• Industrial Engineering and Management Systems
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• 제7권1호
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• pp.44-50
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• 2008

Focusing on the exponential smoothing method equivalent to (1, 1) order ARMA model equation, a new method of estimating smoothing constant using exponential smoothing method is proposed. This study goes beyond the usual method of arbitrarily selecting a smoothing constant. First, an estimation of the ARMA model parameter was made and then, the smoothing constants. The empirical example shows that the theoretical solution satisfies minimum variance of forecasting error. The new method was also applied to the stock market price of electrical machinery industry (6 major companies in Japan) and forecasting was accomplished. Comparing the results of the two methods, the new method appears to be better than the ARIMA model. The result of the new method is apparently good in 4 company data and is nearly the same in 2 company data. The example provided shows that the new method is much simpler to handle than ARIMA model. Therefore, the proposed method would be better in these general cases. The effectiveness of this method should be examined in various cases.

• 한국컴퓨터정보학회논문지
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• 제25권12호
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• pp.73-82
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• 2020

반도체나 석유화학 공정과 같이 프로세스 중심의 장치 산업에서는 흔히 관측된 자료들 사이에 자기상관(Autocorrelation)이 존재하는데, 이러한 공정에 기존의 SPC(Statistical process control)를 적용하는 경우 공정의 평균 변화를 효과적으로 검출하지 못하는 문제가 발생할 수 있다. 본 논문에서는 특정 시계열 모형을 따르는 공정자료에 일정한 크기의 평균 변화가 발생할 때, 잔차는 시간의 흐름에 따라 그 평균이 달라지게 되는데, ARMA(1,1) 과정을 중심으로 평균의 변화 패턴을 소개하고, 이 결과를 바탕으로 공정의 작은 평균 변화를 검출할 수 있는 CUSUM(Cumulative sum) 관리도의 공정 자료가 갖는 시계열 모형의 형태와 관심 있는 공정 평균 변화의 폭을 고려하여 CUSUM 관리도의 설계 과정에서 필요한 참고값이 적절히 선택되어 사용되어야 함을 모의실험을 통해 확인하였다.

• 한국정밀공학회지
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• 제1권1호
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• pp.34-49
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• 1984

The stability of machine tool systems is analyzed by considering the machining process as a stochastic process without decomposing into machine tool structural dynamics and cutting processes. In doing so the time series analysis technique developed by Wu and Pandit is applied systematically to the relative vibration between cutting tool and work- piece measured under actual working conditions. Various characteristic properties derived from the fitted ARMA(Autoregressive Moving Average) Models and those from raw data directly are investigated in relation with the system stability. Both damping ratio and absolute value of the characteristic roots of the AR part of the most significant dynamic mode are preferred as stability indicating factors to the other pro-perties such as theoretical variance .gamma. (o) or absolute power of the most dominant dynamic mode. Maximum aplitude during a certain interval and variance estimated from raw data are shown to be very sensi- tive to the type of the signal and the location of measurement point although they can be obtained rather easily. The relative vibration signal is also analyzed by FFT(Fast Fourier Transform) Analyzer for the purpose of comparison with the spectrums derived from the fitted ARMA models.

• 응용통계연구
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• 제29권1호
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• pp.267-277
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• 2016

본 연구에서는 잔차를 이용하여 오차항의 코플라 함수를 추정하는 문제를 고려하였다. 확률적 회귀모형을 개별모형으로 갖는 경우, 오차항 대신 잔차들의 경험적 분포함수를 이용하여 구한 코플라 모수에 대한 준모수적 추정량의 성질을 살펴보았으며, 이 추정량이 일치추정량이 되기 위한 조건을 구하였다. 응용사례로 코플라-자기회귀이동평균 모형을 다루었으며, 모의실험을 통해 자기회귀 근사를 통해 얻은 잔차를 이용하여 계산한 추정량의 성질도 살펴보았다.

