PPP), an optimization problem is formulated to determine the probability of storing the individual content in each server in a manner that minimizes the average caching failure rate. Further, we present a low-complexity search algorithm, optimum dual-solution searching algorithm (ODSA), for solving this optimization problem. We demonstrate that the proposed ODSA takes fewer iterations, on the order of O(log N) searches, for caching N contents in the system to find the optimal solution, as compared to the number of iterations in the conventional subgradient method, with an acceptable accuracy in practice. Furthermore, we identify the important characteristics of the optimal caching policies in the mobile environment that would serve as a useful aid in designing the mCDN.

• ETRI Journal
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• v.42 no.5
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• pp.712-720
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• 2020

Recently, to make the best use of limited and precious spectrum resources, spectrum sharing between satellite and cellular networks has received much interest. In this study, we mathematically analyze the success probability of a fixed (satellite) earth station (FES) based on a stochastic geometry framework. Both the FES and base stations (BSs) are assumed to be equipped with a directional antenna, and the location and the number of BSs are modeled based on the Poisson point process. Furthermore, an exclusion zone is considered, in which the BSs are prohibited from locating in a circular zone with a certain radius around the FES to protect it from severe interference from the cellular BSs. We validate the analytical results on the success probability of the cognitive satellite-terrestrial network with directional antennas by comparing it using extensive computer simulations and show the effect of the exclusion zone on the success probability at the FES. It is shown that the exclusion zone-based interference mitigation technique significantly improves the success probability as the exclusion zone increases.

• The Korean Journal of Applied Statistics
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• v.29 no.2
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• pp.345-354
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• 2016

Inhomogeneous Poisson process models are widely applied to landslide data to understand how environmental variables systematically influence the risk of landslides. However, those models cannot successfully explain the clustering phenomenon of landslide locations. In order to overcome this limitation, we propose to use a Cauchy cluster process model and show how it improves the goodness of fit to the landslide data in terms of K-function. In addition, a numerical study is performed to select the optimal estimation method for the Cauchy cluster process.

• Journal of Applied Reliability
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• v.9 no.2
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• pp.121-130
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• 2009

The power law process model the Rate of occurrence of failures(ROCOF) with monotonic trend during the operating time. However, the power law process is inappropriate when a non-monotonic trend in the failure data is observed. In this paper we deals with the reliability modeling of the failure process of large and complex repairable system whose rate of occurrence of failures shows the non-monotonic trend. We suggest a sectional model and a change-point test based on the Schwarz information criterion(SIC) to describe the non-monotonic trend. Maximum likelihood is also suggested to estimate parameters of sectional model. The suggested methods are applied to field data from an repairable system.

• Journal of the Korea Institute of Military Science and Technology
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• v.14 no.5
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• pp.859-870
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• 2011

The purpose of this paper is to develop reliability analysis procedures for repairable systems with interval failure time data and apply the procedures for assessing the storage reliability of a subsystem of a certain type of guided missile. In the procedures, the interval failure time data are converted to pseudo failure times using the uniform random generation method, mid-point method or equispaced intervals method. Then, such analytic trend tests as Laplace, Lewis-Robinson, Pair-wise Comparison Nonparametric tests are used to determine whether the failure process follows a renewal or non-renewal process. Monte Carlo simulation experiments are conducted to compare the three conversion methods in terms of the statistical performance for each trend test when the underlying process is homogeneous Poisson, renewal, or non-homogeneous Poisson. The simulation results show that the uniform random generation method is best among the three. These results are applied to actual field data collected for a subsystem of a certain type of guided missile to identify its failure process and to estimate its mean time to failure and annual mean repair cost.

• Journal of Satellite, Information and Communications
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• v.10 no.3
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• pp.1-5
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• 2015

Recently, RF energy harvesting technology is a promising technology for small-size IoT(Internet of Things) devices such as sensor to resolve battery scarcity problem. When applied to existing cognitive radio networks, this technology can be expected to increase network throughput through the increase of cognitive user's operating time. This paper proposes a optimal channel-selection policy for RF energy harvesting CR networks model where cognitive users in harvesting zone harvest ambient RF energy from transmission by nearby active primary users and the others in non-harvesting zone choose the channel and communicate with their receiver. We consider that primary users and secondary users are distributed as Poisson point processes and contact with their intended receivers at fixed distances. Finally we can derive the optimal frame duration, transmission power and density of secondary user from the proposed model that can maximize the secondary users's throughput under the given several conditions and suggest future directions of research.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.32 no.1
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• pp.11-19
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• 2009

A number of trend test methods, i.e., Military Handbook test and Laplace test etc., have been applied to investigate recurrent failures trend in repairable systems. Existing methods provide information about only existence of trend in the system. In this paper, we propose a new change-point test based on the Schwarz Information Criterion(SIC). The change-point approach is more informative than other trend test methods in that it provides the number of change-points and the location of change-points if it exists, as well as the existence of change-point for recurrent failures. The change-point test is applied to nine 300MW generating units operated in East China. We confirm that the change-point test has a potential for establishing optimal preventive maintenance policy by detecting change-point of failure rate.