• The Korean Journal of Applied Statistics
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• v.3 no.1
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• pp.105-120
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• 1990

In this paper, a sequential test procedure is defined by using cumulative sum (CUSUM) of statistics. The properties as well as the efficiency of the CUSUM test are studied in comparison with the sequential probability ratio test (SPRT). It was shown that, the operating characteristic function and the average sample numbrer can be derived by Wald and Wiener process approximations. Also it was shown that the statistics used in the CUSUM test is determined to provide asymtotically equivalent efficiency compared to the SPRT. The efficiency of the CUSUM test and the SPRT are cpmpared by an example for some limited number of cases in the exponential distribution.

• The Korean Journal of Applied Statistics
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• v.27 no.2
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• pp.291-305
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• 2014

Persistence is one of the typical characteristics appearing in the volatility of financial time series. According to the recent researches, the volatility persistence may be due to either volatility shifts or long-range dependence. In this paper, we consider residual-based CUSUM tests to distinguish volatility persistence, long-range dependence and volatility shifts in GARCH models. It is observed that this test procedure achieve reasonable powers without a size distortion. Moreover, we employ AIC and BIC criteria to estimate the change points and the number of change points in volatility. We demonstrate the superiority of residual-based CUSUM tests on various Monte Carlo simulations and empirical data analysis.

• The Korean Journal of Applied Statistics
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• v.34 no.6
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• pp.863-874
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• 2021

In this paper, we propose a post-selection inference procedure for the fused lasso signal approximator (FLSA). The FLSA finds underlying sparse piecewise constant mean structure by applying total variation (TV) semi-norm as a penalty term. However, it is widely known that this convex relaxation can cause asymptotic inconsistency in change points detection. As a result, there can remain false change points even though we try to find the best subset of change points via a tuning procedure. To remove these false change points, we propose a post-selection inference for the FLSA. The proposed procedure applies a permutation test based on CUSUM statistic. Our post-selection inference procedure is an extension of the permutation test of Antoch and Hušková (2001) which deals with single change point problems, to multiple change points detection problems in combination with the FLSA. Numerical study results show that the proposed procedure is better than naïve z-tests and tests based on the limiting distribution of CUSUM statistics.

• Journal of Korea Society of Industrial Information Systems
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• v.15 no.3
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• pp.51-57
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• 2010

Steganography techniques can be used to hide data within digital images with little or no visible change in the perceived appearance of the image. I propose a steganalysis to detecting hidden message in sequential steganography. This paper presents adjusted technique for detecting abrupt jumps in the statistics of the stego signal during steganalysis. The repeated statistical test based on CUSUM-SPRT runs constantly until it reaches decision. In this paper, I deal with a new and improved statistic $g_t$ by computing $S^{t^*}_j$.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.15 no.26
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• pp.181-187
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• 1992

본 논문은 CIMS에서 적응되는 ARMA 공정제어의 새로운 3단계절차를 제안한다. 첫번째 단계는 다변량 ARMA모델을 식별하여 모수를 추정하고, white noise로 진단된 잔차 series에 대하여 다변량 제어통계량(즉, 다변량 Hotelling T$^2$통계량, 다변량 CUSUM, 다변량 EWHA 통계량, 다변량 MA 통계량)등을 계산한다. 마지막으로 본 논문에서 제안한 8가지 다변량 제어통계량을 상호비교하여 이상점을 발견한다.

• Proceedings of the Safety Management and Science Conference
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• 2013.04a
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• pp.533-546
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• 2013

이 논문은 미세공정변동에서 극소불량을 감지하는 관리도의 경제적 설계를 개발하기 위한 조사연구이다. 일반적인 관리도의 설계는 통계적 설계와 경제적 설계로 구분할 수 있다. 공정의 변동 원인에 따라 샘플의 간격(h), 샘플의 크기(n), 관리한계선(k) 등의 설계 모수를 최적접근방법으로 결정을 하는 경제적 설계의 모델을 조사하였다. 관리도의 경제적 설계는 공정의 관리이상상태를 효율적으로 감지하여 관리상태로 정상화 시키는 것에 대한 공정의 개선비용과 기대품질비용을 절약 할 수 있는 최적설계 방안이다. 그리고 Shewhart 관리도의 X-bar 통계량으로 극소불량을 검출 하는것에 한계가 있기 때문에 Zp 통계량과 분포를 설계하여 극소불량을 빠르게 감지할 수 있는 Zp 관리도의 설계를 적용하고, 미세공정변동을 정확하게 감지할 수 있는 CUSUM 관리도를 동시에 적용하였다. 따라서, 미세공정변동과 극소불량을 동시에 관리 할 수 있는 Zp-CUSUM 관리도의 통계적 설계 구조를 체계화 하였으며, 기존의 경제적 설계의 모델을 비교 분석하여 새로운 경제적 설계에 대한 모델을 제안하고자 한다.