• International Journal of Aeronautical and Space Sciences
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• 제3권1호
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• pp.86-94
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• 2002

The initial alignment of inertial platform for navigation system was considered. An adaptive filtering technique is developed for the system with unknown and varying sway disturbance. It is assumed that the random sway motion is the second order ARMA(Auto Regressive Moving Average) model and performed parameter identification for unknown parameters. Designed adaptive filter contain both a Kalman filter and a self-tuning filter. This filtering system can automatically adapt to varying environmental conditions. To verify the robustness of the filtering system, the computer simulation was performed with unknown and varying sway disturbance.

• 대한전자공학회논문지
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• 제17권3호
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• pp.1-11
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• 1980

전자공학분야와 관련분야(일반력학, 물리 및 수학등) 사이의 용어의 차이를 해소하기 위한 노력을 계속하였고 통계학의 석학Box 씨와 Jenkins씨의 time series analysis의 입문을 위한 주변설명과 용어소개를 꾀하였다. 끝으로 Wiener의 filter와 Kalman-Bucy의 Algorithm을 설명하고 Hadamard를 위시한 변환기술의 유리점을 정리하여 보았다.

• 한국통신학회논문지
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• 제19권1호
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• pp.183-193
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• 1994

본 논문에서는 가정모드(assumed mode) 방법과 Lagrange 방식을 이용하여 유연성 로봇 매니퓰레이터의 동력학 방정식을 구하였으며, 조인트 구동기를 포함한 유연성 로봇 매니플레이터에 대한 제어기를 설계를 하였다. 제어기는 매개변수 추정부와 적응제어기로 구성하였으며, 매개변수 추정부는 RLS알고리즘을 이용하여 ARMA예측모델의 매개변수를 추정하도록 하였다. 적응제어기는 기준모델(reference)과 최소예측오차제어기(minimum prediction controller)로 구성하였다.

• 대한전기학회논문지
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• 제39권1호
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• pp.83-91
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• 1990

An adaptive observer which is applicable to discrete linear time invariant systems of ARMA type in the presence of noise is proposed. It first estimates the system parameters of the MA type by applying only the system input to the observer. Then it estimates the output which corresponds to the output of the system without any noise. This is a special case of Suzuki's adaptive observer. This estimated output is applied to Suzuki's adaptive observer to estimate the system parameters of ARMA type and the states. The proposed method can make the estimate errors of the system parameters sufficiently small even in the presence of noise in the system. It can also make the estimate errors of the states of the system sufficiently small when there is no process noise. These properties of the proposed adaptive observer is certified by computer simulation.

• Journal of Communications and Networks
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• 제5권1호
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• pp.65-72
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• 2003

Internet roundtrip delay/time (RTT) prediction plays an important role in detecting packet losses in reliable transport protocols for traditional web applications and determining proper transmission rates in many rate-based TCP-friendly protocols for Internet-based real-time applications. The widely adopted autoregressive and moving average (ARMA) model with fixed-parameters is shown to be insufficient for all scenarios due to its intrinsic limitation that it filters out all high-frequency components of RTT dynamics. In this paper, we introduce a novel parameter-varying RTT model for Internet roundtrip time prediction based on the information theory and the maximum entropy principle (MEP). Since the coefficients of the proposed RTT model are updated dynamically, the model is adaptive and it tracks RTT dynamics rapidly. The results of our experiments show that the MEP algorithm works better than the ARMA method in both RTT prediction and RTO estimation.

• Journal of the Korean Statistical Society
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• 제27권2호
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• pp.165-187
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• 1998

Shin and Sarkar (1993, 1994) studied the problem of testing for a unit root in an AR(p) signal observed with MA(q) noise when the MA parameters are known. In this paper we consider the case when the MA parameters are unknown and to be estimated. Test statistics are defined using unit root parameter estimates based on three different estimation methods of Hannan and Rissanen (1982), Kohn (1979) and Shin and Sarkar (1995). An AR(p) process contaminated by MA(q) noise is a .estricted ARMA model, for which Shin and Sarkar (1995) derived an easy-to-compute Newton- Raphson estimator The two-stage estimation p.ocedu.e of Hannan and Rissanen (1982) is used to compute initial parameter estimates in implementing the iterative estimation methods of both Shin and Sarkar (1995) and Kohn (1979). In a simulation study we compare the relative performance of these unit root tests with respect to both size and power for p=q=1.