• Journal of Advanced Navigation Technology
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• v.18 no.5
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• pp.415-420
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• 2014

Another crucial issue is a providing secondary user(SU) with the its guaranteed quality of service(QoS) in cognitive radio systems, from the SU view to be allowed to opportunistically utilize the primary user(PU) spectrum on non-interfering. In this paper, we propose a bandwidth reallocation scheme for reducing SU dropping rate through renegotiation of requested channel numbers when available bandwidth is not enough for accepting the spectrum handoff SUs. We categorize SU calls into two types : the first priority and the second priority SU, and the first SU' service is supported by bandwidth reservation based on ARMA prediction model for PU arrivals, while the second SU's bandwidth demands for spectrum handoff is to be reallocated through their renegotiation. Simulation results show that our scheme can improve SU dropping rate and system resource utilization efficiency by bandwidth reallocation.

• Journal of Korea Water Resources Association
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• v.54 no.spc1
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• pp.1083-1093
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• 2021

It is an essential to predict water usage for establishing an optimal supply operation plan and reducing power consumption. However, the water usage by consumer has a non-linear characteristics due to various factors such as user type, usage pattern, and weather condition. Therefore, in order to predict the water consumption, we proposed the methodology linking various techniques that can consider non-linear characteristics of water use and we called it as KWD framework. Say, K-means (K) cluster analysis was performed to classify similar patterns according to usage of each individual consumer; then Wavelet (W) transform was applied to derive main periodic pattern of the usage by removing noise components; also, Deep (D) learning algorithm was used for trying to do learning of non-linear characteristics of water usage. The performance of a proposed framework or model was analyzed by comparing with the ARMA model, which is a linear time series model. As a result, the proposed model showed the correlation of 92% and ARMA model showed about 39%. Therefore, we had known that the performance of the proposed model was better than a linear time series model and KWD framework could be used for other nonlinear time series which has similar pattern with water usage. Therefore, if the KWD framework is used, it will be possible to accurately predict water usage and establish an optimal supply plan every the various event.

• Journal of the Korean Statistical Society
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• v.35 no.1
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• pp.79-90
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• 2006

We consider the subdiagonal bilinear model and ARMA model with subdiagonal bilinear errors. Sufficient conditions for geometric ergodicity of associated Markov chains are derived by using results on generalized random coefficient autoregressive models and then strict stationarity and ,a-mixing property with exponential decay rates for given processes are obtained.

• The Korean Journal of Financial Management
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• v.14 no.1
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• pp.141-169
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• 1997

본 논문은 시장개설 초기 4개월간의 주가지수 선물수익률과 기초자산인 현물(KOSPI 200) 수익률간의 선도-지연효과를 두 개의 모형을 이용하여 실증검증하였다. 첫 번째 모형은 설명 변수로 선물수익률의 시차변수를 사용하고 종속변수로 현물수익률을 사용했다. 두 번째 모형은 설명변수로 선물수익률의 시차변수를 사용하는 것은 첫 번째 모형과 같으나 종속변수로 ARMA모형에서 구한 현물수익률의 오차항(return innovations)을 사용하였다. 또, 여러 시장조건에서 현물수익률과 선물수익률사이의 선도-지연효과가 특정한 양상을 보이는가를 분석하였다. 좋은 정보와 나쁜 정보, 거래량이 많은 경우와 적은 경우, 변동성이 높은 경우와 낮은 경우로 나누어서 선도-지연효과를 살펴보았다. 실증검증의 결과 KOSPI 200 현물수익률은 ARMA(2,3) 모형이 적합하며 선물이 현물을 10분 이내로 선도한다. 하지만 그 관계는 일방적인 것이 아니어서 15분후에는 현물이 선물을 선도하는 피드백(feed-back) 현상이 나타났다. 좋은 정보(good news)에서는 선물이 현물을 5분정도 선도하고 나쁜 정보(bad news)하에서는 선물 선도현상이 약해진다. 보통 정보(morderate news)하에서는 현물이 선물을 10분내로 선도한다. 거래량이 많은 경우와 변동성이 높은 경우에는 선물이 현물을 선도하는 것이 뚜렷하나 거래량이 적은 경우와 변동성이 낮은 경우에는 선물과 현물간에는 특정한 선도-지연현상이 나타나지 않는다.

