• 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 the Korean Mathematical Society
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• v.54 no.6
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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.

• The Korean Journal of Applied Statistics
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• v.9 no.1
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• pp.165-177
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• 1996

It is often needed to generate random numbers from truncated t-distributions to carry out Bayesian inferences, especially in Monte Carlo integration for estimation of posterior densities of constrained parameters. However, when the restricted area is an extreme tail area with a small probability most existing random generation methods are not efficient. In this paper, we propose an efficient acceptance-rejection method to generate random numbers from extreme tail areas of a t-distribution. Using some simulation results, we compare the proposed algorithm with other popular methods.

• Journal of the Korean Physical Society
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• v.73 no.10
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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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• v.22 no.4
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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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• v.25 no.1
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• pp.1-8
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• 1998

To investigate the influences on semen parameters and fertilizing capacity of immunoglobulin (Ig) isotypes and regional distribution of antisperm antibody (ASA) on the human sperm surface. Sixty-seven ASA-positive patients were compared with 96 ASA-negative donors. ASAs in semen showed significant negative effects on both semen parameters and fertilizing capacity; in those with ASAs in the sperm head and/or tail, the reductions were significant. In the head as well as the tail, there was close correlation between fertilizing capacity and both IgG and IgA. Both semen parameters and fertilizing capacity are significantly affected by the presence of ASA in semen. In particular, antibodies IgG to sperm head and/or tail, and antibodies IgA to sperm tail appeared to have a highly detrimental effect on fertilizing capacity.

• Communications for Statistical Applications and Methods
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• v.31 no.1
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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.

• Asia-Pacific Journal of Business
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• v.11 no.4
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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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• v.8 no.1
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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.