• 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.

• Communications for Statistical Applications and Methods
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• 제2권2호
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• pp.336-346
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• 1995

In many problems concerned with statistical inferences, it will be of interest to compute tail areas rather than densities. But, it is often hard to calculate the exact tail probability. Saddlepoint approximation formula to the tail probability of a smooth function of random cector is developed by DiCiccio and Martin(1991). Applications of this method to stress-strength model are considered in this paper. To obtain the generalized p-values suggested by Tsui and Weerahandi(1989), we need to calculate complicated multiple integration. However, DiCiccio and Martin's(1991) results offer a convenient method to approximate these very accurately. For many artificial data sets, we access the accuracy of DiCiccio and Martin's by comparing the approximate value with the exact one.

• 한국통계학회:학술대회논문집
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• 한국통계학회 2005년도 춘계 학술발표회 논문집
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• pp.185-190
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• 2005

For the almost certainly convergent series $S_n$ of independent random variables the limiting behavior of tail series ${T_n}{\equiv}S-S_{n-1}$ is reviewed. More specifically, tail series strong laws of large number and tail series weak laws of large numbers will be introduced, and their relationship will be investigated. Then, the relationship will also be extended to the case of Banach space valued random elements, by investigating the duality between the limiting behavior of the tail series of random variables and that of random elements.

• 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.

• 대한수학회지
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• 제40권1호
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• pp.87-107
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• 2003

In this paper, we consider a discrete time queueing system fed by a superposition of an ON and OFF source with heavy tail ON periods and geometric OFF periods and a D-BMAP (Discrete Batch Markovian Arrival Process). We study the tail behavior of the queue length distribution and both infinite and finite buffer systems are considered. In the infinite buffer case, we show that the asymptotic tail behavior of the queue length of the system is equivalent to that of the same queueing system with the D-BMAP being replaced by a batch renewal process. In the finite buffer case (of buffer size K), we derive upper and lower bounds of the asymptotic behavior of the loss probability as $K\;\longrightarrow\;\infty$.

• 한국콘텐츠학회논문지
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• 제6권4호
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• pp.63-68
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• 2006

본 연구에서는, 서로 독립인 확률변수들의 합 $S_n$이 수렴하는 경우에, 확률변수들의 Tail 합 $T_n=S-S_{n-1}=\sum_{i=n}^{\infty}X_i$의 극한 성질을 연구함으로써, $S_n$이 하나의 확률변수 S로 수렴하는 속도를 연구한다. 좀 더 구체적으로 말하자면, 유사-단조감소(Quasi-monotone decreasing)하는 상수(Norming constants)의 수열에 대하여, 확률변수들의 Tail 합에 대한 약대수법칙과 하나의 수렴법칙이 동등함을 정리로 기술하고 증명하여, 기존의 연구 결과를 더 넓은 부류의 상수들의 경우에 적용할 수 있도록 확장한다.

• 대한수학회논문집
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• 제20권2호
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• pp.381-393
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• 2005

We consider a type of large deviation principle obtained by Freidlin and Wentzell for the solution of Stochastic differential equations in a conuclear space. We are using exponential tail estimates and exit probability of a Ito process. The nuclear structure of the state space is also used.

• 제어로봇시스템학회:학술대회논문집
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• 제어로봇시스템학회 2001년도 ICCAS
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• pp.121.1-121
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• 2001

Congestion control is a critical issue in TCP networks, Recently, active queue management (AQM) was proposed for congestion control at routers. The random early detection RED algorithm is widely known in the AQM algorithms, We present an adaptive nonlinear RED (NRED) algorithm, which has nonlinear drop probability profile. The proposed algorithm enhanced the performance of the RED algorithm by the self-parameterization based on the traffic load Furthermore, the proposed algorithm can effectively adapt itself between he RED and the drop-tail queue management by adopting proper nonlinearity in the drop probability profile. Through simulation, we show the effectiveness of the proposed algorithm comparing with the drop-tail and the original RED algorithm.

• 대한전자공학회논문지SD
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• 제39권4호
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• pp.1-9
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• 2002

DRAM에서 셀 파라메터들의 확률 분포를 고려하여 데이터 보유 시간에 대한 분포 특성을 계산하였다. 셀 파라메터와 셀 내부 전압의 과도 특성으로부터 데이터 보유 시간의 식을 유도하였다. 접합 공핍 영역에서 발생하는 누설 전류의 분포 특성은 재결합 트랩의 에너지 분포로, 셀 캐패시턴스 분포 특성은 유전체 성장에서 표면 반응 에너지의 분포 특성으로, 그리고 sense amplifer의 감도를 각각의 독립적인 확률 변수로 보고, monte carlo 시뮬레이션을 이용하여, 셀 파라메터 값들의 확률적 분포와, DRAM 셀들의 데이터 보유 시간에 대하여cumulative failure bit의 분포함수를 계산하였다 특히 sense amplifier의 감도 특성이 데이터 보유 시간 분포의 tail bit에 상당히 영향을 미침을 보였다.

• 한국군사과학기술학회지
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• 제15권1호
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• pp.93-100
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• 2012

In this paper, the deterministic optimal design for the tail plane made of composite materials is conducted under the deterministic loading condition and compared with that of the metallic materials. Next, the reliability analysis with five random variables such as loading and material properties of unidirectional prepreg is conducted to examine the probability of failure for the deterministic optimal design results. The MATLAB programing is used for reliability analysis combined with FEA S/W(COMSOL) for structural analysis. The laminated composite is assumed to the equivalent orthotropic material using classical laminated plate theory. The response surface methodology and importance sampling technique are adopted to reduce computational cost with satisfying the accuracy in reliability analysis. As a result, structural weight of composite materials is lighter than that of metals in deterministic optimal design. However, the probability of failure for the deterministic optimal design of the tail plane structures is too high to be neglected. The sensitivity of each variable is also estimated using probabilistic sensitivity analysis to figure out which variables are sensitive to failure. The computational cost is considerably reduced when response surface methodology and importance sampling technique are used. The study of the computationally inexpensive method for reliability-based design optimization will be necessary in further work.