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

• Communications for Statistical Applications and Methods
• /
• v.15 no.6
• /
• pp.925-937
• /
• 2008

In this study, we considered the clustering analysis for stock return traded in the stock market. Most of financial time-series data, for instance, stock price and exchange rate have conditional heterogeneous variability depending on time, and, hence, are not properly applied to the autoregressive moving-average(ARMA) model with assumption of constant variance. Moreover, the variability is font and center for stock investors as well as academic researchers. So, this paper focuses on the generalized autoregressive conditional heteroscedastic(GARCH) model which is known as a solution for capturing the conditional variance(or volatility). We define the metrics for similarity of unconditional volatility and for homogeneity of model structure, and, then, evaluate the performances of the metrics. In real application, we do clustering analysis in terms of volatility and structure with stock return of the 11 Korean companies measured for the latest three years.

• Journal of the Korean Institute of Illuminating and Electrical Installation Engineers
• /
• v.24 no.2
• /
• pp.133-141
• /
• 2010

Grounding system insures a reference potential point for electric devices and also provides a low impedance path for fault currents in the earth. The ground impedance as function of frequency is necessary for determining its performance since fault currents could contain a wide range of frequencies. Copper and concrete rod electrodes are the most commonly used grounding electrode in electric distribution systems. In this paper, the ground impedance of copper and concrete rods has been measured by frequency and time domain characteristic tests. An equivalent transfer function model of the ground impedance is identified from the measured values by using ARMA method and evaluated by comparing conventional grounding impedances.

• The Korean Journal of Applied Statistics
• /
• v.22 no.6
• /
• pp.1191-1201
• /
• 2009

The cumulative sum(CUSUM) control charts are typically used for detecting small level shifts in process control. To control an auto-correlated process, the model-based control methods can be employed, in which the residuals from fitting a time series model are applied to the CUSUM chart. However, the persistent level shifts in the original process may lead to varying mean shifts in residuals, which may deteriorate detection performance significantly. Therefore, in this paper, focussing on ARMA(1,1), we propose a new CUSUM type control method which can detect the dynamic mean shifts in residuals especially with oscillating pattern effectively and, through the simulation study, evaluate its performance by comparing with other various CUSUM type control methods introduced so far.

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

• KSCE Journal of Civil and Environmental Engineering Research
• /
• v.31 no.1B
• /
• pp.21-27
• /
• 2011

When execute runoff forecasting, can not remove perfectly uncertainty of forecasting results. But, reduce uncertainty by various techniques analysis. This study applied various forecasting techniques for runoff prediction's accuracy elevation in Gongju basin. statics techniques is ESP, Period Average & Moving average, Exponential Smoothing, Winters, Auto regressive moving average process. Authoritativeness estimation with results of runoff forecasting by each techniques used MAE (Mean Absolute Error), RMSE (Root Mean Squared Error), RRMSE (Relative Root Mean Squared Error), Mean Absolute Percentage Error (MAPE), TIC (Theil Inequality Coefficient). Result that use MAE, RMSE, RRMSE, MAPE, TIC and confirm improvement effect of runoff forecasting, ESP techniques than the others displayed the best result.

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

• Industrial Engineering and Management Systems
• /
• v.12 no.3
• /
• pp.244-253
• /
• 2013

In industries, shipping is an important issue in improving the forecasting accuracy of sales. This paper introduces a hybrid method and plural methods are compared. Focusing the equation of exponential smoothing method (ESM) that is equivalent to (1, 1) order autoregressive-moving-average (ARMA) model equation, a new method of estimating the smoothing constant in ESM had been proposed previously by us which satisfies minimum variance of forecasting error. Generally, the smoothing constant is selected arbitrarily. However, this paper utilizes the above stated theoretical solution. Firstly, we make estimation of ARMA model parameter and then estimate the smoothing constant. Thus, theoretical solution is derived in a simple way and it may be utilized in various fields. Furthermore, combining the trend removing method with this method, we aim to improve forecasting accuracy. This method is executed in the following method. Trend removing by the combination of linear and 2nd order nonlinear function and 3rd order nonlinear function is executed to the original production data of two kinds of bread. Genetic algorithm is utilized to search the optimal weight for the weighting parameters of linear and nonlinear function. For comparison, the monthly trend is removed after that. Theoretical solution of smoothing constant of ESM is calculated for both of the monthly trend removing data and the non-monthly trend removing data. Then forecasting is executed on these data. The new method shows that it is useful for the time series that has various trend characteristics and has rather strong seasonal trend. The effectiveness of this method should be examined in various cases.

• KSCE Journal of Civil and Environmental Engineering Research
• /
• v.2 no.3
• /
• pp.43-56
• /
• 1982

A recursive algorithms for prediction of streamflows by Kalman filtering theory and Self-tuning predictor based on the state space description of the dynamic systems have been studied and the applicabilities of the algorithms to the rainfall-runoff processes have been investigated. For the representation of the dynamics of the processes, a low-order ARMA process has been taken as the linear discrete time system with white Gaussian disturbances. The state vector in the prediction model formulated by a random walk process. The model structures have been determined by a statistical analysis for residuals of the observed and predicted streamflows. For the verification of the prediction algorithms developed here, the observed historical data of the hourly rainfall and streamflows were used. The numerical studies shows that Kalman filtering theory has better performance than the Self-tuning predictor for system identification and prediction in rainfall-runoff processes.

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