• The Korean Journal of Applied Statistics
• /
• v.36 no.6
• /
• pp.529-545
• /
• 2023

This paper introduces the Banded-VHAR model suitable for high-dimensional long-memory time series with band structure. The Banded-VHAR model has nonignorable correlations only with adjacent dimensions due to data features, for example, geographical information. Row-wise estimation method is adapted for fast computation. Also, two estimation methods, namely BIC and ratio methods, are proposed to estimate the width of band. We demonstrate asymptotic consistency of our proposed estimation methods through simulation study. Real data applications to pm2.5 and apartment trading volume substantiate that our Banded-VHAR model outperforms traditional sparse VHAR model in forecasting and easy to interpret model coefficients.

• Journal of the Earthquake Engineering Society of Korea
• /
• v.1 no.2
• /
• pp.1-15
• /
• 1997

This paper presents substructural identification methods for the assessment of local damages in complex and large structural systems. For this purpose, an auto-regressive and moving average with stochastic input (ARMAX) model is derived for a substructure to process the measurement data impaired by noises. Using the substructural methods, the number of unknown parameters for each identification can be significantly reduced, hence the convergence and accuracy of estimation can be improved. Secondly, the damage index is defined as the ratio of the current stiffness to the baseline value at each element for the damage assessment. The indirect estimation method was performed using the estimated results from the identification of the system matrices from the substructural identification. To demonstrate the proposed techniques, several simulation and experimental example analyses are carried out for structural models of a 2-span truss structure, a 3-span continuous beam model and 3-story building model. The results indicate that the present substructural identification method and damage estimation methods are effective and efficient for local damage estimation of complex structures.

• Proceedings of the Korea Water Resources Association Conference
• /
• 2018.05a
• /
• pp.327-327
• /
• 2018

돌발홍수, 집중호우 등 강우가 발생 원인되는 자연재해에 효과적으로 대응하기 위한 연구가 활발히 이루어지고 있으나 강우의 시공간 변동성과 발생과정의 복잡한 물리과정으로 인해 강우 추정에 한계를 가진다. 일반적으로 강우 추정은 물리적, 추계학적 모형을 이용하며 추계학적 모형의 점과정(point process)을 이용하여 강우를 생산한다. 추계학적 강우 모형은 관측 강우의 시간 스케일, 강우발생 빈도, 강우 강도 등 강우 구조의 특성을 반영 할 수 있다는 장점을 가지고 있으나 생산되는 강우의 구조가 추정되는 매개변수에 크게 의존한다는 점에서 실제 강우에 적합한 매개변수 추정이 중요하다. 본 연구에서는 낙동강 유역내에 있는 20개의 강우관측 지점을 대상으로 1973년-2017년까지의 강우 관측자료를 수집하였으며 추계학적 강우생성 모형으로 점과정을 이용하는 추계학적 강우생성 모형인 NSRPM(Neymann-Scott rectangular pulse model)을 선정하였다. NSRPM모형의 매개변수를 추정하기위한 최적기법으로 DFP(Davidon-Fletcher-Powell), GA(genetic algorithm), Nelder-Mead, DE(differential evolution)를 이용하여 추정된 매개변수의 적합성을 분석하고 지역특성을 고려한 매개변수 추정 기법을 제시하였다. 추정된 모형의 매개변수를 분석한 결과 DE와 Nelder-Mead 기법이 높은 적합성을 보였으며 DFP, GA기법이 상대적으로 낮은 적합도를 보였다.

• Journal of the Society of Naval Architects of Korea
• /
• v.35 no.2
• /
• pp.20-28
• /
• 1998

To accurately predict the motion of a submergible, the nonlinear structure of dynamic model should be selected and corresponding parameters should be estimated using model test. Providing the model structure, only the values of parameters are unknown and the estimation can thus be formulated as a standard least square problem. Unfortunately, the nonlinear model structure of submersibles is rarely known a prior and method of model structure determination from measurement data of model test should be developed and included as a vital part of the estimation procedure. In this study, the well-known linear least square algorithm for the analysis of model tests and a way to measure the goodness are reviewed, and the identification algorithm based on an orthogonal decomposition method of Gram-Schmidt is extended to combine structure selection and maneuvering coefficients estimation in a very simple and efficient manner. Finally, the efficiency of this algorithm is verified by using simulation and applying to the analysis of model test of a submerged body. As a result, it was verified that this combined method might be very erective in selecting the structure of dynamic model estimating the maneuvering coefficients from measurement fiat of model test.

• Proceedings of the Computational Structural Engineering Institute Conference
• /
• 1992.04a
• /
• pp.13-18
• /
• 1992

구조물의 동적실험을 통하여 얻은 하중과 거동에 대한 시간기록을 분석하여, 구조계의 동 특성계수들을 추정하는 기법에 대하여 연구하였다. 실험과정 및 해석모형과정의 오차를 고려하기 위하여, 하중기록과 구조거동기록간의 관계를 추계론적 자동회기 및 이동평균모형(Stochastic Auto-Regressive and Moving-Average (ARMAX) Model)음 사용하여 모형화하였다. 미지의 ARMAX 계수행렬들은 순차적 예측오차기법을 사용하여 추정하였으며, 계수추정기법의 효율성을 증진시키기 위하여, Exponential Data Weighting, Global Data Weighting 및 Square Root Estimation 기법을 활용하였다. 다중거동측정계의 예제해석을 통하여 이의 효율성을 분석하였다.

