• The Korean Journal of Applied Statistics
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• v.21 no.2
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• pp.327-340
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• 2008

This paper derives joint and conditional Lagrange multiplier tests based on information matrix for testing functional form and/or the presence of autocorrelation in a regression model. Small sample properties of these tests are assessed by Monte Carlo study and comparisons are made with LM tests based on Hessian matrix. The results show that the proposed $LM_E$ tests have the most appropriate finite sample performance.

• Proceedings of the Korean Statistical Society Conference
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• 2004.11a
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• pp.129-134
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• 2004

In this study, we investigate the effects of the weight function in the bounded influence regression quantile (BIRQ) estimator for the AR(1) model with additive outliers. In order to down-weight the outliers of X-axis, the Mallows' (1973) weight function has been commonly used in the BIRQ estimator. However, in our Monte Carlo study, the BIRQ estimator using the Tukey's bisquare weight function shows less MSE and bias than that of using the Mallows' weight function or Huber's weight function.

• Journal of the Institute of Convergence Signal Processing
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• v.1 no.1
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• pp.15-22
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• 2000

The analysis of power spectrum based on linear AR model is applied widely to quantize the response of autonomic nerve noninvasively, In this paper, we estimate the power spectrum density for heartrate variability of the electrocadiogram and pulse wave for short term data(less than two minute), The time series of heart rate variability is obtained from the time interval(RRI, PPI) between the feature point of the electrocadiogram and pulse wave for normal person, The generated time series reconstructed into new time series through polynomial interpolation to apply to the AR mode. The power spectrum density for AR model is calculated by Burg algorithm, After applying AR model, the power spectrum density for heart rate variability of the electrocadiogram and the pulse wave is shown smooth spectrum power at the region of low frequence and high frequence, and that the power spectrum density of electrocadiogram and pulse wave has similar form for same subject.

• Journal of the Korean Statistical Society
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• v.27 no.3
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• pp.349-358
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• 1998

Consider the AR(1) model $X_{t}$=$\beta$ $X_{t-1}$+$\varepsilon$$_{t}$ where $\beta$ < 1 is an unknown parameter to be estimated and {$\varepsilon$$_{t}$} denotes the independent and identically distributed error terms with unknown common distribution function F. In this paper, a strong representation for the least absolute deviation (LAD) estimate of $\beta$ in AR(1) models is obtained under some mild conditions on F. on F.F.

• The Korean Journal of Applied Statistics
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• v.18 no.1
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• pp.43-56
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• 2005

In this study, a robust estimation method for the first-order autocorrelation coefficient in the time series model following AR(l) process with additive outlier(AO) is investigated. We propose the L-type trimmed least squares estimation method using the preliminary estimator (PE) suggested by Rupport and Carroll (1980) in multiple regression model. In addition, using Mallows' weight function in order to down-weight the outlier of X-axis, the bounded-influence PE (BIPE) estimator is obtained and the mean squared error (MSE) performance of various estimators for autocorrelation coefficient are compared using Monte Carlo experiments. From the results of Monte-Carlo study, the efficiency of BIPE(LAD) estimator using the generalized-LAD to preliminary estimator performs well relative to other estimators.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.123-132
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• 2016

We can achieve the principle of parsimony and efficiency if homogeneity for panel time series model is satisfied. We suggest a Rao test statistic and a Wald test statistic for the test of homogeneity for panel AR(1) and derived the limit distribution. We performed a simulation to examine statistics with the same chisquare distribution when number of the individual is small and in common with large. We also simulated to compare the empirical power of the statistics in a small panel. In application, we fit panel AR(1) model using regional monthly economical active population data and test homogeneity for panel AR(1). It is satisfied homogeneity, so it could be fitted AR(1) using the sample mean at the time point. We also compare the power of prediction between each individual and pooled model.

• Journal of the Korean Institute of Illuminating and Electrical Installation Engineers
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• v.18 no.1
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• pp.52-59
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• 2004

Recently, many researches for fine particles plasma have been focused on the fabrication of the new devices and materials in micro-electronic industry, although reduction or elimination of fine particles was interested in plasma processing until now on. In order to enhance their utilization, it is necessary to control and analyze fine particle behavior. Therefore, we developed simulation model of fine particles in RF Ar plasmas. This model consists of the calculation parts of plasma structure using a two-dimensional fluid model and of fine particle behavior. The motion of fine particles was derived from the charge amount on the fine particles and forces applied to them. In this paper, Ar plasma properties using two-dimensional fluid model without fine particles were calculated at power source voltage 15[V] and pressure 0.5[Torr]. Time-averaged spatial distributions of Ar plasma were shown. The process on the formation of Coulomb crystal of fine particles was investigated and it was explained by combination of ion drag and electrostatic forces. And also analysis on the forces of fine particles was presented.

• Proceedings of the Korean Institute of Electrical and Electronic Material Engineers Conference
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• 2008.04c
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• pp.22-26
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• 2008

In this paper, we developed a hybrid simulation model of carbon laser ablation under the Ar plasmas consisted of fluid and particle methods. Three kinds of carbon particles, which are carbon atom, ion and electron emitted by laser ablation, are considered in the computation. In the present simulation, we adopt capacitively coupled plasma with asymmetrical electrodes. As a result, in Ar plasmas, carbon ion motions were suppressed by a strong electric field and were captured in Ar plasmas. Therefore, a low number density of carbon ions were deposited upon substrate. In addition, the plume motions in Ar gas atmosphere was also discussed.

• Communications for Statistical Applications and Methods
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• v.22 no.5
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• pp.463-473
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• 2015

We consider a nonparametric AR(1) model with nonparametric ARCH(1) errors. In order to estimate the unknown function of the ARCH part, we apply the stationary bootstrap procedure, which is characterized by geometrically distributed random length of bootstrap blocks and has the advantage of capturing the dependence structure of the original data. The proposed method is composed of four steps: the first step estimates the AR part by a typical kernel smoothing to calculate AR residuals, the second step estimates the ARCH part via the Nadaraya-Watson kernel from the AR residuals to compute ARCH residuals, the third step applies the stationary bootstrap procedure to the ARCH residuals, and the fourth step defines the stationary bootstrapped Nadaraya-Watson estimator for the ARCH function with the stationary bootstrapped residuals. We prove the asymptotic validity of the stationary bootstrap estimator for the unknown ARCH function by showing the same limiting distribution as the Nadaraya-Watson estimator in the second step.

• Journal of Korean Society for Quality Management
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• v.31 no.3
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• pp.126-135
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• 2003

A basic assumption in standard applications of control charts is that the observations are statistically independent. However, this assumption is often violated from processes in many industries. The presence of autocorrelation has a serious impact on the performance of control charts, causing a dramatic increase in the frequency of false alarms. This paper considers a process in which the observations can be modeled as a first order autoregressive(AR(1)) process, and develops (equation omitted) charts with the variable sample size(VSS) scheme for monitoring the mean of this process.