• 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.

• Ocean and Polar Research
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• 제34권2호
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• pp.185-195
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• 2012

This paper focused on forecasting a short-term production of oysters, which have been farmed in Korea, with distinct periodicity of production by year, and different production level by month. To forecast a short-term oyster production, this paper uses monthly data (260 observations) from January 1990 to August 2011, and also adopts several econometrics methods, such as Multiple Regression Analysis Model (MRAM), Seasonal Autoregressive Integrated Moving Average (SARIMA) Model, and Vector Error Correction Model (VECM). As a result, first, the amount of short-term oyster production forecasted by the multiple regression analysis model was 1,337 ton with prediction error of 246 ton. Secondly, the amount of oyster production of the SARIMA I and II models was forecasted as 12,423 ton and 12,442 ton with prediction error of 11,404 ton and 11,423 ton, respectively. Thirdly, the amount of oyster production based on the VECM was estimated as 10,425 ton with prediction errors of 9,406 ton. In conclusion, based on Theil inequality coefficient criterion, short-term prediction of oyster by the VECM exhibited a better fit than ones by the SARIMA I and II models and Multiple Regression Analysis Model.

• 전력전자학회논문지
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• 제11권2호
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• pp.159-163
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• 2006

선형 서보 응용분야에서 속도제어기를 정밀하게 조정하기 위해서는 부하 및 가동자의 질량을 항상 정확하게 알고 있어야 한다. 본 논문에서는 선형 영구자석 동기전동기의 가동부 질량을 추정하기 위하여 상수추정 알고리즘으로 최소자승법을 적용한 질량 추정방법을 제안하였다. 먼저 최소자승법을 적용하기 위한 기계적인 동전 시스템에 대한 DARMA(deterministic autoregressive moving average)모델을 유도하고, 유도된 DARMA모델에 최소자승법을 적용한 시뮬레이션 덴 실험 결과를 제시하여 제안한 방법으로 질량을 정밀하게 추정할 수 있음을 보였다.

• Smart Structures and Systems
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• 제26권1호
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• pp.23-33
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• 2020

Majority of the damage in engineering structures is nonlinear. Damage sensitive features (DSFs) extracted by traditional methods from linear time series models cannot effectively handle nonlinearity induced by structural damage. A new DSF is proposed based on vector space cosine similarity (VSCS), which combines K-means cluster analysis and Bayesian discrimination to detect nonlinear structural damage. A reference autoregressive moving average (ARMA) model is built based on measured acceleration data. This study first considers an existing DSF, residual standard deviation (RSD). The DSF is further advanced using the VSCS, and then the advanced VSCS is classified using K-means cluster analysis and Bayes discriminant analysis, respectively. The performance of the proposed approach is then verified using experimental data from a three-story shear building structure, and compared with the results of existing RSD. It is demonstrated that combining the linear ARMA model and the advanced VSCS, with cluster analysis and Bayes discriminant analysis, respectively, is an effective approach for detection of nonlinear damage. This approach improves the reliability and accuracy of the nonlinear damage detection using the linear model and significantly reduces the computational cost. The results indicate that the proposed approach is potential to be a promising damage detection technique.

• Environmental Engineering Research
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• 제22권2호
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• pp.162-168
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• 2017

Rainfall is one of the most important phenomena of the natural system. In Bangladesh, agriculture largely depends on the intensity and variability of rainfall. Therefore, an early indication of possible rainfall can help to solve several problems related to agriculture, climate change and natural hazards like flood and drought. Rainfall forecasting could play a significant role in the planning and management of water resource systems also. In this study, univariate Seasonal Autoregressive Integrated Moving Average (SARIMA) model was used to forecast monthly rainfall for twelve months lead-time for thirty rainfall stations of Bangladesh. The best SARIMA model was chosen based on the RMSE and normalized BIC criteria. A validation check for each station was performed on residual series. Residuals were found white noise at almost all stations. Besides, lack of fit test and normalized BIC confirms all the models were fitted satisfactorily. The predicted results from the selected models were compared with the observed data to determine prediction precision. We found that selected models predicted monthly rainfall with a reasonable accuracy. Therefore, year-long rainfall can be forecasted using these models.

