• The Korean Journal of Applied Statistics
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• v.23 no.5
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• pp.835-844
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• 2010

Tools for statistical analysis of extreme values include the classical annual maximum method, the modern threshold method and variants improving the second one. While the annual maximum method is to t th generalized extreme value distribution to the annual maxima of a time series, the threshold method is to the generalized Pareto distribution to the excesses over a high threshold from the series. In this paper we deal with the Poisson-GPD method, a variant of the threshold method with a further assumption that the total number of exceedances follows the Poisson distribution, and apply it to the daily percentage increases and decreases computed from the spot prices of West Texas Intermediate, which were collected from January 4th, 1988 until December 31st, 2009. According to this analysis, the distribution of daily percentage increases as well as decreases turns out to have a heavy tail, unlike the normal distribution, which coincides well with the general phenomenon appearing in the analysis of lots of nowaday nancial data.

• Asian-Australasian Journal of Animal Sciences
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• v.14 no.7
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• pp.910-914
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• 2001

The teat number of a sow plays an important role for weaning pigs and has been utilized in selection of swine breeding stock. Various linear models have been employed for genetic analyses of teat number although the teat number can be considered as a count trait. Theoretically, Poisson error mixed models are more appropriate for count traits than Normal error mixed models. In this study, the two models were compared by analyzing data simulated with Poisson error. Considering the mean square errors and correlation coefficients between observed and fitted values, the Poisson generalized linear mixed model (PGLMM) fit the data better than the Normal error mixed model. Also these two models were applied to analyzing teat numbers in four breeds of swine (Landrace, Yorkshire, crossbred of Landrace and Yorkshire, crossbred of Landrace, Yorkshire, and Chinese indigenous Min pig) collected in China. However, when analyzed with the field data, the Normal error mixed model, on the contrary, fit better for all the breeds than the PGLMM. The results from both simulated and field data indicate that teat numbers of swine might not have variance equal to mean and thus not have a Poisson distribution.

• Geomechanics and Engineering
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• v.35 no.5
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• pp.499-509
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• 2023

The objective of this study is to perform outlier analysis to obtain the distribution of groundwater levels through the best model. The groundwater levels are measured in 10, 25 and 30 piezometers in Seoul, Daejeon and Suncheon in South Korea. Fifty-eight empirical distribution functions were applied to determine a suitable fit for the measured groundwater levels. The best fitted models based on the measured values are determined as the Generalized Pareto distribution, the Johnson SB distribution and the Normal distribution for Seoul, Daejeon and Suncheon, respectively; the reliability is estimated through the Anderson-Darling method. In this study, to choose the appropriate confidence interval, the relationship between the amount of outlier data and the confidence level is demonstrated, and then the 95% is selected at a reasonable confidence level. The best model shows a smaller error ratio than the GEV while the Mahalanobis distance and outlier labelling methods results are compared and validated. The outlier labelling and Mahalanobis distance based on median shown higher validated error ratios compared to their mean equivalent suggesting, the methods sensitivity to data structure.

• Journal of Microbiology and Biotechnology
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• v.12 no.3
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• pp.449-456
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• 2002

The objective of this study was to optimize medium composition of initial pH, tryptone, glucose, yeast extract, and mineral mixture for production of bacteriocin by Lactobacillus acidophilus ATCC 4356, using response surface methodology. A response surface approach including new statistical and plotting methods was employed for design and analysis of the experiment. An interiorly augmented central composite design was used as an experimental design. A normal-distribution log-link generalized linear model based on a subset fourth-order polynomial ($R^2$=0.94, Mean Error Deviance=0.0065) was used as an analysis model. This model was statistically superior to the full second-order polynomial-based generalized linear model ($R^2$=0.80, Mean Error Deviance=0.0140). Nonlinear programming determined the optimum composition of the medium as initial pH 6.35, typtone $1.21\%$, glucose $0.9\%$, yeast extract $0.65\%$, and mineral mixture $1.17\%$. A validation experiment confirmed that the optimized medium was comparable to the MRS medium in bacteriocin production, having the advantage of economy and practicality.