• Journal of KIISE:Software and Applications
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• v.28 no.4
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• pp.338-345
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• 2001

본 연구에서는 시계열자료를 예측하기 위해 적용한 n$\times$n$\times$1 신경망 구조에서 초기값의 시각적인 선택을 통한 개선된 학습과정을 제안한다. 적용된 Easton[1]의 제어상자는 시각적인 면과 실용적인 적용측면에서 다차원 구조를 논의하기에는 제한적이지만, 적은 개수의 은닉노드를 갖는 단순한 신경망구조에서는 초기 가중값들의 동적인 선택을 통하여 가능한 빨리 효과적인 학습이 이루어질 수 있게 할 수 있다. 신경망 학습의 오차 판단기준은 기존의 평균제곱오차(MSE)를 고려한다. 실증연구에는 모의생성된 ARMA(1,0) 자료와 담배생산량 자료를 이용한다.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.39 no.1
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• pp.25-30
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• 2016

It is critical to forecast the maximum daily and monthly demand for power with as little error as possible for our industry and national economy. In general, long-term forecasting of power demand has been studied from both the consumer's perspective and an econometrics model in the form of a generalized linear model with predictors. Time series techniques are used for short-term forecasting with no predictors as predictors must be predicted prior to forecasting response variables and containing estimation errors during this process is inevitable. In previous researches, seasonal exponential smoothing method, SARMA (Seasonal Auto Regressive Moving Average) with consideration to weekly pattern Neuron-Fuzzy model, SVR (Support Vector Regression) model with predictors explored through machine learning, and K-means clustering technique in the various approaches have been applied to short-term power supply forecasting. In this paper, SARMA and intervention model are fitted to forecast the maximum power load daily, weekly, and monthly by using the empirical data from 2011 through 2013. $ARMA(2,\;1,\;2)(1,\;1,\;1)_7$ and $ARMA(0,\;1,\;1)(1,\;1,\;0)_{12}$ are fitted respectively to the daily and monthly power demand, but the weekly power demand is not fitted by AREA because of unit root series. In our fitted intervention model, the factors of long holidays, summer and winter are significant in the form of indicator function. The SARMA with MAPE (Mean Absolute Percentage Error) of 2.45% and intervention model with MAPE of 2.44% are more efficient than the present seasonal exponential smoothing with MAPE of about 4%. Although the dynamic repression model with the predictors of humidity, temperature, and seasonal dummies was applied to foretaste the daily power demand, it lead to a high MAPE of 3.5% even though it has estimation error of predictors.

• Journal of the Korean Statistical Society
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• v.30 no.1
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• pp.115-125
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• 2001

We consider the threshold autoregressive moving average(TARMA) process and find a sufficient condition for strict stationarity of the proces. Given region for stationarity of TARMA(p,q) model is the same as that of TAR(p) model given by Chan and Tong(1985), which shows that the moving average part of TARMA(p,q) process does not affect the stationarity of the process. We find also a sufficient condition for the existence of kth moments(k$\geq$1) of the process with respect to the stationary distribution.

• Journal of the Korean Data and Information Science Society
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• v.21 no.5
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• pp.841-852
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• 2010

An integrated process control (IPC) procedure is a scheme which simultaneously applies the engineering control procedure (EPC) and statistical control procedure (SPC) techniques to reduce the variation of a process. In the IPC procedure, the observed deviations are monitored during the process where adjustments are repeatedly done by its controller. Because the effects of the noise, the special cause, and the adjustment are mixed, the use and properties of the SPC procedure for the out-of-control process are complicated. This paper considers efficiency of EWMA charts for detecting special causes in an ARMA(1,1) noise model with a minimum mean squared error adjustment policy. And we propose the readjustment procedure after having a true signal. This procedure can be considered when the elimination of the special cause is not practically possible.

• The Sea:JOURNAL OF THE KOREAN SOCIETY OF OCEANOGRAPHY
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• v.6 no.1
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• pp.35-39
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• 2001

Multibeam echosounder data, collected to investigate seabed features and topography, are usually subject to outliers resulting from the ship's irregular movements and insufficient correction for pressure calibration to the positions of beams. We introduce a statistical method which adjusts the outliers using the ARMA (Autoregressive Moving Average) technique. Our method was applied to a set of real data acquired in the East Sea. In our approach, autocorrelation of the data is modeled by an AR (1) model. If an observation is substantially different from that obtained from the estimated AR (1) model, it is declared as an outlier and adjusted using the estimated AR (1) model. This procedure is repeated until no outlier is found. The result of processing shows that outliers that are far greater than signals in amplitude were successfully removed.

• Journal of the Korean Data and Information Science Society
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• v.26 no.4
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• pp.791-799
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• 2015

In random walk hypothesis, we assume that current change of financial time series is independent of past values. It is interpreted as an existency of a unit root in ARMA models and many researches have been focused on whether ${\rho}$ < 1 or not. If some financial data are generated from an explosive autoregressive model, the chance of a bubble economy increases. We have to find the symptoms of it in advance. Since some well-known parameter estimators contain the parameter itself and other statistic is constructed under a specific parameter structure assumption, those are difficut to be adopted. In this paper we investigate a test for explosive autoregressive models using slope signs. We found the properties of the slope sign test statistic under both independent error and correlated error conditions, mainly by simulations.