• 조명전기설비학회논문지
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• 제28권1호
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• pp.50-56
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• 2014

Accurate midterm load forecasting is essential to preventive maintenance programs and reliable demand supply programs. This paper describes a midterm load forecasting method using autoregressive integrated moving average (ARIMA) model which has been widely used in time series forecasting due to its accuracy and predictability. The various ARIMA models are examined in order to find the optimal model having minimum error of the midterm load forecasting. The proposed method is applied to forecast 104-week load pattern using the historical data in Korea. The effectiveness of the proposed method is evaluated by forecasting 104-week load from 2011 to 2012 by using historical data from 2002 to 2010.

• 한국멀티미디어학회논문지
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• 제25권1호
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• pp.82-91
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• 2022

In this paper, time series prediction method of photovoltaic power is introduced using seasonal autoregressive integrated moving average (SARIMA). In order to obtain the best fitting model by a time series method in the absence of an environmental sensor, this research was used data below 50% of cloud cover. Three samples were extracted by time intervals from the raw data. After that, the best fitting models were derived from mean absolute percentage error (MAPE) with the minimum akaike information criterion (AIC) or beysian information criterion (BIC). They are SARIMA (1,0,0)(0,2,2)14, SARIMA (1,0,0)(0,2,2)28, SARIMA (2,0,3)(1,2,2)55. Generally parameter of model derived from BIC was lower than AIC. SARIMA (2,0,3)(1,2,2)55, unlike other models, was drawn by AIC. And the performance of models obtained by SARIMA was compared. MAPE value was affected by the seasonal period of the sample. It is estimated that long seasonal period samples include atmosphere irregularity. Consequently using 1 hour or 30 minutes interval sample is able to be helpful for prediction accuracy improvement.

• 대한수학회논문집
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• 제21권3호
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• pp.533-541
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• 2006

We consider a autoregressive moving average process of order p and q with Markov switching coefficients and find sufficient conditions for irreducibility of the process. Identifying small sets is also examined.

• Journal of Advanced Marine Engineering and Technology
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• 제41권1호
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• pp.56-61
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• 2017

본 논문은 시간지연이 있는 데이터의 예측기법과 햅틱기반의 원격조작시스템에서의 응용방법을 다룬다. 일반적으로 네트워크 환경은 데이터 전송에 따른 시간지연이 필수적으로 동반되며, 햅틱기반의 원격조작시스템이 이러한 네트워크 환경에 구현되는 경우 시간지연으로 인해 전체 시스템의 성능저하를 피할 수 없다. 이러한 상황을 고려하여, 본 논문은 ARMA모델을 기반으로 모델파라미터의 학습방법과 실시간 예측을 위한 재귀적 알고리즘을 제안한다. 제안된 방법은 가상공간에 놓인 물체에 대하여 양방향 햅틱 상호작용의 상황에서 5ms의 샘플링 주기로 획득한 햅틱데이터에 적용되며, 그 결과로서 100ms 이후의 값을 예측함에 있어 위치수준 오차 1mm이내의 예측성능을 보였다.

• 대한전기학회논문지:전력기술부문A
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• 제55권2호
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• pp.85-93
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• 2006

Since the SMP(System Marginal Price) is a vital factor to the market participants who intend to maximize the their profit and to the ISO(Independent System Operator) who wish to operate the electricity market in a stable sense, the short-term marginal price forecasting should be performed correctly. In an electricity market the short-term market price affects considerably the short-term trading between the market entities. Therefore, the exact forecasting of SMP can influence on the profit of market participants. This paper presents a new methodology for a day-ahead SMP forecasting using ARIMA(Autoregressive Integrated Moving Average) model based on the time-series method. And also the correction algorithm is proposed to minimize the forecasting error in order to improve the efficiency and accuracy of the SMP forecasting. To show the efficiency and effectiveness of the proposed method, the case studies are performed using historical data of SMP in 2004 published by KPX(Korea Power Exchange).