• 응용통계연구
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• 제7권2호
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• pp.239-248
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• 1994

지수혼합 시계열 모형인 EARMA(1,1) 모형이 율-워커 추정법과 조건최소제곱 추정법으로 추정되었다. 율-워커 추정량은 이동평균모수가 포함된 ERAMA(1,1) 모형인 경우 유일하지 못하므로 가역 조건을 만족하는 추정량이 유일한 추정량으로 얻어졌고, 조건최소제곱 추정량은 근사추정량이 얻어졌다. 모의 실험을 통하여 근사조건제곱 추정량은 율-워커 추정량보다 평균제곱오차면에서 훨씬 좋은 추정량으로 나타났다.

• International Journal of Aerospace System Engineering
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• 제2권2호
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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.

• 대한전기학회논문지
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• 제39권3호
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• pp.312-320
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• 1990

Analysis and lattice implementation of Extended Instrumental Variable (EIV) methods for high resolution spectral analysis are presented. The performance of EIV is improved by using prefilters and the unbiasness of EIV is proved by using the fact that residual processes are white. We derive the order and time update formulas for the covariance lattice algorithm which is particularly useful in case of short data or nonstationary processes. The ARMA model can be modeled as two channel AR processes. Using this model, the lattice algorithms of EIV are derived. Computer simulations are performed to show the usefulness of the proposed algorithms.

• Communications for Statistical Applications and Methods
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• 제25권1호
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• pp.61-70
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• 2018

Modeling of the random effects covariance matrix in generalized linear mixed models (GLMMs) is an issue in analysis of longitudinal categorical data because the covariance matrix can be high-dimensional and its estimate must satisfy positive-definiteness. To satisfy these constraints, we consider the autoregressive and moving average Cholesky decomposition (ARMACD) to model the covariance matrix. The ARMACD creates a more flexible decomposition of the covariance matrix that provides generalized autoregressive parameters, generalized moving average parameters, and innovation variances. In this paper, we analyze longitudinal count data with overdispersion using GLMMs. We propose negative binomial loglinear mixed models to analyze longitudinal count data and we also present modeling of the random effects covariance matrix using the ARMACD. Epilepsy data are analyzed using our proposed model.

• Communications for Statistical Applications and Methods
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• 제19권3호
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• pp.507-516
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• 2012

시계열의 상관구조가 시점에 의존하며 주기적인 상관성을 보이는 계절성 시계열 자료에 대한 시계열 모형들이 비교 분석된다. 주기적 자기회귀이동평균 모형을 소개하고, 실증분석으로 주기적 상관성을 지닌 스위스 Arosa 지방의 성층권 오존 월별 시계열에 계층형 모형인 주기적 자기회귀이동평균 모형과 계절 누적자기회귀이동 평균 모형의 적합을 통하여 주기적 자기회귀이동평균 모형의 우월성을 비교한다.

• Journal of Electrical Engineering and Technology
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• 제8권5호
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• pp.975-983
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• 2013

This study proposes a low order dynamic model of a building system in order to predict thermal behavior within a building and its energy consumption. The building system includes a thermally well-insulated room and an electric heater. It is modeled by a second order lumped RC thermal network based on the thermal-electrical analogy. In order to identify unknown parameters of the model, an experimental procedure is firstly detailed. Then, the different linear parametric models (ARMA, ARX, ARMAX, BJ, and OE models) are recalled. The parameters of the parametric models are obtained by the least square approach. The obtained parameters are interpreted to the parameters of the physically based model in accordance with their relationship. Afterwards, the obtained models are implemented in Matlab/Simulink(R) and are evaluated by the mean of the sum of absolute error (MAE) and the mean of the sum of square error (MSE) with the variable of indoor temperature of the room. Quantities of electrical energy and converted thermal energy are also compared. This study will permit a further study on Model Predictive Control adapting to the proposed model in order to reduce energy consumption of the building.