• Wind and Structures
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• v.30 no.6
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• pp.575-595
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• 2020

The characteristics of winds associated with tropical cyclones are of great significance in many engineering fields. This paper presents an investigation of wind characteristics over a coastal urban terrain based on field measurements collected from multiple cup anemometers and ultrasonic anemometers equipped at 13 height levels on a 356-m-high meteorological tower in Shenzhen during severe Typhoon Hato. Several wind quantities, including wind spectrum, gust factor, turbulence intensity and length scale as well as wind profile, are presented and discussed. Specifically, the probability distributions of fluctuating wind speeds are analyzed in connection with the normal distribution and the generalized extreme value distribution. The von Karman spectral model is found to be suitable to depict the energy distributions of three-dimensionally fluctuating winds. Gust factors, turbulence intensity and length scale are determined and discussed. Moreover, this paper presents the wind profiles measured during the typhoon, and a comparative study of the vertical distribution of wind speeds from the field measurements and existing empirical models is performed. The influences of the topography features and wind speeds on the wind profiles were investigated based on the field-measured wind records. In general, the empirical models can provide reasonable predictions for the measured wind speed profiles over a typical coastal urban area during a severe typhoon.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.46 no.2
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• pp.109-115
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• 2023

This paper studied the problem of determining the optimal inventory level to meet the customer service target level in a situation where the customer demand for each branch of a nationwide retailer is uncertain. To this end, ISR (In-Stock Ratio) was defined as a key management indicator (KPI) that can be used from the perspective of a nationwide retailer such as Samsung, LG, or Apple that sells goods at branches nationwide. An optimization model was established to allow the retailer to minimize the total amount of inventory held at each branch while meeting the customer service target level defined as the average ISR. This paper proves that there is always an optimal solution in the model and expresses the optimal solution in a generalized form using the Karush-Kuhn-Tucker condition regardless of the shape of the probability distribution of customer demand. In addition, this paper studied the case where customer demand follows a specific probability distribution such as a normal distribution, and an expression representing the optimal inventory level for this case was derived.

• Wind and Structures
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• v.19 no.4
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• pp.421-441
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• 2014

With the assistance of typhoon field data at aerial elevation level observed by meteorological satellites and wind velocity and direction records nearby the ground gathered in Guangzhou Weather Station between 1985 and 2001, some key wind field parameters under typhoon climate in Guangzhou region were calibrated based on Monte-Carlo stochastic algorithm and Meng's typhoon numerical model. By using Peak Over Threshold method (POT) and Generalized Pareto Distribution (GPD), Wind field characteristics during typhoons for various return periods in several typical engineering fields were predicted, showing that some distribution rules in relation to gradient height of atmosphere boundary layer, power-law component of wind profile, gust factor and extreme wind velocity at 1-3s time interval are obviously different from corresponding items in Chinese wind load Codes. In order to evaluate the influence of typhoon field parameters on long-span flexible bridges, 1:100 reduced-scale wind field of type B terrain was reillustrated under typhoon and normal conditions utilizing passive turbulence generators in TJ-3 wind tunnel, and wind-induced performance tests of aero-elastic model of long-span Guangzhou Xinguang arch bridge were carried out as well. Furthermore, aerodynamic admittance function about lattice cross section in mid-span arch lib under the condition of higher turbulence intensity of typhoon field was identified via using high-frequency force-measured balance. Based on identified aerodynamic admittance expressions, Wind-induced stochastic vibration of Xinguang arch bridge under typhoon and normal climates was calculated and compared, considering structural geometrical non-linearity, stochastic wind attack angle effects, etc. Thus, the aerodynamic response characteristics under typhoon and normal conditions can be illustrated and checked, which are of satisfactory response results for different oncoming wind velocities with resemblance to those wind tunnel testing data under the two types of climate modes.