• Journal of Korean Society of Transportation
• /
• v.19 no.2
• /
• pp.61-72
• /
• 2001

기존의 링크교통량으로부터 OD추정모형은 기존 OD에 대한 추정의 종속성이 커, 기존 OD나 관측링크교통량의 오차에 따라 추정결과가 일관적이지 않은 문제점을 가지고 있다. 또한 관측링크교통량의 정확도가 중요함에도 불구하고 차종구분 없이 링크교통량을 이용하여 정보의 손실을 초래하였고 결과적으로 OD 추정력을 저하시켰다. 그렇지만 다차종 링크교통량으로부터 다차종 OD를 구하는 연구는 거의 없었으며, 그 추정결과가 단일차종에 대한 추정결과와 어떻게 다른지에 대한 연구도 전무하였다. 본 연구의 목적은 기존의 OD 추정모형이 기존 OD에 대해 종속성을 가지며 차종구분 없이 모형을 구성함으로써 추정력의 저하를 초래하였음을 밝히고, 이에 대한 대안으로 종속성 문제를 완화하고 차종구분을 통해 OD 추정모형의 추정력을 증진시키자 하는 것이다. 이를 위해 유전알고리즘을 이용한 다차종 OD행렬 추정모형(GAMUC)을 구축하고, 이를 기존의 바이레벨 모형의 IEA 알고리즘 및 다차종으로 확장한 모형(IEAMUC)과 게임이론측면에서 검토하였으며, 사례네트워크에 대해 각 기법을 비교하였다. 본 연구는 유전알고리즘을 이용한 OD 추정기법을 축도로에 적용한 임용택 등(2000)과 이를 네트워크로 확장한 백승걸 등(2000)의 연구를 다차종으로 확장한 것이다. 사례분석 결과 기존 OD의 오차변화나 관측링크교통량의 오차변화 등에 있어 GAMUC가 IEA나 IEAMUC보다 추정력이 양호하여, 실제 OD를 알 수 없는 도시부 네트워크에서 GAMUC 모형의 적용력이 우수하였다. 또한 차종을 구분하지 않은 기존 모형은 실제 OD와는 전혀 다른 OD 구조를 도출할 수 있음을 보였으며, 단일 차종을 여러 차종으로 구분하여 OD를 추정하는 것이 더 양호한 추정력을 확보하는 것으로 나타났다.

• Journal of the Earthquake Engineering Society of Korea
• /
• v.6 no.6
• /
• pp.7-15
• /
• 2002

In this paper, the nonlinear parameter estimation method using the estimated hysteresis of each structural members was studied for the purpose of efficient seismic damage prediction and estimation of MDOF nonlinear structural model in the shaking table test. The hysteresis of each structural members can be obtained by the conversion of measured response histories into relative motions of each structural members and member forces. These hysteresis can be used to evaluate various kinds of damage indices of each structural members. The MDOF nonlinear structural model for further analysis(re-analysis) can be easily reconstructed using estimated nonlinear structural parameters of each structural members. To demonstrate the proposed techniques, several numerical and experimental example analyses are carried out. The results indicate that the proposed method can be very useful to assess local seismic damages of structures.

• The Korean Journal of Applied Statistics
• /
• v.24 no.5
• /
• pp.799-807
• /
• 2011

This study investigates long and short run responses of variables to exogenous shocks by imposing prior restrictions on a contemporaneous structural shock coefficient matrix of the model to identify shocks by endogenous variables in the vector autoregression. The relative importance of each structural shock in variation of each variable is calculated through the identification of proper restrictions (not based on any specific theory but on researcher judgment corresponding to actual situations) and an estimation of the structural vector autoregression. The results of the analyses are found to maintain consistency.

• Computational Structural Engineering
• /
• v.7 no.4
• /
• pp.137-144
• /
• 1994

As for the safety evaluation of existing large-scale structures, methods for the estimation of structural and dynamic properties are studied. Sequential prediction error method in time domain and frequency response function estimators in frequency domain are examined. For this purpose, impact tests are performed on a steel frame structure with 2 bays and 3 floors. Results from both methods are found to be consistent to each others. However those from the finite-element analysis are slightly different from the experimental results. The discrepancies may be caused by the improper modeling of the complex behavior at the connection joints of the model structure.

• KDI Journal of Economic Policy
• /
• v.26 no.2
• /
• pp.3-62
• /
• 2004

This paper estimates Korea's natural rate of unemployment using various estimation methods such as pure time-series methods, reduced-form methods, and structural form methods, with discussion about relative advantages and disadvantages of each estimation method. This paper also provides the confidence interval of the estimated natural rate of unemployment by the Monte Carlo integration method. Though multivariate unobserved component model exhibits better performance in many aspects than other estimation methods, awareness should be raised for a potential misspecification problem of a multivariate unobserved component model. Considering that each method has its own advantages and disadvantages, it is recommended to make an inference on the natural rate of unemployment based on common results among various methods. Korea's natural rate of unemployment was estimated to be around 3.8~4.0% on average in the period of 1979:I~1987:IV, and to decline to 2.5~2.9% in the period of 1988:I~1997:IV. During the Asian crisis, it is estimated to peak at near 4.8% and to have been on a downward trend since then.