• The Korean Journal of Applied Statistics
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• v.25 no.1
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• pp.101-114
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• 2012

In car insurance, the loss ratio is the ratio of total losses paid out in claims divided by the total earned premiums. In order to minimize the loss to the insurance company, estimating extreme quantiles of loss ratio distribution is necessary because the loss ratio has essential prot and loss information. Like other types of insurance related datasets, the distribution of the loss ratio has heavy-tailed distribution. The Peaks over Threshold(POT) and the Hill estimator are commonly used to estimate extreme quantiles for heavy-tailed distribution. This article compares and analyzes the performances of various kinds of parameter estimating methods by using a simulation and the real loss ratio of car insurance data. In addition, we estimate extreme quantiles using the Hill estimator. As a result, the simulation and the loss ratio data applications demonstrate that the POT method estimates quantiles more accurately than the Hill estimation method in most cases. Moreover, MLE, Zhang, NLS-2 methods show the best performances among the methods of the GPD parameters estimation.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.13 no.3
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• pp.139-154
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• 1993

The major purpose of this study is to develop a regionalized regression model, which predicts flood peaks from the characteristics of the ungaged catchments, through the regional flood frequency analysis for the selected stage gauging stations located on several natural rivers of Korea. The magnitude and the frequency of flood peaks with specified recurrence intervals were estimated from the flood frequency analysis on the 28 selected stage gauging stations distributed on the five major rivers of Korea. The results of the analysis were compared with the predictions from the two different flood frequency models. From the statistical evaluation of these models, it was revealed that the POT model (Peaks Over a Threshold model), which is based on the partial duration method, is more effective in predicting flood peaks from short period records than the ANNMAX model (ANNual MAXimum model) which is based on the annual maximum series method. A regionalized regression model was developed to facilitate the estimation of design floods for ungaged catchments through the regression analysis between flood peaks and the topographic characteristics of the catchments assumed to be important in runoff processes. In addition to this, the correlation diagrams are presented which show the relationships between flood peaks with specified recurrence intervals and the major characteristics of the catchments.

• 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.

• Structural Engineering and Mechanics
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• v.85 no.4
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• pp.531-543
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• 2023

The existing concrete bridges are time-varying working systems, where the maintenance strategy should be planned according to the time-varying performance of the bridge. This work proposes a time-dependent residual capacity assessment procedure, which considers the non-stationary bridge load effects under growing traffic and non-stationary structural deterioration owing to material degradations. Lifetime bridge load effects under traffic growth are predicated by the non-stationary peaks-over-threshold (POT) method using time-dependent generalized Pareto distribution (GPD) models. The non-stationary structural resistance owing to material degradation is modeled by incorporating the Gamma deterioration process and field inspection data. A three-span continuous box-girder bridge is illustrated as an example to demonstrate the application of the proposed procedure, and the time-varying reliability indexes of the bridge girder are calculated. The accuracy of the proposed non-stationary POT method is verified through numerical examples, where the shape parameter of the time-varying GPD model is constant but the threshold and scale parameters are polynomial functions increasing with time. The case study illustrates that the residual flexural capacities show a degradation trend from a slow decrease to an accelerated decrease under traffic growth and material degradation. The reliability index for the mid-span cross-section reduces from 4.91 to 4.55 after being in service for 100 years, and the value is from 4.96 to 4.75 for the mid-support cross-section. The studied bridge shows no safety risk under traffic growth and structural deterioration owing to its high design safety reserve. However, applying the proposed numerical approach to analyze the degradation of residual bearing capacity for bridge structures with low safety reserves is of great significance for management and maintenance.

• Communications for Statistical Applications and Methods
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• v.18 no.6
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• pp.717-732
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• 2011

We consider bootstrap confidence intervals for high quantiles of heavy-tailed distribution. A semi-parametric method is compared with the non-parametric and the parametric method through simulation study.

• Journal of the Institute of Convergence Signal Processing
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• v.9 no.1
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• pp.1-9
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• 2008

One of the problems for implementing the spot detection phase in the 2-DE gel image analysis program is the eliminating noises in the image. Remained noises after the preprocessing phase cause the over-segmented regions by the segmentation phase. To identify and exclude the over-segmented background regions, if we use the fixed thresholding method that is choosing an intensity value for the threshold, the spots that is invisible by the eyes but mean a very small amount proteins which have important role in the biological samples could be eliminated. This paper propose an adaptive thresholding method that come from an idea that is got on statistical analysing for the prominences of the peaks. The adaptive thresholding method works as following. Firstly we calculate an average prominence value curve and fit it to exponential function curve, as a result we get parameters for the exponential function. And then we calculate a threshold value by using the parameters and probability distribution of errors. Lastly we apply the threshold value to the region for determining the region is a noise or not. According to the probability distribution of errors, the reliability is 99.85% and we show the correctness of the proposed method by representing experiment results.

