• Korean Journal of Mathematics
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• v.26 no.2
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• pp.155-166
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• 2018

Consider FARIMA time series with innovations that have infinite variances. We are interested in the estimation of self-similarities $H_n$ of FARIMA(0, d, 0) by using modified R/S statistic. We can confirm that the $H_n$ converges to Hurst parameter $H=d+\frac{1}{2}$. Finally, we figure out ARMA and minimum variance power spectrum density of FARIMA processes.

• Journal of the Korean Statistical Society
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• v.25 no.2
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• pp.235-241
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• 1996

The ordinary least squares estimator of the disturbance variance in the linear regression model with stationary errors is shown to be asymptotically unbiased when the error process has a spectral density bounded from the above and away from zero. Such error processes cover a broad class of stationary processes, including ARMA processes.

• Communications for Statistical Applications and Methods
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• v.7 no.3
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• pp.837-843
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• 2000

Kreiss and Franke(192) and Allen and Datta(1999) proposed bootstrapping the M-estimators in ARMA models. In this paper, we introduce the robust estimating function and investigate the bootstrap approximations of the M-estimators which are solutions of the estimating equations in TAR models. A number of simulation results are presented to estimate the sampling distribution of the M-estimators, and asymptotic validity of the bootstrap for the M-estimators is established.

• Journal of Korean Society for Quality Management
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• v.15 no.1
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• pp.47-54
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• 1987

It is common that the process capability fluctuates as time passes, but concentrates to the mean value. To keep up process capability with given limits is vital to stability of process. Various control charts, especially ${\sigma}-chart$, have been used for analyzing process capability, but It sometimes can not give distinct answer. So this paper introduces another analyzing method by ARMA (autoregressive moving average) which is originally developed for forecasting, and demonstrates the analyzing methodology through a case study.

• Journal of Electrical Engineering and information Science
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• v.2 no.3
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• pp.61-65
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• 1997

This paper proposes an intelligent controller for brushless DC motor and load with unknown nonlinear dynamics. The proposed intelligent control system consists of a plant identifier and PID controller with varying gains. The identifier is constructed using an Auto Regressive Moving Average (ARMA) model. In order to tune the parameters of the identifier and the gains of the PID controller efficiently, e also propose a modified Evolution Strategy. Experimental results show that the proposed intelligent controller for brushless DC motor has good control performance under unknown disturbance.

• Proceedings of the KIEE Conference
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• 1995.07b
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• pp.941-943
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• 1995

The convergence of adaptive algorithm depends mainly on the proper choice of the design factor called the covergence factor. In the paper, an optimal convergence factor involved in TRLMS algorithm, which is used to predict the coefficients of the ARMA predictor in ADPCM is presented. It is shown that such an optimal value can be generated by system signals such that the adaptive filter becomes self optimizing in terms of the convergence factor. This algorithm is applied to real image.

• The Journal of the Acoustical Society of Korea
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• v.3 no.1
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• pp.25-35
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• 1984

This paper analysis the Dynamic Time Warping algorithms for time normalization of speech pattern and discusses the Dynamic Programming algorithm for spoken Korean isolated digits recognition. In the DP matching, feature vectors of the reference and test pattern are consisted of first three formant frequencies extracted by power spectrum density estimation algorithm of the ARMA model. The major differences in the various DTW algorithms include the global path constrains, the local continuity constraints on the path, and the distance weighting/normalization used to give the overall minimum distance. The performance criterias to evaluate these DP algorithms are memory requirement, speed of implementation, and recognition accuracy.

• Communications for Statistical Applications and Methods
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• v.13 no.2
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• pp.343-358
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• 2006

The distributional properties of forecasts in an integer-valued time series model have not been discovered yet mainly because of the complexity arising from the binomial thinning operator. We propose two bootstrap methods to obtain nonparametric prediction intervals for an integer-valued autoregressive model : one accommodates the variation of estimating parameters and the other does not. Contrary to the results of the continuous ARMA model, we show that the latter is better than the former in forecasting the future values of the integer-valued autoregressive model.

• Proceedings of the KIEE Conference
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• 1981.07a
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• pp.146-153
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• 1981

A practical and robust control scheme is suggested for MIMO discrete time processes with real simple poles. This type of control scheme, having the advantages of both the adaptiveness and optimality, may be successfully applicable to structured dynamic controllers for plants whose parameters are slowly time-varying. The identification of the process parameters is under-taken in ARMA form and the optimization of the feedback gain matrix is performed in the state space representation with regard to a standard quadratic criterion.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.15 no.25
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• pp.75-82
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• 1992

Standard acceptance sampling plans models the production pricess as a sequence of independent identically distributed Beruoulli random variables. However, the quality of items sampled sequentially from an ongoing production process of ten exhibits statistical dependency that is not accounted for in standard acceptance sampling plans. In this paper, a dependent production process is modelled as an ARMA process and as a two-state Markov chain. A simulation study of each is performed. A comparison of the probability of acceptance is done for the simulation method and for the approximation method.