• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.267-277
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• 2016

This paper considers we consider the estimation of copula parameters based on residuals in stochastic regression models. We prove that a semiparametric estimator using residual empirical distributions is consistent under some conditions and apply the results to the copula-ARMA model. We provide simulation results for illustration.

• Magazine of the Korean Society of Agricultural Engineers
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• v.36 no.2
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• pp.79-87
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• 1994

A real-time flood forecasting system(FLOFS) was developed for the real-time and predictive determination of flood discharges and stages, and to aid in flood management decisions in the Keum River Estuary Dam. The system consists of three subsystems : data subsystem, model subsystem, and user subsystem. The data subsystem controls and manages data transmitted from telemetering systems and simulated by models. The model subsystem combines various techniques for rainfall-runoff modeling, tidal-level forecasting modeling, one-dimensional unsteady flood routing, Kalman filtering, and autoregressivemovingaverage(ARMA) modeling. The user subsystem in a menu-driven and man-machine interface system.

• Journal of the Korean Data and Information Science Society
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• v.15 no.4
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• pp.783-791
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• 2004

In this paper we review recent developments in nonlinear time series modeling on both conditional mean and conditional variance. Traditional linear model in conditional mean is referred to as ARMA(autoregressive moving average) process investigated by Box and Jenkins(1976). Nonlinear mean models such as threshold, exponential and random coefficient models are reviewed and their characteristics are explained. In terms of conditional variances, ARCH(autoregressive conditional heteroscedasticity) class is considered as typical linear models. As nonlinear variants of ARCH, diverse nonlinear models appearing in recent literature including threshold ARCH, beta-ARCH and Box-Cox ARCH models are remarked. Also, a class of unified nonlinear models are considered and parameter estimation for that class is briefly discussed.

• The Journal of Fisheries Business Administration
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• v.52 no.4
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• pp.13-28
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• 2021

The purpose of this study is to compare short-term price predictive power among ARMA ARMAX and VAR forecasting models based on the MDM test using monthly consumer price data of frozen mackerel. This study also aims to help policymakers and economic actors make reasonable choices in the market on monthly consumer price of frozen mackerel. To analyze this study, the frozen wholesale prices and new consumer prices were used as variables while the price time series data were used from December 2013 to July 2021. Through the unit root test, it was confirmed that the time series variables employed in the models were stable while the level variables were used for analysis. As a result of conducting information standards and Granger causality tests, it was found that the wholesale prices and fresh consumer prices from the previous month have affected the frozen consumer prices. Then, the model with the highest predictive power was selected by RMSE, RMSPE, MAE, MAPE, and Theil's inequality coefficient criteria where the predictive power was compared by the MDM test in order to examine which model is superior. As a result of the analysis, ARMAX(1,1) with the frozen wholesale, ARMAX(1,1) with the fresh consumer model and VAR model were selected. Through the five criteria and MDM tests, the VAR model was selected as the superior model in predicting the monthly consumer price of frozen mackerel.

• 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.

• Wind and Structures
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• v.18 no.3
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• pp.215-233
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• 2014

This paper presents a method to extract flutter derivatives of bridge decks based on a combination of the computational fluid dynamics (CFD), system simulations and system identifications. The incompressible solver adopts an Arbitrary Lagrangian-Eulerian (ALE) formulation with the finite volume discretization in space. The imposed sectional motion in heaving or pitching relies on exponential time series as input, with aerodynamic forces time histories acting on the section evaluated as output. System identifications are carried out to fit coefficients of the inputs and outputs of ARMA models, as to establish discrete-time aerodynamic models. System simulations of the established models are then performed as to obtain the lift and moment exerting on the sections to a sinusoidal displacement. It follows that flutter derivatives are identified. The present approaches are applied to a hexagon thin plate and a real bridge deck. The results are compared to the Theodorsen closed-form solution and those from wind tunnel tests. Satisfactory agreements are observed.

• Journal of the Korean Data and Information Science Society
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• v.28 no.4
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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.

• Journal of the Korean Data and Information Science Society
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• v.26 no.4
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• pp.791-799
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• 2015

In random walk hypothesis, we assume that current change of financial time series is independent of past values. It is interpreted as an existency of a unit root in ARMA models and many researches have been focused on whether ${\rho}$ < 1 or not. If some financial data are generated from an explosive autoregressive model, the chance of a bubble economy increases. We have to find the symptoms of it in advance. Since some well-known parameter estimators contain the parameter itself and other statistic is constructed under a specific parameter structure assumption, those are difficut to be adopted. In this paper we investigate a test for explosive autoregressive models using slope signs. We found the properties of the slope sign test statistic under both independent error and correlated error conditions, mainly by simulations.

• Journal of Korea Water Resources Association
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• v.31 no.3
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• pp.317-326
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• 1998

Water consumption characteristics on the northern part of Seoul were analyzed using wavelet transform with a base function of Coiflets 5. It turns out that long term evolution mode detected at 212 scale in 1995 was in a shape of hyperbolic tangent over the entire period due to the development of Sanggae resident site. Furthermore, there was seasonal water demand having something to do with economic cycle which reached its peak at the ends of June and December. The amount of this additional consumption was about $1,700\;\textrm{cm}^3/hr$ on June and $500\;\textrm{cm}^3/hr$ on December. It was also shown that the periods of energy containing sinusoidal component were 3.13 day, 33.33 hr, 23.98 hr and 12 hr, respectively, and the amplitude of 23.98 hr component was the most humongous. The components of relatively short frequency detected at $2^i$[i = 1,2,…12] scale were following Gaussian PDF. The most reliable predictive models are multiple AR[32,16,23] and ARMA[20, 16, 10, 23] which the input of temperature from the view point of minimized predictive error, mutual independence or residuals and the availableness of reliable meteorological data. The predicted values of water supply were quite consistent with the measured data which cast a possibility of the deployment of the predictive model developed in this study for the optimal management of water supply facilities.

• 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.