• 응용통계연구
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• 제22권6호
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• pp.1191-1201
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• 2009

공정관리에서 작은 평균변화를 탐지하기 위하여 누적합 관리도를 사용하는 것이 일반적이다. 자기상관이 존재하는 공정의 경우 시계열 모형에 적합하여 구한 잔차를 관리도에 적용하는 모형기반 관리방법이 활용되고 있다. 그러나 공정에 일정한 크기의 지속적인 수준 변화가 발생하면 잔차에는 동적 평균변화의 패턴이 나타나게 되어 누적합 관리도의 탐지능력은 저하될 수 있다. 본 논문에서는 잔차에 등락을 반복하는 진동(oscillation) 특성의 동적 평균변화가 발생하는 ARMA(1,1) 모형을 대상으로, 그러한 변화를 효율적으로 탐지할 수 있는 새로운 OCUSUM 관리도를 제안하고 모의실험을 통해 최근에 소개된 기존의 CUSUM 관리도와 탐지능력을 비교하였다.

• Journal of the Korean Data and Information Science Society
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• 제21권5호
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• pp.841-852
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• 2010

통합공정관리는 공정의 변동을 줄이기 위하여 공학적 공정관리와 통계적 공정관리를 병행하는 절차이다. 통합공정관리의 기본적인 절차는 잡음과 이상원인이 공존하는 공정에 대하여 매시점마다 수정절차를 통하여 공정편차를 백색잡음으로 전환하며, 수정된 공정을 관리도를 이용하여 이상원인의 발생 여부를 탐지하게 된다. 이때 공정은 이상원인 발생 전에는 백색잡음이 되지만, 이상원인 발생 후에는 이상원인과 수정절차의 효과가 혼합되어 다양한 형태의 시계열 모형으로 변환하게 된다. 이 논문에서는 잡음모형으로 자기회귀이동평균(1,1) 모형을 가정하고 통합공정관리 절차를 수행하는 경우, 지수가중이동평균 관리도를 사용하여 이상원인을 탐지하는 절차에 대한 효율을 살펴보았다. 또한 이상원인의 신호 후 이를 제거하기 힘든 경우 사용할 수 있는 재수정 절차를 제안하였다.

• Industrial Engineering and Management Systems
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• 제12권3호
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• pp.244-253
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• 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.

• 응용통계연구
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• 제29권1호
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• pp.193-203
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• 2016

본 논문은 ICT기반 시장에서의 수요관리시스템에서의 핵심 요소인 전력 수요 예측을 위하여, 전체 사용량을 기반으로 예측 하는 방식이 아닌, 시계열 기반 군집분석을 통한 군집별 예측량의 결합을 실시하였다. 시계열 군집 분석 방법으로서 Periodogram 기반의 정규화 군집분석, 예측 기반의 군집분석, DTW(Dynamic Time Warping)를 이용하여 군집화를 시도하였으며, 군집 별 수요예측 모형으로서 DSHW(Double Seasonal Holt-Winters) 모형, TBATS(Trigonometric, Box-Cox transform, ARMA errors, Trend and Seasonal components) 모형, FARIMA(Fractional ARIMA) 모형을 사용하여 예측을 실시하였다. 전체 사용량을 기반으로 예측 하는 방식이 아닌, 군집분석을 통한 군집별 예측량의 결합이 더 낮은 MAPE로 나타남에 따라 우수한 예측 방법으로 판단되었다.

• Journal of Communications and Networks
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• 제14권3호
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• pp.310-318
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• 2012

Detecting intrusion attacks accurately and rapidly in wireless networks is one of the most challenging security problems. Intrusion attacks of various types can be detected by the change in traffic flow that they induce. Wireless industrial networks based on the wireless networks for industrial automation-process automation (WIA-PA) standard use a superframe to schedule network communications. We propose an intrusion detection system for WIA-PA networks. After modeling and analyzing traffic flow data by time-sequence techniques, we propose a data traffic prediction model based on autoregressive moving average (ARMA) using the time series data. The model can quickly and precisely predict network traffic. We initialized the model with data traffic measurements taken by a 16-channel analyzer. Test results show that our scheme can effectively detect intrusion attacks, improve the overall network performance, and prolong the network lifetime.

• Communications for Statistical Applications and Methods
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• 제20권1호
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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.

• 대한전기학회:학술대회논문집
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• 대한전기학회 1987년도 정기총회 및 창립40주년기념 학술대회 학회본부
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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 the Korean Data and Information Science Society
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• 제28권4호
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• pp.927-936
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• 2017

To analyze longitudinal count data, Poisson linear mixed models are commonly used. In the models the random effects covariance matrix explains both within-subject variation and serial correlation of repeated count outcomes. When the random effects covariance matrix is assumed to be misspecified, the estimates of covariates effects can be biased. Therefore, we propose reasonable and flexible structures of the covariance matrix using autoregressive and moving average Cholesky decomposition (ARMACD). The ARMACD factors the covariance matrix into generalized autoregressive parameters (GARPs), generalized moving average parameters (GMAPs) and innovation variances (IVs). Positive IVs guarantee the positive-definiteness of the covariance matrix. In this paper, we use the ARMACD to model the random effects covariance matrix in Poisson loglinear mixed models. We analyze epileptic seizure data using our proposed model.

• 전력전자학회논문지
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• 제27권4호
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• pp.316-324
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• 2022

This paper uses seasonal auto-regressive integrated moving average (S-ARIMA), which is efficient in seasonality between time-series models, to predict the degradation tendency for lithium-ion batteries and study a method for improving the predictive performance. The proposed method analyzes the degradation tendency and extracted factors through an electrical characteristic experiment of lithium-ion batteries, and verifies whether time-series data are suitable for the S-ARIMA model through several statistical analysis techniques. Finally, prediction of battery aging is performed through S-ARIMA, and performance of the model is verified through error comparison of predictions through mean absolute error.

• Advances in Energy Research
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• 제6권2호
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• pp.131-143
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• 2019

Global Solar Radiation (GSR) is the key element for performance estimation of any Solar Power Plant (SPP). Its forecasting may help in estimation of power production from a SPP well in advance, and may also render help in optimal use of this power. Seasonal Auto-Regressive Moving Average (SARMA) and Artificial Neural Network (ANN) models are combined in order to develop a hybrid model (SARMA-ANN) conceiving the characteristics of both linear and non-linear prediction models. This developed model has been used for prediction of GSR at Gorakhpur, situated in the northern region of India. The proposed model is beneficial for the univariate forecasting. Along with this model, we have also used Auto-Regressive Moving Average (ARMA), SARMA, ANN based models for 1 - 6 day-ahead forecasting of GSR on hourly basis. It has been found that the proposed model presents least RMSE (Root Mean Square Error) and produces best forecasting results among all the models considered in the present study. As an application, the comparison between the forecasted one and the energy produced by the grid connected PV plant installed on the parking stands of the University shows the superiority of the proposed model.