• 한국수자원학회:학술대회논문집
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• 한국수자원학회 1984년도 제26회 수공학연구발표회논문초록집
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• pp.125-135
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• 1984

• 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.

• Journal of the Korean Data and Information Science Society
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• 제27권6호
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• pp.1661-1671
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• 2016

Risk analysis is a systematic study of uncertainties and risks we encounter in business, engineering, public policy, and many other areas. Value at Risk (VaR) is one of the most widely used risk measurements in risk management. In this paper, the Korean Composite Stock Price Index data has been utilized to model the VaR employing the classical ARMA (1,1)-GARCH (1,1) models with normal, t, generalized hyperbolic, and generalized pareto distributed errors. The aim of this paper is to compare the performance of each model in estimating the VaR. The performance of models were compared in terms of the number of VaR violations and Kupiec exceedance test. The GARCH-GPD likelihood ratio unconditional test statistic has been found to have the smallest value among the models.

• Communications for Statistical Applications and Methods
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• 제12권3호
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• pp.557-587
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• 2005

This paper elucidates the limiting Gaussian distribution of a class of rank order statistics {$T_N$} for two sample problem pertaining to empirical processes of the squared residuals from two independent samples of GARCH processes. A distinctive feature is that, unlike the residuals of ARMA processes, the asymptotics of {$T_N$} depend on those of GARCH volatility estimators. Based on the asymptotics of {$T_N$}, we empirically assess the relative asymptotic efficiency and effect of the GARCH specification for some GARCH residual distributions. In contrast with the independent, identically distributed or ARMA settings, these studies illuminate some interesting features of GARCH residuals.

• Journal of the Korean Statistical Society
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• 제28권3호
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• pp.371-387
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• 1999

For possibly nonstationary autoregressive moving average, modeling based on the original observations rather than the differenced observations is considered. Under this scheme, sample autocorrelation functions, parameter estimates, model diagnostic statistics, and prediction are all computed from the original data instead of the differenced data. The methods and results established under stationarity of data are shown to naturally extend to the nonstationarity of one autoregressive unit root. The sample ACF and PACF can be used for ARMA order determination. The BIC order is strongly consistent. The parameter estimates are asymptotically normal. The portmanteau statistic has chi-square distribution. The predictor is asymptotically equivalent to that based on the differenced data.

• 한국수자원학회:학술대회논문집
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• 한국수자원학회 2005년도 학술발표회 논문집
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• pp.867-872
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• 2005

This study introduces a method to evaluate the probability of a specific area to be affected by a drought of a given severity and shows its potential for investigating agricultural drought characteristics. The method is applied to Gyeonggi as a case study. The proposed procedure includes Standard Precipitation Index(SPI) time series, which are linearly transformed by the Empirical Orthogonal Functions(EOF) method, These EOFs are extended temporally with AutoRegressive Moving Average(ARMA) method and spatially with Kriging method. By performing these simulations, long time series of SPI can be simulated for each designed grid cell in whole Gyeonggi area. The probability distribution functions of the area covered by a drought and the drought severity are then derived and combined to produce drought severity-area-frequency(SAF) curves.

• 제어로봇시스템학회논문지
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• 제2권4호
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• pp.344-350
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• 1996

An adaptive predictive level control of waste heat steam boiler was studied by using mathematical models considering the inverse response. The simulation experiments of the model identification were performed by using linear and bilinear models. From the results of simulations it was found that the bilinear model represented the actual dynamic behavior of steam boiler very well. ARMA model was used in the model identification and the adaptive predictive controller. To verify the performance and effectiveness of the adaptive predictive controller used in this study the simulation results of the adaptive predictive level control for waste heat steam boiler based on bilinear model were compared to those of P, PI and PID controller. The results of simulations showed that the adaptive predictive controller provides the fast arrival to setpoint of liquid level.

• 한국정밀공학회:학술대회논문집
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• 한국정밀공학회 1993년도 춘계학술대회 논문집
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• pp.160-165
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• 1993

The cutting mechanism of ultrasonic vibration machining is characterized as two phases, that is an impact at the cutting edge and a reduction of cutting force due to non-contact interval between tool and workpiece. In this paper, in order to identfy cutting dynamics of a system with ultrasonically vibrated cutting tool, an ARMA modelling is performed on experimental cutting force signals which have a dominant effect on cutting dynamics. The aim of this study is, through Dynamic Data System methodology, to find the inherent characteristics of an ultrasonic vibration cutting process by considering natural frequencyand damping coefficient. Surface roughness and stability of cutting process under ultrasonic vibration are also considered

• 대한전자공학회논문지
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• 제19권2호
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• pp.31-37
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• 1982

이산 시간계에서 실수의 극을 갖는 다입력, 다출력 프로세스에 대하여 유용한 제어방법이 제안 되었다. 이 제어방법은 적응제어와 최적 제어의 장점을 모두 가지며, 프로세스의 변수가 서서히 변한다는 가정하에서, 다이내믹스를 갖는 제어기의 설계에 응용될 수 있다. 프로세스 변수의 감식은 ARMA형태로 이루어지며 궤환 메트릭스의 최적화는 상태 변수 공간에서 이루어진다.

• 품질경영학회지
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• 제36권4호
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• pp.87-92
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• 2008

It is common to use CUSUM charts for detecting small level shifts in processes control, in which reference value(k) and decision interval(h) are the design parameters to be determined. To control process with autocorrelation, CUSUM charts could be applied to residuals obtained from fitting ARIMA models. However, constant level shifts in processes lead to varying mean shifts in residual processes and thus standard CUSUM charts may need to be modified. In this paper, we study the performance of CUSUM charts with various design parameters applied to autocorrelated processes, especially focussing on ARMA(1,1) models, and propose how they can be determined to get better performance in terms of the average run length.