• Journal of Korea Water Resources Association
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• v.45 no.3
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• pp.275-290
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• 2012

In this study, we have developed an optimal time distribution model through extraction of peaks over threshold (POT) series. The median values for annual maximum rainfall dataset, which are obtained from the magnetic recording (MMR) and the automatic weather system(AWS) data at Seoul meteorological observatory, were used as the POT criteria. We also suggested the improved methodology for the time distribution of extreme rainfall compared to Huff method, which is widely used for time distributions of design rainfall. The Huff method did not consider changing in the shape of time distribution for each rainfall durations and rainfall criteria as total amount of rainfall for each rainfall events. This study have suggested an extracting methodology for rainfall events in each quartile based on interquartile range (IQR) matrix and selection for the mode quartile storm to determine the ranking cosidering weighting factors on minutely observation data. Finally, the optimal time distribution model in each rainfall duration was derived considering both data size and characteristics of distribution using kernel density function in extracted dimensionless unit rainfall hyetograph.

• 한국정보컨버전스학회:학술대회논문집
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• 2008.06a
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• pp.113-116
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• 2008

In this paper we suggest two novel methods for an implementation of the spot detection phase in the 2-DE gel image analysis program. The one is the adaptive thresholding method for eliminating noises and the other is the asymmetric diffusion model for spot matching. Remained noises after the preprocessing phase cause the over-segmentation problem by the next segmentation phase. To identify and exclude the over-segmented background regions, il we use a fixed thresholding method that is choosing an intensity value for the threshold, the spots that are invisible by one's human eyes but mean very small amount proteins which have important role in the biological samples could be eliminated. Accordingly we suggest the adaptive thresholding method which comes from an idea that is got on statistical analysis for the prominences of the peaks. There are the Gaussian model and the diffusion model for the spot shape model. The diffusion model is the closer to the real spot shapes than the Gaussian model, but spots have very various and irregular shapes and especially asymmetric formation in x-coordinate and y-coordinate. The reason for irregularity of spot shape is that spots could not be diffused perfectly across gel medium because of the characteristics of 2-DE process. Accordingly we suggest the asymmetric diffusion model for modeling spot shapes. In this paper we present a brief explanation ol the two methods and experimental results.

• Proceedings of the Korea Water Resources Association Conference
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• 2015.05a
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• pp.38-38
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• 2015

최근 다변량 확률모형을 이용한 빈도해석이 여러 수문분야에 걸쳐 연구되고 있다. 기존 일변량 빈도해석에 비해 변수활용에 대한 자유도와 물리적 현상을 정확하게 표현할 수 있다는 장점이 있으나, 표본자료의 부족, 매개변수 추정 및 적합도 검정 등의 어려움으로 실제 분야에 사용되기 어려운 점이 있다. 본 연구에서는 copula 모형에 대하여 Cramer-von Mises(CVM) 적합도 검정 시 표본자료의 적정 크기를 결정하기 위하여 Peaks-Over-Threshold(POT) 방법을 이용하였다. 서울지점의 기상청 시강우 자료를 이용하여 빈도해석을 수행하였으며, Gumbel copula 모형에 대하여 매개변수 추정은 maximum pseudolikelihood method(MPL) 방법을 이용하였다. 50년의 기록 자료에 대하여 표본크기를 50개부터 2500개까지 조절하여 CVM 통계값과 p-value를 기준으로 적정 표본크기를 산정하였다.

• The Korean Journal of Applied Statistics
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• v.27 no.3
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• pp.461-473
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• 2014

We consider condence intervals for high quantiles of heavy-tailed distribution. The asymptotic condence intervals based on the limiting distribution of estimators are considered together with bootstrap condence intervals. We can also apply a non-parametric, parametric and semi-parametric approach to each of these two kinds of condence intervals. We considered 11 condence intervals and compared their performance in actual coverage probability and the length of condence intervals. Simulation study shows that two condence intervals (the semi-parametric asymptotic condence interval and the semi-parametric bootstrap condence interval using pivotal quantity) are relatively more stable under the criterion of actual coverage probability.