• 산경연구논집
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• 제8권4호
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• pp.15-21
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• 2017

Purpose - In this work, we examined the causal relationship between credit loans from households (CLH), loan collateralized with housing (LCH) and an interest of certificate of deposit (ICD) among others in South Korea. Furthermore, the optimal forecasts on the underlying model will be obtained and have the potential for applications in the economic field. Research design, data, and methodology - A total of 31 realizations sampled from the 4th quarter in 2008 to the 4th quarter in 2016 was chosen for this research. To achieve the purpose of this study, a regression model with correlated errors was exploited. Furthermore, goodness-of-fit measures was used as tools of optimal model-construction. Results - We found that by applying the regression model with errors component ARMA(1,5) to CLH, the steep and lasting rise can be expected over the next year, with moderate increase of LCH and ICD. Conclusions - Based on 2017-2018 forecasts for CLH, the precipitous and lasting increase can be expected over the next two years, with gradual rise of two major explanatory variables. By affording the assumption that the feedback among variables can exist, we can, in the future, consider more generalized models such as vector autoregressive model and structural equation model, to name a few.

• Structural Engineering and Mechanics
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• 제29권3호
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• pp.311-325
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• 2008

Noting that damage occurrence of offshore jacket platforms is concentrated in two structural regions that are in the vicinity of still water surface and close to the seabed, a damage detection method by using only partial measurement of vibration in a suspect region was presented in this paper, which can not only locate damaged members but also evaluate damage severities. Then employing an experiment platform model under white-noise ground excitation by shaking table and using modal parameters of the first three modes identified by a scalar-type ARMA method on undamaged and damaged structures, the feasibility of the damage detection method was discussed. Modal parameters from eigenvalue analysis on the structural FEM model were also used to help the discussions. It is demonstrated that the damage detection algorithm is feasible on damage location and severity evaluation for broken slanted braces and it is robust against the errors of baseline FEM model to real structure when the principal errors is formed by difference of modal frequencies. It is also found that Z-value changes of modal shapes also play a role in the precise detection of damage.

• 조명전기설비학회논문지
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• 제24권2호
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• pp.133-141
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• 2010

접지시스템은 전기설비의 기준 전위점을 확보할 뿐만 아니라 대지에 낮은 저항으로 고장전류나 과도전류를 흐르게 한다. 주파수에 대한 함수로 접지임피던스는 고장이나 과도전류가 넓은 범위의 주파수 성분을 포함하기 때문에 접지성능을 평가하는데 중요한 역할을 한다. 동봉과 콘크리트봉은 배전계통에서 가장 많이 쓰이고 있는 접지전극이다. 본 논문에서는, 주파수영역과 시간영역의 특성시험으로 동봉과 콘크리트봉의 접지임피던스를 측정하였다. 접지임피던스의 등가 전달함수 모델은 측정된 데이터를 이용하여 ARMA 기법으로 모델링 되었고, 규약 접지임피던스로 비교하여 평가하였다.

• 한국방재학회 논문집
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• 제9권6호
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• pp.143-151
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• 2009

최근의 극한 수문사상은 홍수, 가뭄과 같은 심각한 재해를 발생시킨다. 많은 연구자들은 불확실한 미래의 확률강우량 및 유출량의 예측을 위해 많은 노력을 하고 있다. 본 연구에서는 불확실성이 낮은 확률강우량의 산정을 위하여 매개변수 추정법을 평가하였다. 인천, 강릉, 광주, 부산, 추풍령 관측소를 연구 대상 관측소로 선정하여 자료를 수집하였고, ARMA모형을 이용하여 합성강우자료를 구축하였다. 본 연구에서는 극치강우사상에 적합한 것으로 알려진 Gumbel 분포와 GEV 분포모형에 대한 매개변수를 최우도법과 베이지안 추론방법을 사용하여 추정하였으며, Bootstrap 방법을 이용하여 확률강우량의 신뢰구간 길이를 추정하였다. 매개변수 추정 방법별 산정된 확률강우량의 신뢰구간 길이를 비교함으로서 불확실성이 낮은 확률강우량을 산정할 수 있는 매개변수 추정방법을 선정하였다.