• The Korean Journal of Applied Statistics
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• v.34 no.5
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• pp.735-744
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• 2021

Maintaining the lifetime of a product is one of the objectives of quality control. In real processes, most samples are constructed with censored data because, in many situations, we cannot measure the lifetime of all samples due to time or cost problems. In this paper, we propose two cumulative sum (CUSUM) control charting procedures to monitor the mean of type I right-censored lognormal lifetime data. One of them is based on the likelihood ratio, and the other is based on the binomial distribution. Through simulations, we evaluate the performance of the two proposed procedures by comparing the average run length (ARL). The overall performance of the likelihood ratio CUSUM chart is better, especially this chart performs better when the censoring rate is low and the shape parameter value is small. Conversely, the binomial CUSUM chart is shown to perform better when the censoring rate is high, the shape parameter value is large, and the change in the mean is small.

• Journal of the Korean Geographical Society
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• v.42 no.4
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• pp.632-647
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• 2007

Lots of geographic phenomena have dynamic spatial patterns with time changes, and there have been lots of researches on exploring these dynamic spatial patterns. However, most of these researches focused on the static pattern analysis in a given period, rather than dealing with dynamic changes in the spatial pattern over time with the continual or cumulative perspective. For this reason, investigation of the inertia of spatial process in terms of temporal changes is needed. From this background, the purpose of this paper is to propose the methodology to explore the changes in spatial pattern cumulatively by considering the inertia of the spatial statistics over time, and to apply it to the case study That is, we introduce the new spatial statistic, and produce the z-values of the statistic using Monte Carlo Simulation, and then to explore the changes in spatial patterns over time cumulatively. To do this, the method to combine the J statistic with CUSUM statistic for exploring spatial patterns, and to apply it to the changes in the commercial landuse in Erie County, New York State. Through the proposed method for spatio-temporal Patterns, we could explore continual changes effectively in the spatial patterns reflecting the statistics by temporal spot cumulatively.

• Journal of the Korea Society of Computer and Information
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• v.25 no.12
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• pp.187-194
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• 2020

In today's process-oriented industries, such as semiconductor and petrochemical processes, autocorrelation exists between observed data. As a management method for the process where autocorrelation exists, a method of using the observations is to construct a batch so that the batch mean approaches to independence, or to apply the EWMA (Exponentially Weighted Moving Average) statistic of the observed value to the EWMA control chart. In this paper, we propose a method to determine the batch size of UBM (Unweighted Batch Mean), which is commonly used as a management method for observations, and a method to determine the optimal batch size based on ARL (Average Run Length) We propose a method to estimate the standard deviation of the process. We propose an improved control chart for processes in which autocorrelation exists.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.26 no.4B
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• pp.355-362
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• 2006

Several techniques of MK test, Spearman's Rho test, Linear Regression test, CUSUM test, Cumulative Deviation, Worsley Likelihood Ratio test, Rank Sum test, and Students' t test were applied to detect the trends of slope and shift which exist in hydrologic and climate time series. The time series of annual rainfall, inflow, tree ring index, and southern oscillation index (SOI) were used and the trends of these series were compared in the study. From the results, it can be found that the data could be classified into two categories such as linear trend and shift. 4 series data of 8 rainfall series which reveal the trend show the shift and 8 series data of 18 tree ring index and March and April series of monthly SOI data show shift. Moreover, ADF test and BDS test were used to test stationarity and non-linearity of the data. In conclusion, through the study, various trend analysis techniques were compared and 6 kinds of characteristics which can exist in hydrologic time series were identified.