• The Korean Journal of Applied Statistics
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• v.33 no.4
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• pp.467-482
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• 2020

We investigate a monitoring procedure for the early detection of parameter changes in location-scale time series models. We introduce a detector for monitoring procedure based on modified residual cumulative sum (CUSUM). The asymptotic properties of the monitoring procedure are established under the null and alternative hypotheses. Simulation results and data analysis are also provided for illustration.

• Journal of The Korean Society of Grassland and Forage Science
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• v.11 no.4
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• pp.209-214
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• 1991

The germination of seeds is developmentally complex process requiring water uptake, which is regulated by both genotypic and environmental factors. The present study was undertaken to determine the difference in germination characteristics, and to compare the ability of the logistic and Weibull functions to describe the cumulative germination curve when two levels of osmotic potential(0, -5 bar) were put to seeds of alfalfa, tall fescue, orchardgrass, and Kentucky bluegrass. The effects of grass type, osmotic potential, and their interaction on the total germination and coefficient of germination velocity were significant(P<0.01). The Weibull equation for predicting percent cumulative germination curve of alfalfa had significantly lower residuals than the logistic equation regardless of osmotic potential(P<0.01), indicating that the Weibull equation was more efficient than the logistic equation to fit the data of the percent cumulative germination of alfalfa. The rate parameter from the logistic equation was decreased under water stress, whereas the scale and shape parameters were increased. There were significant differences in days to 20% germination estimated from the logistic and Weibull equations.

• The Korean Journal of Applied Statistics
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• v.22 no.6
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• pp.1191-1201
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• 2009

The cumulative sum(CUSUM) control charts are typically used for detecting small level shifts in process control. To control an auto-correlated process, the model-based control methods can be employed, in which the residuals from fitting a time series model are applied to the CUSUM chart. However, the persistent level shifts in the original process may lead to varying mean shifts in residuals, which may deteriorate detection performance significantly. Therefore, in this paper, focussing on ARMA(1,1), we propose a new CUSUM type control method which can detect the dynamic mean shifts in residuals especially with oscillating pattern effectively and, through the simulation study, evaluate its performance by comparing with other various CUSUM type control methods introduced so far.

• Journal of the Korean Data and Information Science Society
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• v.20 no.2
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• pp.293-299
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• 2009

In this article, we consider linear models such as regression, ARIMA (autoregressive integrated moving average), and regression+ARIMA (regression with ARIMA errors) for predicting hourly ozone concentration level in two areas of Daegu. Based on RASE(root average squared error), it is shown that the ARIMA is the best model in one area and that the regression+ARIMA model is the best in the other area. We further analyze the residuals from the optimal models, so that we might predict the ozone warning days where at least one of the hourly ozone concentration levels is over 120 ppb. Based on the training data in the years from 2000 to 2003, it is found that 35 ppb is a good cutoff value of residulas for predicting the ozone warning days. In on area of Daegu, our method predicts correctly one of two ozone warning days of 2004 as well as all of the remaining 364 non-warning days. In the other area, our methods predicts correctly all of one ozone warning days and 365 non-warning days of 2004.

• Journal of the Korean Data and Information Science Society
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• v.20 no.2
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• pp.435-443
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• 2009

Knowing the time of the process change could lead to quicker identification of the responsible special cause and less process down time, and it could help to reduce the probability of incorrectly identifying the special cause. In this paper, we propose the maximum likelihood estimator (MLE) for the process change point when a control chart is used in monitoring the parameters of a process in which the observations can be modeled as a IMA(1,1).

• Journal of the Korean earth science society
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• v.32 no.3
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• pp.249-264
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• 2011

A multi-Gaussian kriging approach extended to space-time domain is presented for uncertainty modeling as well as time-series mapping of environmental variables. Within a multi-Gaussian framework, normal score transformed environmental variables are first decomposed into deterministic trend and stochastic residual components. After local temporal trend models are constructed, the parameters of the models are estimated and interpolated in space. Space-time correlation structures of stationary residual components are quantified using a product-sum space-time variogram model. The ccdf is modeled at all grid locations using this space-time variogram model and space-time kriging. Finally, e-type estimates and conditional variances are computed from the ccdf models for spatial mapping and uncertainty analysis, respectively. The proposed approach is illustrated through a case of time-series Particulate Matter 10 ($PM_{10}$) concentration mapping in Incheon Metropolitan city using monthly $PM_{10}$ concentrations at 13 stations for 3 years. It is shown that the proposed approach would generate reliable time-series $PM_{10}$ concentration maps with less mean bias and better prediction capability, compared to conventional spatial-only ordinary kriging. It is also demonstrated that the conditional variances and the probability exceeding a certain thresholding value would be useful information sources for interpretation.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.35 no.3
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• pp.52-61
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• 2012

The design method for cumulative sum (CUSUM) control charts, which can be robust to autoregressive moving average (ARMA) modeling errors, has not been frequently proposed so far. This is because the CUSUM statistic involves a maximum function, which is intractable in mathematical derivations, and thus any modification on the statistic can not be favorably made. We propose residual-based robust CUSUM control charts for monitoring autocorrelated processes. In order to incorporate the effects of ARMA modeling errors into the design method, we modify parameters (reference value and decision interval) of CUSUM control charts using the approximate expected variance of residuals generated in model uncertainty, rather than directly modify the form of the CUSUM statistic. The expected variance of residuals is derived using a second-order Taylor approximation and the general form is represented using the order of ARMA models with the sample size for ARMA modeling. Based on the Monte carlo simulation, we demonstrate that the proposed method can be effectively used for statistical process control (SPC) charts, which are robust to ARMA modeling errors.

• Journal of Korean Society of Transportation
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• v.30 no.2
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• pp.101-116
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• 2012

Accident prediction models have been utilized to predict accident possibilities in existing or projected freeways and to evaluate programs or policies for improving safety. In this study, a traffic accident prediction model for freeways was developed for the above purposes. When selecting variables for the model, the highest priority was on the ease of both collecting data and applying them into the model. The dependent variable was set as the number of total accidents and the number of accidents including casualties in the unit of IC(or JCT). As a result, two models were developed; the overall accident model and the casualty-related accident model. The error structure adjusted to each model was the negative binomial distribution and the Poisson distribution, respectively. Among the two models, a more appropriate model was selected by statistical estimation. Major nine national freeways were selected and five-year dada of 2003~2007 were utilized. Explanatory variables should take on either a predictable value such as traffic volumes or a fixed value with respect to geometric conditions. As a result of the Maximum Likelihood estimation, significant variables of the overall accident model were found to be the link length between ICs(or JCTs), the daily volumes(AADT), and the ratio of bus volume to the number of curved segments between ICs(or JCTs). For the casualty-related accident model, the link length between ICs(or JCTs), the daily volumes(AADT), and the ratio of bus volumes had a significant impact on the accident. The likelihood ratio test was conducted to verify the spatial and temporal transferability for estimated parameters of each model. It was found that the overall accident model could be transferred only to the road with four or more than six lanes. On the other hand, the casualty-related accident model was transferrable to every road and every time period. In conclusion, the model developed in this study was able to be extended to various applications to establish future plans and evaluate policies.