• The Journal of the Acoustical Society of Korea
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• v.11 no.1
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• pp.67-79
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• 1992

For effective on-line ARMA parameter estimation, a covariance type ARMA fast transversal filter (FTF) algorithm is presented. The proposed algorithm is a covariance type implementation of ELS(Extended Least Squares) estimator and it is a fast time update recursion which is based on the fact that the correlation matrix of ARMA model satisfies the shift invariance property in each sub-block. The geometric approach is used in the derivation of the proposed algorithm. It takes small computational burden of 13N+37 MADPR(Multiplication And Division Per Recursion). Also, AR and MA orders can be independetly and arbitrarily specified.

• Journal of the Korean Data and Information Science Society
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• v.18 no.1
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• pp.237-245
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• 2007

Nonlinear asymmetric time series models have the growing interest in econometrics and finance. Threshold model is one of the successful asymmetric model. We consider a smooth transition ARMA model which converges a.s. to a threshold ARMA model and show that the smooth transition ARMA model admits a stationary measure, provided a suitable condition on the coefficients of the autoregressive parts of the different regimes is satisfied. Stationarity of a smooth transition GARCH model is also obtained.

• Journal of Advanced Navigation Technology
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• v.11 no.3
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• pp.252-258
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• 2007

There has been a lot of research done in scheme guaranteeing user's mobility and effective resources management to satisfy the requested by users in the wireless/mobile networks. In this paper, we propose a predictive resource allocation scheme based on ARMA(Auto Regressive Moving Average) prediction model to meet QoS requirements(handoff dropping rate) for guaranteeing users' mobility. The proposed scheme predicts the demanded amount of resource in the future time by ARMA time series prediction model, and then reserves it. The ARMA model can be used to take into account the correlation of future handoff resource demands with present and past handoff demands for provision of targeted handoff dropping rate. Simulation results show that the proposed scheme outperforms the existing RCS(Reserved channel scheme) in terms of handoff connection dropping rate and resource utilization.

• The Journal of the Acoustical Society of Korea
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• v.14 no.3
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• pp.37-48
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• 1995

This paper presents an sstimation of ARMA coefficients of noisy ARMA system using generalized total least square (GTLS) method. GTLS problem for ARMA system is defined as minimizing the errors between the noisy output vectors and estimated noisy-free output. The GTLS problem is solved in closed form by eigen-problem and the perturbation analysis of GTLS is presented. Also its recursive solution (recursive GTLS) is proposed using the power method and the covariance formula of the projected output error vector into the input vector space. The simulation results show that GTLS ARMA coefficients estimator is an unbiased estimator and that recursive GTLS achieves fast convergence.

• Water for future
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• v.18 no.1
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• pp.75-83
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• 1985

The applicability of ARMA(1, 1) multiseason model, which is in the beginning stage of active researches in the field of synthetic generation is evaluated with the streamflow data at the Nakdong stage gauging station on the main stem of the Nakdong River. The method of parameter estimation for the modelis reviewed and the statistical analysis of the generated seasonal streamflows such as corrlogram analysis and the computation of moments is made. The results obtained by ARMA(1, 1) multiseason model are compared with the historical streamflow data and also with those by two other multiseason models, namely, Thomas-Fiering model and Matalas AR(1) multiseason model. The seasonal streamflows grnerated by three multiseason models were annually summed up to form respective annual flow series whose statistics were compared with those of the annual flow series generated by three annual models, namely, AR(1), Matalas AR(1), and ARMA(1, 1) annual models. The possibility of ARMA(1, 1) multiseason model for the simultaneous generation of seasonal and annual streamflows is also evaluated.

• Journal of applied mathematics & informatics
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• v.4 no.1
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• pp.135-135
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• 1997

Times series modeling plays an important role in the field of engineering, Statistics, Biomedicine etc. Model identification is one of crucial steps in the modeling of an AutoRegreesive Moving Average(ARMA(p, q)) process for real world problems. Many techniques have been developed in the literature (Salas et al., McLeod et al. etc.) for the identification of an ARMA(p, q) Model. In this paper, a new technique called The Generalised Parameters Technique is formulated for seasonal and non-seasonal ARMA model identification. This technique is very simple and can e applied to any given time series. Initial estimates of the AR parameters of the ARMA model are also obtained by this method. This model identification technique is validated through many theoretical and simulated examples.

• Journal of Information Technology Application
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• v.1 no.3_4
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• pp.69-90
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• 1999

본 논문은 시계열자료의 ARMA 모형화를 위해 계층적(Hierarchical) 문제해결 방식인 인공신경망 기초 의상결정트리분류기상의 인공신경망 구조를 개선하여 지역문제(Local Problem)를 해결하는 복수개의 인공신경망 결과를 Dempster's rule of combination을 이용하여 종합하는 병행적인 (Parallel) ARMA 모형활르 위한 방법론을 제시함으로써 의사결정트리분류기에 근거한 방법론의 단점을 보완하였다. 본 논문에서 제시한 ARMA 모형화를 위한 방법론은 세 단계로 구성되어 있다: 1) ESACF 특성 벡터 추출단계; 2) 개별 인공신경망에 의한 부분적 모델링 단계; 3) Conflict Resolution 단계, 제시한 방법론을 검증하기 위해 모의실험용 자료와 실제 시계열자료를 이용하여 제시된 방법론을 검증하였으며 실험결과 기존 연구에 비해 ARMA 모형화와 정확도가 높은 것으로 나타났다.

• Journal of Biomedical Engineering Research
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• v.15 no.4
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• pp.395-400
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• 1994

High resolution spectral analysis is essential for ECG anaysis. The fast Fourier transform has been widely used for frequency analysis of ECG signals but this procedure provides poor resolution when the data record is short and shows Gibb's phenomena. The ARMA FTF (Fast Transversal Filter) algorithm is used for high resolution spectral analysis. The reason of unsalability of this algorithm is investigated and the method for improving the numerical stability is proposed. The proposed algorithm is applied to spectral analysis of the ECG. Since this result has less variations than the FFT based results, it can be used for the computerized diagonosis of the ECG.

• Proceedings of the Korean Statistical Society Conference
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• 2000.11a
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• pp.17-22
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• 2000

시계열 자료를 분석할 때 쉽게 접근하는 통계적 방법은 ARMA 모형이며 신경망 학습 방법 중에서는 다층 퍼셉트론에서의 Back-propagation 알고리즘이 일반적이다. Back-propagation을 비롯한 신경망 학습의 구조는 자료의 특성에 따라 경험적으로 결정하는 것으로 알려져 있다. 그러나 바로 이 점이 신경망 학습방법의 이용을 어렵게 하는 요인이기도 하다. 본 연구는 ARMA 모형 중 몇 개 유형의 자료에 대하여 Back-propagation 알고리즘을 적용함에 있어 어떠한 구조로 학습하는 것이 효율적인가를 입력층과 은닉층의 크기, 활성화 함수를 중심으로 검토하였다.

• 제어로봇시스템학회:학술대회논문집
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• 1993.10a
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• pp.754-759
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• 1993

An adaptive model predictive control (AMPC) strategy using auto-regression moving-average (ARMA) models is presented. The characteristic features of this methodology are the small computer memory requirement, high computational speed, robustness, and easy handling of nonlinear and time varying MIMO systems. Since the process dynamic behaviors are expressed by ARMA models, the model parameter adaptation is simple and fast to converge. The recursive least square (RLS) method with exponential forgetting is used to trace the process model parameters assuming the process is slowly time varying. The control performance of the AMPC is verified by both comparative simulation and experimental studies on distillation column control.