• The Korean Journal of Applied Statistics
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• v.7 no.2
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• pp.239-248
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• 1994

The Yule-Walker estimator and the approximate conditional least squares estimator of the parameter of the EARMA(1, 1) model are obtained. These two estimators are compared by simulation study. It is shown that the approximate conditional least squares estimator is better in the sense of the mean square error than the Yul-Walker estimator.

• Communications for Statistical Applications and Methods
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• v.20 no.1
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• pp.41-52
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• 2013

The stationary bootstrap of Politis and Romano (1994) is adopted to develop prediction intervals of returns and volatilities in a generalized autoregressive heteroskedastic (GARCH)(p, q) model. The stationary bootstrap method is applied to generate bootstrap observations of squared returns and residuals, through an ARMA representation of the GARCH model. The stationary bootstrap estimators of unknown parameters are defined and used to calculate the stationary bootstrap samples of volatilities. Estimates of future values of returns and volatilities in the GARCH process and the bootstrap prediction intervals are constructed based on the stationary bootstrap; in addition, asymptotic validities are also shown.

• Proceedings of the KIEE Conference
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• 1987.11a
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• pp.449-453
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• 1987

This paper presents the detecting algorithm of inrush current which causes protective equipment to maloperate in energizing a power distribution line. This detecting algorithm uses the method which extracts the decay component and energy of 2nd harmonics by Prony Spectral Estimation Method existed AR model to new ARMA model. In this paper, the inrush currents are obtained by model simulations and fild tests. By applying these data to the detecting algorithm, it has been confirmed to discriminate inrush currents from fault currents.

• Journal of Institute of Control, Robotics and Systems
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• v.22 no.8
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• pp.650-655
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• 2016

In this paper, a novel RLS-based DOB (Recursive Least Squares Disturbance Observer) scheme is proposed to improve the performance of DOB for nominal model identification. A nominal model can be generally assumed to be a second order system in the form of a proper transfer function of an ARMA (Autoregressive Moving Average) model. The RLS algorithm for the model identification is proposed in association with DOB. Experimental studies of the balancing control of a one-wheel robot are conducted to demonstrate the feasibility of the proposed method. The performances between the conventional DOB scheme and the proposed scheme are compared.

• Journal of the Korean Operations Research and Management Science Society
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• v.16 no.1
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• pp.68-75
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• 1991

The purpose of this thesis is to develop the new technique for the analysis of seasonal time series by extending the vector sample auto-correlation function(VSACF), which was developed for ARMA modelling procedure. After the problems of VSACF for modelling seasonal time series are investigated, the adjacent variance is defined and used for decomposing the seasonal factor from the seasonal time series. The seasonal indices are calculated and the VSACF is applied to the transformed series. The automatic procedure for modelling seasonal time series is suggested and applied to the real data, the international airline passenger travel.

• Journal of the Korean Institute of Illuminating and Electrical Installation Engineers
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• v.25 no.6
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• pp.49-56
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• 2011

Grounding system insures a reference potential point for electric devices and also provides a low impedance path for fault currents or transient 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. In this paper, the grounding resistance, grounding impedance and transient grounding impedance are measured by using 3-point fall-of-potential method in order to analyse grounding characteristics of the copper and concrete rod grounding electrodes. An equivalent transfer function model of the ground impedance and transient grounding impedance are identified from the measured values by using ARMA method and evaluated by comparing the conventional grounding impedance.

• Journal of Korean Institute of Industrial Engineers
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• v.23 no.2
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• pp.289-305
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• 1997

In this paper, design procedure and estimation of the double sampling plans are developed when the production process is examined in order and if it shows the dependence between the products. If a dependent process model can be simulated, the best sampling plans can be selected by using the special properties of the probability structure. The number of actual evaluations to find the plans can be reduced remarkably. The experimental study reveals that only small portion of the total exhaustive enumeration is needed. ARMA (1,1) time series models are given as numerical examples.

• Proceedings of the KIEE Conference
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• 2000.07d
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• pp.2968-2970
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• 2000

시계열(time series)이란 한 사상 또는 여러 사상에 대하여 시간의 흐름에 따라 일정한 간격으로 이들을 관측하여 기록한 자료를 말한다. 이러한 시계열은 어떠한 경제현상이나 자연현상에 관한 시간적 변화를 나타내는 역사적 계열(historical series)이므로 어느 한 시점에서 관측된 시계열자료는 그 이전까지의 자료들에 주로 의존하게 된다. 따라서 시계열분석을 통한 예측에서는 과거의 자료들을 분석하여 법칙성을 발견해서 이를 모형화하여 추정하고. 이 추정된 모형을 사용하여 미래에 관측될 값들을 예측하게 된다. 본 연구에서는 ARMA (p, q)모형 (autoregressive moving-average model)을 이용하여 시계열 데이터를 분석하며 계수의 추정에는 Levinson-Durbin 알고리듬과 Newton-Raphson Method를 이용한다.

• International Journal of Aerospace System Engineering
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• v.2 no.2
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• pp.44-49
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• 2015

A gust response analyses method based on Reduced Order Models (ROMs) was developed in the paper. Firstly, taken random signal as the input signal and adopt Single Input-Multi-Output (SIMO) training fashion, a ROM based on Auto-Regressive and Moving Average model (ARMA) was established and validated with the comparison of CFD/CSD and experiment. Then, by introducing control surface deflection and control laws, flutter active suppress was studied. Lastly, through filtering and transferring function, the gust temporal signal is obtained based on Dryden gust model, and gust response and suppress were simulated.

• The Transactions of the Korean Institute of Electrical Engineers
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• v.34 no.7
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• pp.257-266
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• 1985

A new method for the artificial beta cell which can be used to control the hyperglycemia in diabetic patients was represented. The relationship between the insulin infusion rate and the blood glucose concentration was described by the second order ARMA model, and the time varying parameters were identified by exponentially weighted least squares estimator. The design of controller was based on the pole assignment self tuning altorithm with discrete blood sampling and the constraints of input and output responsse rate were considered. The results of animal experiments show that this method may be a fruitful approach for regulating the blood glucose level. We expect that this device can be used as both therapeutic and research tools providing that its stability and reliability are improved a little more.