• Journal of applied mathematics & informatics
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• 제4권1호
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• pp.135-135
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• 1997

Times series modeling plays an important role in the field of engineering, Statistics, Biomedicine etc. Model identification is one of crucial steps in the modeling of an AutoRegreesive Moving Average(ARMA(p, q)) process for real world problems. Many techniques have been developed in the literature (Salas et al., McLeod et al. etc.) for the identification of an ARMA(p, q) Model. In this paper, a new technique called The Generalised Parameters Technique is formulated for seasonal and non-seasonal ARMA model identification. This technique is very simple and can e applied to any given time series. Initial estimates of the AR parameters of the ARMA model are also obtained by this method. This model identification technique is validated through many theoretical and simulated examples.

• 한국경영과학회:학술대회논문집
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• 대한산업공학회/한국경영과학회 1991년도 춘계공동학술대회 발표논문 및 초록집; 전북대학교, 전주; 26-27 Apr. 1991
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• pp.303-304
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• 1991

• 제어로봇시스템학회:학술대회논문집
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• 제어로봇시스템학회 2005년도 ICCAS
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• pp.1903-1906
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• 2005

We proposed a new variant of correlation approach for ARMA model. The proposed method is is intended to make the current prediction error uncorrelated with the past one. In the investigation of the properties, the uniqueness, consistency and asymptotic normality of the estimate are shown. Via simulation results, we show that the proposed method give good estimates for various systems.

• 대한전기학회논문지:시스템및제어부문D
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• 제54권7호
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• pp.423-427
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• 2005

In this paper, we proposed a new ARMA model identification which estimate the parameters to make the current prediction error uncorrelated with the past one. As good properties of the proposed method, we show the uniqueness, consistency of the estimate and asymptotic normality of the estimation error. Via simulation results, we show that the proposed method give good estimates for various systems which have different power spectrum. Moreover, the estimation of gyroscope random errors shows that the proposed method is applicable to the real data.

• Asia pacific journal of information systems
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• 제1권1호
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• pp.63-86
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• 1991

In this paper, our concern is the artificial neural network-based patten classification, when can resolve the difficulties in the Autoregressive Moving Average(ARMA) model identification problem To effectively classify a time series into an approriate ARMA model, we adopt the Multi-layered Backpropagation Network (MLBPN) as a pattern classifier, and Extended Sample Autocorrelation Function (ESACF) as a feature extractor. To improve the classification power of MLBPN's we suggest an integrated neural network system which consists of an AR Network and many small-sized MA Networks. The output of AR Network which will gives the MA order. A step-by-step training strategy is also suggested so that the learned MLBPN's can effectively ESACF patterns contaminated by the high level of noises. The experiment with the artificially generated test data and real world data showed the promising results. Our approach, combined with a statistical parameter estimation method, will provide a way to the automation of ARMA modeling.

• 제어로봇시스템학회:학술대회논문집
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• 제어로봇시스템학회 1999년도 제14차 학술회의논문집
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• pp.45-48
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• 1999

Model predictive control algorithm requires a relevant model of the system to be controlled. Unfortunately, the first principle model describing a polymerization reaction system has a large number of parameters to be estimated. Thus there is a need for the identification and control of a polymerization reactor system by using available input-output data. In this work, the polynomial auto-regressive moving average (ARMA) models are employed as the input-output model and combined into the nonlinear model predictive control algorithm based on the successive linearization method. Simulations are conducted to identify the continuous styrene polymerization reactor system. The input variables are the jacket inlet temperature and the feed flow rate whereas the output variables are the monomer conversion and the weight-average molecular weight. The polynomial ARMA models obtained by the system identification are used to control the monomer conversion and the weight-average molecular weight in a continuous styrene polymerization reactor It is demonstrated that the nonlinear model predictive controller based on the polynomial ARMA model tracks the step changes in the setpoint satisfactorily. In conclusion, the polynomial ARMA model is proven effective in controlling the continuous styrene polymerization reactor.

• Journal of the Korean Statistical Society
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• 제28권4호
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• pp.503-513
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• 1999

The Bayes factor for the identification of stationary ARM(p,q) models is exactly computed using the Monte Carlo method. As priors are used the uniform prior for (\ulcorner,\ulcorner) in its stationarity-invertibility region, the Jefferys prior and the reference prior that are noninformative improper for ($\mu$,$\sigma$\ulcorner).

• 제어로봇시스템학회논문지
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• 제2권4호
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• pp.344-350
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• 1996

An adaptive predictive level control of waste heat steam boiler was studied by using mathematical models considering the inverse response. The simulation experiments of the model identification were performed by using linear and bilinear models. From the results of simulations it was found that the bilinear model represented the actual dynamic behavior of steam boiler very well. ARMA model was used in the model identification and the adaptive predictive controller. To verify the performance and effectiveness of the adaptive predictive controller used in this study the simulation results of the adaptive predictive level control for waste heat steam boiler based on bilinear model were compared to those of P, PI and PID controller. The results of simulations showed that the adaptive predictive controller provides the fast arrival to setpoint of liquid level.

• 한국구조물진단유지관리공학회 논문집
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• 제19권4호
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• pp.43-48
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• 2015

본 연구에서는 지진계 센서의 동적범위를 향상시키는 새로운 방법을 제안하였다. 먼저, 센서에 포함된 저주파수 대역 잡음을 ARMA(Auto Regresive Moving Average) 모델로 모델링하고 시스템 식별 방법으로 그 모델을 식별한다. 다음으로, 모델링된 잡음과 지진파 입력을 칼만필터 식에 포함하여 칼만필터에 의한 지진파입력을 추정한다. 제안한 방법을 새로이 개발된 MEMS 기반 3축 가속도 형태의 지진계에 적용하여 성능을 검증하였다. 시험 결과는 제안한 방법이 단순한 LPF(Low Pass Filter)를 사용한 경우에 비해 동적범위를 개선시킴을 보여준다.

• 정보기술응용연구
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• 제1권3_4호
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• pp.69-90
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• 1999

본 논문은 시계열자료의 ARMA 모형화를 위해 계층적(Hierarchical) 문제해결 방식인 인공신경망 기초 의상결정트리분류기상의 인공신경망 구조를 개선하여 지역문제(Local Problem)를 해결하는 복수개의 인공신경망 결과를 Dempster's rule of combination을 이용하여 종합하는 병행적인 (Parallel) ARMA 모형활르 위한 방법론을 제시함으로써 의사결정트리분류기에 근거한 방법론의 단점을 보완하였다. 본 논문에서 제시한 ARMA 모형화를 위한 방법론은 세 단계로 구성되어 있다: 1) ESACF 특성 벡터 추출단계; 2) 개별 인공신경망에 의한 부분적 모델링 단계; 3) Conflict Resolution 단계, 제시한 방법론을 검증하기 위해 모의실험용 자료와 실제 시계열자료를 이용하여 제시된 방법론을 검증하였으며 실험결과 기존 연구에 비해 ARMA 모형화와 정확도가 높은 것으로 나타났다.