• Korean Management Science Review
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• v.24 no.2
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• pp.115-126
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• 2007

Weekly minima of daily log returns of Korean composite stock price index 200 and its five industry-based business divisions over the period from January 1990 to December 2005 are fitted using two block-based extreme distributions: Generalized Extreme Value(GEV) and Generalized Logistic(GLO). Parameters are estimated using the probability weighted moments. Applicability of two distributions is investigated using the Monte Carlo simulation based empirical p-values of Anderson Darling test. Our empirical results indicate that both the GLO and GEV models seem to be comparably applicable to the weekly minima. These findings are against the evidences in Gettinby et al.[7], who claimed that the GEV model was not valid in many cases, and supported the significant superiority of the GLO model.

• Journal of the Korean Data and Information Science Society
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• v.24 no.5
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• pp.1101-1101
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• 2013

• Journal of the Korean Statistical Society
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• v.35 no.1
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• pp.91-103
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• 2006

Yun (2005) introduced an estimator of the second order parameter characterizing the tail behavior of probability distributions and proved its consistency. In this paper we prove its asymptotic normality under a third order condition.

• Journal of the Korean Statistical Society
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• v.34 no.4
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• pp.273-280
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• 2005

In this paper we introduce an estimator of the second order parameter characterizing the tail behavior of probability distributions and prove its consistency.

• Journal of Environmental Science International
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• v.2 no.3
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• pp.235-243
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• 1993

Extreme environments and freak wave characteristics in the coastal waters of Korean Peninsula are analyzed using the observed wave data. Freak wave has been intensely emphasized as an important environmental force parameter in several recent research works. However, the mechanism and occurrence probability of freak wave are not clarified. The aims of this study we: to summarize the distribution of extreme environment for wind waves, and to find occurrence probability of freak wave in the coastal waters of Korean Peninsula. These extreme sea conditions are discussed by applying extreme value analysis method, and the statistic characteristics are summarized which can be used to the design and analysis of coastal structures. The mechanism and the occurrence probability of freak wave are also discussed in detail using wave parameters in considered with wave deformation in the coastal waters. Key Words : extreme wave, freak wave, extreme analysis, design wave, probability density.

• Journal of The Korean Society of Agricultural Engineers
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• v.54 no.6
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• pp.133-142
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• 2012

The objective of this study was to correct the bias of the Representative Concentration Pathways (RCP)-based future precipitation data using a quantile mapping method. This method was adopted to correct extreme values because it was designed to adjust simulated data using probability distribution function. The Generalized Extreme Value (GEV) distribution was used to fit distribution for precipitation data obtained from the Korea Meteorological Administration (KMA). The resolutions of precipitation data was 12.5 km in space and 3-hour in time. As the results of bias correction over the past 30 years (1976~2005), the annual precipitation was increased 16.3 % overall. And the results for 90 years (divided into 2011~2040, 2041~2070, 2071~2100) were that the future annual precipitation were increased 8.8 %, 9.6 %, 11.3 % respectively. It also had stronger correction effects on high value than low value. It was concluded that a quantile mapping appeared a good method of correcting extreme value.

• Journal of Korean Society of Water and Wastewater
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• v.30 no.4
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• pp.369-379
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• 2016

It was confirmed that the extreme value distribution model applies to probability of exceeding more than once a day monthly the facility capacities using data of daily maximum inflow rate for 7 wastewater treatment plant. The result of applying the extreme value model, A, D, E wastewater treatment plant has a problem compared to B, C, F, G wastewater treatment plant. but all the wastewater treatment plant has a problem except C, F wastewater treatment plant based 80% of facility capacity. In conclusion, if you make a standard in statistical aspects probability exceeding more than once a day monthly can be 'exceed day is less than a few times annually' or 'probability of exceeding more than once a day monthly is less than what percent'.

• The Korean Journal of Applied Statistics
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• v.33 no.1
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• pp.107-114
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• 2020

Extreme value distributions have often been used for the analysis (e.g., prediction of return level) of data which are observed from natural disaster. By the extreme value theory, the block maxima asymptotically follow the generalized extreme value distribution as sample size increases; however, this may not hold in a small sample case. For solving this problem, this paper proposes the use of a log-logistic (LLG) distribution whose validity is evaluated through goodness-of-fit test and model selection. The proposed method is illustrated with data from annual maximum earthquake magnitudes of China. Here, we present the predicted return level and confidence interval according to each return period using LLG distribution.

• Structural Engineering and Mechanics
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• v.74 no.1
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• pp.55-67
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• 2020

The common practice to predict the characteristic structural load effects (LEs) in long reference periods is to employ the extreme value theory (EVT) for building limit distributions. However, most applications ignore that LEs are driven by multiple loading events and thus do not have the identical distribution, a prerequisite for EVT. In this study, we propose the composite extreme value modeling approach using clustering to (a) cluster initial blended samples into finite identical distributed subsamples using the finite mixture model, expectation-maximization algorithm, and the Akaike information criterion; (b) combine limit distributions of subsamples into a composite prediction equation using the generalized Pareto distribution based on a joint threshold. The proposed approach was validated both through numerical examples with known solutions and engineering applications of bridge traffic LEs on a long-span bridge. The results indicate that a joint threshold largely benefits the composite extreme value modeling, many appropriate tail approaching models can be used, and the equation form is simply the sum of the weighted models. In numerical examples, the proposed approach using clustering generated accurate extrema prediction of any reference period compared with the known solutions, whereas the common practice of employing EVT without clustering on the mixture data showed large deviations. Real-world bridge traffic LEs are driven by multi-events and present multipeak distributions, and the proposed approach is more capable of capturing the tendency of tailed LEs than the conventional approach. The proposed approach is expected to have wide applications to general problems such as samples that are driven by multiple events and that do not have the identical distribution.

• Smart Structures and Systems
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• v.17 no.6
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• pp.995-1015
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• 2016

In the design and condition assessment of bridges, it is usually necessary to take into consideration the extreme conditions which are not expected to occur within a short time period and thus require an extrapolation from observations of limited duration. Long-term structural health monitoring (SHM) provides a rich database to evaluate the extreme conditions. This paper focuses on the extrapolation of extreme traffic load effects on bridges using long-term monitoring data of structural strain. The suspension Tsing Ma Bridge (TMB), which carries both highway and railway traffic and is instrumented with a long-term SHM system, is taken as a testbed for the present study. Two popular extreme value extrapolation methods: the block maxima approach and the peaks-over-threshold approach, are employed to extrapolate the extreme stresses induced by highway traffic and railway traffic, respectively. Characteristic values of the extreme stresses with a return period of 120 years (the design life of the bridge) obtained by the two methods are compared. It is found that the extrapolated extreme stresses are robust to the extrapolation technique. It may owe to the richness and good quality of the long-term strain data acquired. These characteristic extremes are also compared with the design values and found to be much smaller than the design values, indicating conservative design values of traffic loading and a safe traffic-loading condition of the bridge. The results of this study can be used as a reference for the design and condition assessment of similar bridges carrying heavy traffic, analogous to the TMB.