• Communications for Statistical Applications and Methods
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• v.3 no.2
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• pp.249-273
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• 1996

This paper reviews and develops several statistical models for extreme values, based on threshold methodology. Extreme values of a time series are modeled in terms of tails which are defined as truncated forms of original variables, and Markov property is imposed on the tails. Tails of the generalized extreme value distribution and a multivariate extreme value distributively, of the tails of the series. These models are then applied to real ozone data series collected in the Chicago area. A major concern is given to detecting any possible trend in the extreme values.

• The Journal of Sustainable Design and Educational Environment Research
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• v.3 no.2
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• pp.21-37
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• 2003

This study has the purpose for analysis of each region's property in order to plan a elementary school's space according to community property. For this analysis. we used classification method through classification analysis. classification analysis is one of the useful statistical analysis methode for determining each region's policy through classifying regions which have a similar property. On this study, Seoul and Kyongkido is classified by 4 groups and each group has a different community property. Such a analysis is thought of helping establishing the objective. reasonable space-plan through comparative analysis between subjective claim and objective state indicator of each region.

• Journal of Families and Better Life
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• v.26 no.2
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• pp.83-101
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• 2008

This research performs a multi comparison between the age of old households and the economic structure according to accommodation type as well as analyzing the economical structural difference of each type based on the features of aged households. The paper classified aged households into 3 groups according to age distribution. The economic structure analysis according to the age of old households and accommodation type was shown as follow: First, the economical structural analysis based on the age of old households showed a statistical difference in the total, labor, business, property and transfer income variables according to the age of each sample group. However, the non-business income and liabilities did not show a significant difference. Second, in the analysis of different economic earnings and initial expenses of middle-aged households according to the age distribution group showed a disparity in the total, labor, business, property, and transfer income variables according to the age of each sample group. However, aged households showed a statistical difference in total, labor, business and transfer income variables. Third, in the analysis of difference in the expense provision and size of consumption, there was a statistical difference in the expense variables of total consumption, food, dining out, electricity, water, furniture, kitchen supplies, clothing, shoe, education, culture, entertainment, transportation, and communication. Fourth, in the analysis of difference in the size of consumption expense, the initial and middle-aged households showed a statistical difference in the total consumption, food, dining out, electricity, water, furniture, kitchen supplies, clothing, shoe, education, culture, entertainment, transportation, communication, and consumption expense variables. However, the analysis of aged households has shown a statistical difference in the total consumption, food, dining out, electricity, water, furniture, kitchen supplies, clothing, shoe, education, culture, entertainment, transportation, and communication expense variables. The study found a statistical difference in the expense for hygienics that did not appear in the initial and middle-aged households.

• Communications for Statistical Applications and Methods
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• v.25 no.5
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• pp.489-499
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• 2018

Jeonse is a unique property rental system in Korea in which a tenant pays a part of the price of a leased property as a fixed amount security deposit and gets back the entire deposit when the tenant moves out at the end of the tenancy. Jeonse deposit is very important in the Korean real estate market since it is directly related to the residential property sales price and it is a key indicator to predict future real estate market trend. Jeonse deposit data shows a skewed and heteroscedastic distribution and the commonly used mean regression model may be inappropriate for the analysis of Jeonse deposit data. In this paper, we apply a Bayesian quantile regression model to analyze Jeonse deposit data, which is non-parametric and does not require any distributional assumptions. Analysis results show that the quantile regression coefficients of most explanatory variables change dramatically for different quantiles. The regression coefficients of some variables have different signs for different quantiles, implying that even the same variable may affect the Jeonse deposit in the opposite direction depending on the amount of deposit.

• Communications for Statistical Applications and Methods
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• v.3 no.2
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• pp.275-282
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• 1996

A life distribution F with survival function $\overline{F}$=1-F, finite mean $\mu$ and mean residual life m(t) is said to be NBUE(NWUE) if m(t)$\leq$($\geq$) .$\mu$ for t$\geq$0. This NBUE property can equivalently be characterized by the fact that $\varphi$(u)$\geq$($\leq$)u for 0$\leq$u$\leq$1, where $\varphi$(u) is the scaled total-time-on test transform of F. A generalization of the NBUE properties is that there is a value of p such that $\varphi$(u)\geq.u$ for 0$\leq$u$\leq$p and $\varphi$(u)\leq$$\leq$u$\leq$1, or vice versa. This means that we have a trend change in the NBUE property. In this paper we point out an error of Klefsjo's paper (1988). He erroneously takes advantage of trend change point of failure rate to calculate the empirical test size and power in lognormal distribution. We solves the trend change point of mean residual lifetime and recalculate the empirical test size and power of Klefsjo (1988) in mocensoring case.

