• Journal of Korean Society of Coastal and Ocean Engineers
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• v.25 no.6
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• pp.422-432
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• 2013

A System Identification method to develop parametric models linking free surface elevation and wave pressure is presented and two models are built allowing for either wave pressure or free surface elevation simulation. Linear, time invariant model structures with static nonlinearities are assumed and solutions are sought in a form of autoregressive model with extra input (ARX). An arbitrary chosen free-surface elevation and wave pressure dataset is used for estimation of the models, which are subsequently verified against datasets with similar pressure gauge depth but different free-surface elevation spectra due to different meteorological conditions. It is shown that free-surface simulation using System Identification methods can perform better than traditional linear transfer function derived from linear wave theory (LTF), while wave pressure simulation quality using presented methods is generally similar to that obtained with corrected LTF.

• Communications for Statistical Applications and Methods
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• v.19 no.3
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• pp.507-516
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• 2012

We study time series models for seasonal time series data with a covariance structure that depends on time and the periodic autocorrelation at various lags $k$. In this paper, we introduce an ARMA model with periodically varying coefficients(PARMA) and analyze Arosa ozone data with a periodic correlation in the practical case study. Finally, we use a PARMA model and a seasonal ARIMA model for data analysis and show the performance of a PARMA model with a comparison to the SARIMA model.

• Proceedings of the Korea Water Resources Association Conference
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• 1984.07a
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• pp.89-98
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• 1984

우리나라의 월강우량 기록은 풍부하나 월유출량 기록은 희박하여, 월유출량 시계열의 모형식을 개발하고저 하여 월강우량 기록만으로 하천유량의 정확한 파악을 할 수 있도록 한다. 이 연구는 월강우와 유출량의 시계열에 의한 추계학적 이론에 의거한 복스와 젠킨스의 대체함수(Transfer function model)와 아리마(ARIMA)의 잔차모양을 합한 형이다. 이 선형 추계학적 차분 시계열식 모형은 공본산(coveriance) 을 갖는다는 가정에서 강우량과 유출량의 변화에 따라서 식의 구조가 유도되며 정확하게 잘 적용이 된다. 본 식의 최적모형은 일반식으로 아래와 같이 얻어진다. $ Y$:월유출량, X$:월강우량, C$:유출물, $: 대체변수, a$:백색잡음(white noise), $\theta$(B) 및 (B):MA(Moving average)와 AR(autoregressive)조작, 이번 연구 결과 섬진강 하천의 대체조작(Transfer operator)은 잔차승(Sum of residual) R$0.9로 높은 정도의 수치를 나타내는 것으로 보인다.

• Korean Management Science Review
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• v.1
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• pp.68-80
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• 1984

Box-Jenkins 시계열 분석법은 변수에 관한 정보가 부족하거나 너무 많은 변수가 영향을 미치고 있는 경우에도 과학적인 예측치를 구할 수 있는 단기예측 방법이다. Box-Jenkins 모형은 자동회귀 모형(Autoregressive Model), 이동평균 모형 (Moving average Model), 계절적 시계열 모형을 통합한 일반적인 모형이기 때문에 특별한 불안정성을 보이지 않는 경우에는 모두 모형화 할 수 있으며, 모형에 관계된 계수의 수를 최소화 하면서 만족스러운 모형을 찾을 수 있다. Box-Jenkins예측방법은 모형선정, 매개변수추정, 적합성 검정의 3단계를 반복으로 수행함으로써 최적모형에 이르게 하게 하고 있기 때문에 최소의 가능한 모형으로부터 시작하여 부적당한 부분을 제거시켜 나감으로써 시행착오의 과정을 최소화 할 수 있다. 일반 사용자가 Box-Jenkins 시계열 분석법을 쉽게 사용할 수 있도록 Box-Jenkins Package가 개발되었으며 여기서는 KAIST 전산 개발 센터에 설치된 Package를 소개하고 그 사용예를 보였다.

• The Korean Journal of Applied Statistics
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• v.16 no.2
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• pp.365-376
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• 2003

In this paper we reviewed a variety of non-Gaussian time series models, and studied the model selection criteria such as AIC and BIC to select proper models. We also considered the likelihood ratio test and applied it to analysis of Polio data set.

• The Journal of the Institute of Internet, Broadcasting and Communication
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• v.13 no.1
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• pp.101-107
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• 2013

Is generated in real time in the real world, a large amount of time series data from a wide range of business areas. But it is not easy to determine the optimal model for the description and understanding of the time series data is represented as a dynamic feature. In this study, through the HMM suitable for estimating the short and long-term forecasting model of time-series data to estimate a model that can explain the characteristics of these time series data, it was estimated to predict future patterns of movement. The actual stock market through various materials, information criterion and optimal model estimation for the length of the most efficient data was found to accurately estimate the state of the model. Similar movement patterns predictive than the long-term prediction is more similar to the short-term prediction of the experimental result were found to be.

• The Korean Journal of Applied Statistics
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• v.28 no.1
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• pp.115-122
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• 2015

This article is concerned with count time series taking values in non-negative integers. Along with the first order mean of the count time series, conditional variance (volatility) has recently been paid attention to and therefore various integer-valued GARCH(generalized autoregressive conditional heteroscedasticity) models have been suggested in the last decade. We introduce diverse integer-valued GARCH(INGARCH, for short) processes to count time series and a real data application is illustrated as a case study. In addition, zero inflated INGARCH models are discussed to accommodate zero-inflated count time series.

• The Korean Journal of Applied Statistics
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• v.26 no.3
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• pp.521-529
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• 2013

The acceptance of the test of the homogeneity for panel time series models allows for the pooling of the series to achieve parsimony. In this paper, we introduce a panel bilinear time series model as well as derive the stationary condition and the limiting distribution of the test statistic of the homogeneity test for the model. For the applications study, we use Korea Mumps data from January 2001 to December 2008. Finally, we perform test of homogeneity for the panel data with 8 independent bilinear time series.

• The Korean Journal of Applied Statistics
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• v.16 no.2
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• pp.293-303
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• 2003

Under the case that we know the period and the reason of external events, we reviewed the method of model identification, parameter estimation and model diagnosis with the former papers that have been studied about the linear time series model with intervention, and compared with nonlinear time series model such as ARCH, GARCH model that it has been used widely in economic models, and also we compared with the combination prediction method that Tong(1990) introduced.

• The Korean Journal of Applied Statistics
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• v.36 no.5
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• pp.457-471
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• 2023

The monthly series is an aggregation of daily values. In the absence of observable daily data, calendar effects such as trading day and holidays are estimated using a RegARIMA model. However, if the daily series were observable, these calendar effects could be estimated directly from the daily series, potentially improving the seasonal adjustment of the monthly time series. In this paper, we propose a method to improve the seasonal adjustment of monthly time series by using calendar variation estimation based on daily time series. We apply this seasonal adjustment method to three monthly time series and compare our results with those obtained using X-13ARIMA-SEATS.