• Journal of Korea Water Resources Association
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• v.48 no.12
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• pp.981-993
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• 2015

The analysis of hydrologic time series data is crucial for the effective management of water resources. Therefore, it has been widely used for the long-term forecasting of hydrologic variables. In tradition, time series analysis has been used to predict a time series without considering exogenous variables. However, many studies using decomposition have been widely carried out with the assumption that one data series could be mixed with several frequent factors. In this study, the empirical mode decomposition method was performed for decomposing a hydrologic time series data into several components, and each component was applied to the time series models, autoregressive moving average (ARMA). After constructing the time series models, the forecasting values are added to compare the results with traditional time series model. Finally, the forecasted estimates from ARMA model with empirical mode decomposition method showed better performance than sole traditional ARMA model indicated from comparing the root mean square errors of the two methods.

• Journal of Electrical Engineering and Technology
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• v.8 no.3
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• pp.421-427
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• 2013

The dependence between wind speeds in multiple wind sites has a considerable impact on the reliability of power systems containing wind energy. This paper presents a new method to generate dependent wind speed time series (WSTS) based on copulas theory. The basic feature of the method lies in separating multivariate WSTS into dependence structure and univariate time series. The dependence structure is modeled through the use of copulas, which, unlike the cross-correlation matrix, give a complete description of the joint distribution. An autoregressive moving average (ARMA) model is applied to represent univariate time series of wind speed. The proposed model is illustrated using wind data from two sites in Canada. The IEEE Reliability Test System (IEEE-RTS) is used to examine the proposed model and the impact of wind speed dependence between different wind regimes on the generation system reliability. The results confirm that the wind speed dependence has a negative effect on the generation system reliability.

• 제어로봇시스템학회:학술대회논문집
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• 1986.10a
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• pp.73-77
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• 1986

Optimal input design problem for linear regression model with constrained output variance has been considered. It is shown that the optimal input signal for the linear regression model can also be realized as an ARMA process. Monte-Carlo simulation results show that the optimal stochastic input leads to comparatively better estimation accuracy than white input signal.

• Journal of the military operations research society of Korea
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• v.8 no.1
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• pp.71-76
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• 1982

A procedure is established for combining a regression model and a time series model to fit to a set of autocorrelated data. This procedure is based on an iterative method to compute regression parameter estimates and time series parameter estimates simultaneously. The time series model which is discussed is basically AR(p) model, since MA(q) model or ARMA(p,q) model can be inverted to AR({$\infty$) model which can be approximated by AR(p) model. The procedure discussed in this articled is applied in general to any combination of regression model and time series model.

• Communications for Statistical Applications and Methods
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• v.17 no.2
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• pp.263-273
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• 2010

Missing values in time series can be treated as unknown parameters and estimated by maximum likelihood or as random variables and predicted by the conditional expectation of the unknown values given the data. The purpose of this study is to impute missing values which are regarded as the maximum likelihood estimator and random variable in incomplete data and to compare with two methods using ARMA and STAR model. For illustration, the Mumps data reported from the national capital region monthly over the years 2001~2009 are used, and estimate precision of missing values and forecast precision of future data are compared with two methods.

• Smart Structures and Systems
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• v.25 no.3
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• pp.285-299
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• 2020

Long term structural health monitoring has gained wide attention among civil engineers in recent years due to the scale and severity of infrastructure deterioration. Establishing effective damage indicators and proposing enhanced monitoring methods are of great interests to the engineering practices. In the case of bridge health monitoring, long term structural vibration measurement has been acknowledged to be quite useful and utilized in the planning of maintenance works. Previous researches are majorly concentrated on linear time series models for the measurement, whereas nonlinear dependences among the measurement are not carefully considered. In this paper, a new bridge health monitoring method is proposed based on the use of long term vibration measurement. A combination of the fundamental ARMA model and copula theory is investigated for the first time in detecting bridge structural damages. The concept is applied to a real engineering practice in Japan. The efficiency and accuracy of the copula based damage indicator is analyzed and compared in different window sizes. The performance of the copula based indicator is discussed based on the damage detection rate between the intact structural condition and the damaged structural condition.

• Journal of the Korea Society of Computer and Information
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• v.25 no.12
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• pp.73-82
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• 2020

Most process date such as semiconductor and petrochemical processes, autocorrelation often exists between observed data, but when the existing SPC(Statistical process control) is applied to these processes, it is not possible to effectively detect the average change of the process. In this paper, when the average change of a certain size occurs in the process data following a specific time series model, the average of the residuals changes according to the passage of time, and the change pattern of the average is introduced around the ARMA(1,1) process. Based on this result, the reference value required in the design process of the CUSUM (Cumulative sum) control chart is appropriately considered by considering the type of the time series model of the process data of the CUSUM control chart that can detect small mean changes in the process and the width of the process mean change of interest. It was confirmed through simulation that it should be selected and used.

• Journal of the Korean Data and Information Science Society
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• v.6 no.2
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• pp.41-50
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• 1995

In this paper, an iterative procedure, which detects the location of the outliers and the joint estimates of the outliers effects and the model parameters in the autoregressive moving average model with two types of outliers, is proposed. The performance of the procedure is compared with the one in Chen and Liu(1993) through the Monte Carlo simulation. The proposed procedure is very robust in the sense that applies the procedures to the stationary time series model with any types of outliers.

• 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.

• Journal of the Korean Statistical Society
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• v.28 no.3
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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.