• Journal of the Korean Society of Safety
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• v.32 no.5
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• pp.157-167
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• 2017

Millions of People die every year from diseases caused by exposure to outdoor air pollution. Especially, one of the most severe types of air pollution is fine particulate matter (PM10, PM2.5). South Korea also has been suffered from severe PM. This paper analyzes regional risks induced by PM10 and PM2.5 that have affected domestic area of Korea during 2014~2016.3Q. We investigated daily maxima of PM10 and PM2.5 data observed on 284 stations in South Korea, and found extremely high outlier. We employed extreme value distributions to fit the PM10 and PM2.5 data, but a single distribution did not fit the data well. For theses reasons, we implemented extreme mixture models such as the generalized Pareto distribution(GPD) with the normal, the gamma, the Weibull and the log-normal, respectively. Next, we divided the whole area into 16 regions and analyzed characteristics of PM risks by developing the FN-curves. Finally, we estimated 1-month, 1-quater, half year, 1-year and 3-years period return levels, respectively. The severity rankings of PM10 and PM2.5 concentration turned out to be different from region to region. The capital area revealed the worst PM risk in all seasons. The reason for high PM risk even in the yellow dust free season (Jun. ~ Sep.) can be inferred from the concentration of factories in this area. Gwangju showed the highest return level of PM2.5, even if the return level of PM10 was relatively low. This phenomenon implies that we should investigate chemical mechanisms for making PM2.5 in the vicinity of Gwangju area. On the other hand, Gyeongbuk and Ulsan exposed relatively high PM10 risk and low PM2.5 risk. This indicates that the management policy of PM risk in the west side should be different from that in the east side. The results of this research may provide insights for managing regional risks induced by PM10 and PM2.5 in South Korea.

• The Korean Journal of Applied Statistics
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• v.26 no.3
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• pp.483-494
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• 2013

The importance of financial risk management has been highlighted after several recent incidences of global financial crisis. One of the issues in financial risk management is how to measure the risk; currently, the most widely used risk measure is the Value at Risk(VaR). We can consider to estimate VaR using extreme value theory if the financial data have heavy tails as the recent market trend. In this paper, we study estimations of VaR using Peaks over Threshold(POT), which is a common method of modeling fat-tailed data using extreme value theory. To use POT, we first estimate parameters of the Generalized Pareto Distribution(GPD). Here, we compare three different methods of estimating parameters of GPD by comparing the performance of the estimated VaR based on KOSPI 5 minute-data. In addition, we simulate data from normal inverse Gaussian distributions and examine two parameter estimation methods of GPD. We find that the recent methods of parameter estimation of GPD work better than the maximum likelihood estimation when the kurtosis of the return distribution of KOSPI is very high and the simulation experiment shows similar results.

• Steel and Composite Structures
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• v.36 no.1
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• pp.47-62
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• 2020

In this study, free vibration behavior of trapezoidal sandwich plates with porous core and two graphene platelets (GPLs) reinforced nanocomposite outer layers are presented. The distribution of pores and GPLs are supposed to be functionally graded (FG) along the thickness of core and nanocomposite layers, respectively. The effective Young's modulus of the GPL-reinforced (GPLR) nanocomposite layers is determined using the modified Halpin-Tsai micromechanics model, while the Poisson's ratio and density are computed by the rule of mixtures. The FSDT plate theory is utilized to establish governing partial differential equations and boundary conditions (B.C.s) for trapezoidal plate. The governing equations together with related B.C.s are discretized using a mapping- generalized differential quadrature (GDQ) method in the spatial domain. Then natural frequencies of the trapezoidal sandwich plates are obtained by GDQ method. Validity of current study is evaluated by comparing its numerical results with those available in the literature. A special attention is drawn to the role of GPLs weight fraction, GPLs patterns of two faces through the thickness, porosity coefficient and distribution of porosity on natural frequencies characteristics. New results show the importance of this permeates on vibrational characteristics of porous/GPLR nanocomposite plates. Finally, the influences of B.C.s and dimension as well as the plate geometry such as face to core thickness ratio on the vibration behaviors of the trapezoidal plates are discussed.