• Journal of the Korean Data and Information Science Society
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• v.24 no.4
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• pp.857-865
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• 2013

Extreme rainfall causes heavy losses in human life and properties. Hence many works have been done to predict extreme rainfall by using extreme value distributions. In this study, we use a generalized extreme value distribution to derive the posterior predictive density with hierarchical Bayesian approach based on the data of Seoul area from 1973 to 2010. It becomes clear that the probability of the extreme rainfall is increasing for last 20 years in Seoul area and the model proposed works relatively well for both point prediction and predictive interval approach.

• Journal of the Korean Data and Information Science Society
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• v.16 no.3
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• pp.629-638
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• 2005

We derive the approximate maximum likelihood estimators of the scale parameter and location parameter of the extreme value distribution based on multiply Type-II censored samples. We compare the proposed estimators in the sense of the mean squared error for various censored samples.

• Journal of the Korean Data and Information Science Society
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• v.19 no.4
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• pp.1441-1448
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• 2008

We propose the modified quantile-quantile (Q-Q) plot using the approximate maximum likelihood estimators and the modified normalized sample Lorenz curve (NSLC) plot for the extreme value distribution based on multiply Type-II censored samples. Using two example data sets, we picture the modified Q-Q plot and the modified NSLC plot.

• Journal of the Korean Data and Information Science Society
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• v.18 no.3
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• pp.817-826
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• 2007

In this paper, we derive the approximate maximum likelihood estimators of the scale parameter and the location parameter in a generalized extreme value distribution under multiply Type-II censoring by the approximate maximum likelihood estimation method. We compare the proposed estimators in the sense of the mean squared error for various censored samples.

• Journal of the Korean Data and Information Science Society
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• v.25 no.3
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• pp.643-653
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• 2014

In this paper, we propose some estimators for the extreme value distribution based on the interval method and mid-point approximation method from the progressive Type-I interval censored sample. Because log-likelihood function is a non-linear function, we use a Taylor series expansion to derive approximate likelihood equations. We compare the proposed estimators in terms of the mean squared error by using the Monte Carlo simulation.

• Wind and Structures
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• v.33 no.6
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• pp.423-435
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• 2021

Although existing algorithms can predict wind speed using historical observation data, for engineering feasibility, most use moment methods and probability density functions to estimate fitted parameters. However, extreme wind speed prediction accuracy for long-term return periods is not always dependent on how the optimized frequency distribution curves are obtained; long-term return periods emphasize general distribution effects rather than marginal distributions, which are closely related to potential extreme values. Moreover, there are different wind speed parent sample types; how to theoretically select the proper extreme value distribution is uncertain. The influence of different sampling time intervals has not been evaluated in the fitting process. To overcome these shortcomings, updated steps are introduced, involving parameter sensitivity analysis for different sampling time intervals. The extreme value prediction accuracy of unknown parent samples is also discussed. Probability analysis of mean wind is combined with estimation of the probability plot correlation coefficient and the maximum likelihood method; an iterative estimation algorithm is proposed. With the updated steps and comparison using a Monte Carlo simulation, a fitting policy suitable for different parent distributions is proposed; its feasibility is demonstrated in extreme wind speed evaluations at Longhua and Chuansha meteorological stations in Shanghai, China.

• Journal of the Korean Society of Industry Convergence
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• v.8 no.2
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• pp.85-95
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• 2005

The margin level in the futures market platys an important role in balancing the default probability with the investor's opportunity cost. In this paper, we investigate whether the movement of KOSPI200 futures daily prices can be modeled with the extreme value theory. Based on this investigation, we examine the validity of the margin level set by the extreme value theory. Moreover, we propose an expected profit-maximization model for securities companies. In this model, the extreme value theory is used for cost estimation, and a regression analysis is used for revenue calculation. Computational results are presented to compare the extreme value distribution with the empirical distribution of margin violation in KOSPI200 and to examine the suitability of the expected profit-maximization model.

• Wind and Structures
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• v.2 no.2
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• pp.85-94
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• 1999

The EARPG(1)/UPS was first developed by Seong (1993) and has been tested for wind pressure time series simulations (Seong and Peterka 1993, 1997, 1998) to prove its excellent performance for generating non-Gaussian time series, in particular, with large amplitude sharp peaks. This paper presents a parametric study focused on simulation of extreme value statistics based on the synthetic realizations of the EARPG(1)/UPS. The method is shown to have a great capability to simulate a wide range of non-Gaussian statistic values and extreme value statistics with exact target sample power spectrum. The variation of skewed long tail in PDF and extreme value distribution are illustrated as function of relevant parameters.

• Journal of applied mathematics & informatics
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• v.28 no.1_2
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• pp.523-529
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• 2010

In this paper, we obtain some recurrence relations for the quotient moments of the lower record values from the generalized extereme value(GEV) distribution. We also deduce some recurrence relations for the negative moments from the GEV distribution.

• Journal of Advanced Research in Ocean Engineering
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• v.4 no.4
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• pp.185-194
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• 2018

In this study, the extreme sloshing pressure was predicted using various statistical models: three-parameter Weibull distribution, generalized Pareto distribution, generalized extreme value distribution, and three-parameter log-logistic distribution. The estimation of sloshing impact pressure is important in design of liquid cargo tank in severe sea state. In order to get the extreme values of local impact pressures, a lot of model tests have been carried out and statistical analysis has been performed. Three-parameter Weibull distribution and generalized Pareto distribution are widely used as the statistical analysis method in sloshing phenomenon, but generalized extreme value distribution and three-parameter log-logistic distribution are added in this study. Additionally, statistical distributions are fitted to peak pressure data using three different parameter estimation methods. The data were obtained from a three-dimensional sloshing model text conducted at Seoul National University. The loading conditions were 20%, 50%, and 95% of tank height, and the analysis was performed based on the measured impact pressure on four significant panels with large sloshing impacts. These fittings were compared by observing probability of exceedance diagrams and probability plot correlation coefficient test for goodness-of-fit.