• Journal of the Korean Statistical Society
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• 제35권1호
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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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• 제34권4호
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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.

• 대한수학회지
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• 제54권6호
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• pp.1879-1903
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• 2017

In this paper we study the closure property and probability tail asymptotics for randomly weighted sums $S^{\Theta}_n={\Theta}_1X_1+{\cdots}+{\Theta}_nX_n$ for long-tailed random variables $X_1,{\ldots},X_n$ and positive bounded random weights ${\Theta}_1,{\ldots},{\Theta}_n$ under similar dependence structure as in [26]. In particular, we study the case where the distribution of random vector ($X_1,{\ldots},X_n$) is generated by an absolutely continuous copula.

• 응용통계연구
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• 제9권1호
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• pp.165-177
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• 1996

제한된 t 분포로부터의 난수 생성은 특히 베이지안 분석에서 제한이 있는 모수의 사후밀도함수를 추정하기 위하여 몬테카를로 적분을 하는 경우 등에 필요하다. 그런데 제한영역이 t분포의 극단 꼬리부분으로 주어졌을 때 기존의 난수생성기법의 적용은 매우 비효율적이 될 수 있다. 본 논문에서는 난수생성 알고리즘을 제시하과 기존의 기법들과 시뮬레이션을 통하여 효율을 비교하였다.

• Journal of the Korean Physical Society
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• 제73권10호
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• pp.1431-1436
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• 2018

We study the scaling of the price fluctuation in the Korean housing market. From the numerical analysis, we show that the normalized return distribution of the housing price, P(r), has a fat-tail and is well approximated by a power-law, $P(r){\sim}r^{-({\alpha}+1)}$, with ${\alpha}{\simeq}3$ for the whole data set. However, if we divide the data into groups based on the trading patterns, then the value of ${\alpha}$ for positive tail and negative tail can be different depending on the trading patterns. We also find that the autocorrelation function of the housing price decays much slower than that of the stock exchange markets, which shows a unique feature of the housing market distinguished from the other financial systems.

• Journal of Ginseng Research
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• 제22권4호
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• pp.289-293
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• 1998

Six-year-old ginseng roots were divided into rhizome, main root (epidermis, cortex and xylem) and lateral root (big tail root, mid tail root and fine tail root) and the concentration levels of soluble dietary fiber (SDF) and insoluble dietary fiber (IDF) in each part of the ginseng were investigated. The amount ratios of SDF to IDF (SDF/IDF) in various parts of the ginseng root were also compared. The concentration levels of SDF and IDF in the ginseng root were 6.56% and 15.41 %, respectively, where the level of SDF in main root was a little higher than that of lateral root. However the amount of IDF in main root was lower than that of lateral root. The SDF/IDF was highest in main root, 0.513, which was higher than that of lateral root or rhizome. The SDF/IDF was 0.704 in xylem, 0.478 in cortex, and 0.099 in epidermis of the main root and the SDF/IDF was 0.576 in big tail root, 0.463 in mid tail root, and 0.255 in fine tail root of the lateral root. It has been reported that SDF might have preventive effects on diabetes, obesity, high blood pressure, colon and rectum cancers, while IDF might have preventive effects on constipation. Therefore, main root of six-year- old ginseng root is thought to have a little different physiological activity from lateral or fine tail roots.

• Clinical and Experimental Reproductive Medicine
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• 제25권1호
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• pp.1-8
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• 1998

항정자항체의 종류 및 존재부위가 정액성상 및 수정능력에 미치는 영향을 조사하였다. 항정자항체의 종류 및 존재부위는 immunobead binding test에 의하여 시행하였으며, 정자와 수정능력은 투명대제거 햄스터 난자 침입법에 의하여 시행하였다. 항정자항체는 정자수, 운동성 및 운동지수에 악영향을 끼쳤으며, 수정능력에도 악영향을 끼쳤다. 항정자항체의 존재부위에 따른 차이는 보이지 않았다. 항정자항체 IgG가 정자두부 혹은 정자미부에 존재할 경우 및 항정자항체 IgA가 정자미부에 존재할 경우 수정능력을 크게 감소시켰다.

• Communications for Statistical Applications and Methods
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• 제31권1호
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• pp.65-85
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• 2024

The tail probability of a function of a multivariate random variable is not easy to estimate by the crude Monte Carlo simulation. When the occurrence of the function value over a threshold is rare, the accurate estimation of the corresponding probability requires a huge number of samples. When the explicit form of the cumulative distribution function of each component of the variable is known, the inverse transform likelihood ratio method is directly applicable scheme to estimate the tail probability efficiently. The method is a type of the importance sampling and its efficiency depends on the selection of the importance sampling distribution. When the cumulative distribution of the multivariate random variable is represented by a copula and its marginal distributions, we develop an iterative algorithm to find the optimal importance sampling distribution, and show the convergence of the algorithm. The performance of the proposed scheme is compared with the crude Monte Carlo simulation numerically.

• 아태비즈니스연구
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• 제11권4호
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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 Data and Information Science Society
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• 제8권1호
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• pp.91-97
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• 1997

Maximum likelihood and jackknife estimators of the location and scale parameters and right-tail probability in the truncated arcsine distribution are proposed, and we shall compare the performances of the proposed estimators in terms of bias and mean squared error.