• Asia-Pacific Journal of Business
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• v.11 no.4
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• pp.37-48
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• 2020

Purpose - This study empirically investigates whether the risk property included in fat-tails of return distributions is systematic or unsystematic based on the devised statistical methods. Design/methodology/approach - This study devised empirical designs based on two traditional methods: principal component analysis (PCA) and the testing method of portfolio diversification effect. The fatness of the tails in return distributions is quantitatively measured by statistical probability. Findings - According to the results, the risk property in the fat-tails of return distributions has the economic meanings of eigenvalues having a value greater than 1 through PCA, and also systematic risk that cannot be removed through portfolio diversification. In other words, the fat-tails of return distributions have the properties of the common factors, which may explain the changes of stock returns. Meanwhile, the fatness of the tails in the portfolio return distributions shows the asymmetric relationship of common factors on the tails of return distributions. The negative tail in the portfolio return distribution has a much closer relation with the property of common factors, compared to the positive tail. Research implications or Originality - This empirical evidence may complement the existing studies related to tail risk which is utilized in pricing models as a common factor.

• Journal of the Korean Society for Precision Engineering
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• v.22 no.12 s.177
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• pp.170-174
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• 2005

A numerical system to extract effective elastic properties of polycrystalline thin-films for MEMS devices is developed. In this system, the statistical model based on lattice system is used for modeling the microstructure evolution simulation and the key kinetics parameters of given micrograph, grain distributions and deposition process can be extracted by inverse method proposed in the system. In this work, effects of kinetics parameters on the extraction of effective elastic properties of polycrystalline thin-films are studied by using statistical method. Effects of the fraction of the potential site($f_p$) among the parameters for deposition process of microstructure on the extraction of effective elastic properties of polycrystalline thin-films are investigated. For this research, polysilicon is applied to this system as the polycrystalline thin-films.

• Proceedings of the Korean Society of Precision Engineering Conference
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• 2004.10a
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• pp.50-54
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• 2004

A numerical system to extract effective elastic properties of polycrystalline thin-films for MEMS devices is already developed. In this system, the statistical model based on lattice system is used for modeling the microstructure evolution simulation and the key kinetics parameters of given micrograph, grain distributions and deposition process can be extracted by inverse method proposed in the system. In this work, the effects of kinetics parameters on the extraction of effective elastic properties of polycrystalline thin-films are studied by using statistical method. The effects of the fraction of the potential site( $f_{P}$ ) and the nucleation probability( $P_{N}$ ) among the parameters for deposition process of microstructure on the extraction of effective elastic properties of polycrystalline thin-films are studied.d.d.

• Communications for Statistical Applications and Methods
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• v.11 no.2
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• pp.213-225
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• 2004

A fixed-strike lookback option is an option whose payoff is determined by the maximum (or minimum) price of the underlying asset within the option's life. Under the Black-Scholes framework, the time-t price of an equity asset follows a geometric Brownian motion. Applying the method of Esscher transforms, this paper will derive explicit pricing formulas for fixed-strike lookback call and put options, respectively. In addition, this paper will show a relationship (duality property) between the pricing formulas of the call and put options. Finally, this paper will derive explicit pricing formulas for the fixed-strike lookback options when their underlying asset pays dividends continuously at a rate proportional to its price.

• Journal of the Korean Institute of Telematics and Electronics A
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• v.30A no.12
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• pp.69-76
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• 1993

The statistical methodology using RSM (response surface method) was used too ptimize the deposition conditions of selective CVD tungsten process for improving the deposition rate and the adhesion property. Temperature, flow rate of SiH$_4$ and WF$_6$ and H$_2$ and Ar carrier gases were chosen for the deposition variables and process characteristics due to carrier gas were intensively investigated. It was observed that temperature was the main factor influencingthe deposition rate in the case of H$_2$ carrier gas while the reactant ratio, $SiH_{4}/WF_{6}$, had the principal effect on the deposition rate in the case of Ar carrier gas. The increased deposition rate and the good adhesion to Si were obtained under Ar carrier gas compared to H$_2$ carrier gas. The optimum conditions for deposition rate and antipeeling property were found to be the temperature range of 300~32$0^{\circ}C$ and the reactant ratio, $SiH_{4}/WF_{6}$, of 0.5~0.6.