• The Korean Journal of Applied Statistics
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• v.29 no.7
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• pp.1213-1229
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• 2016

Cho and Shin (2016) recently demonstrated that an integrated HAR model has a forecast advantage over the HAR model of Corsi (2009). Recalling that realized volatilities of financial assets have asymmetries, we add a leverage term to the integrated HAR model, yielding the LIHAR model. Out-of-sample forecast comparisons show superiority of the LIHAR model over the HAR and IHAR models. The comparison was made for all the 20 realized volatilities in the Oxford-Man Realized Library focusing specially on the DJIA, the S&P 500, the Russell 2000, and the KOSPI. Analysis of the realized volatility data sets reveal apparent long-memory and asymmetry. The LIHAR model takes advantage of the long-memory and asymmetry and produces better forecasts than the HAR, IHAR, LHAR models.

• The Korean Journal of Applied Statistics
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• v.29 no.3
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• pp.525-537
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• 2016

The paper considers a hybrid model to analyze and forecast time series data based on an empirical mode decomposition (EMD) that accommodates complex characteristics of time series such as nonstationarity and nonlinearity. We aggregate IMFs using the concept of cumulative energy to improve the interpretability of intrinsic mode functions (IMFs) from EMD. We forecast aggregated IMFs and residue with a hybrid model that combines the ARIMA model and an exponential smoothing method (ETS). The proposed method is applied to forecast KOSPI time series and is compared to traditional forecast models. Aggregated IMFs and residue provide a convenience to interpret the short, medium and long term dynamics of the KOSPI. It is also observed that the hybrid model with ARIMA and ETS is superior to traditional and other types of hybrid models.

• Journal of the Korean Data and Information Science Society
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• v.28 no.1
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• pp.173-183
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• 2017

We investigate the factors affecting the price of apartments using the spatial and temporal data of private real estate prices. The factors affecting the price of apartment were analyzed using geographical and temporal weighted regression (GTWR) model which incorporates the temporal and spatial variation. In contrast to the OLS, a general approach used in previous studies, and GWR method which is most widely used for analyzing spatial data, GTWR considers both temporal and spatial characteristics of the house price, and leads to better description of the house price determination. Year of construction and floor area are selected as the significant factors from the analysis, and the house price are affected by them temporally and geographically.

• The Journal of the Acoustical Society of Korea
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• v.15 no.5
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• pp.21-29
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• 1996

Industrial equipment, such as power plant, is required to operate reliably, continuously and economically under rather severe conditions of temperature, stress, and enbironment. To test structural integrity and fitness, ultrasonic nondestructive testing is used because of effectiveness and simplicity. In this paper, wavelet transform based least mean square(LMS) algorithm is applied to reduce the influence of the interference occurring between randomly positioned small scatters. The RUN test is performed to check the nonstationarity of the speckle noise signal. The performance of this new approach is compared with that of the time domain LMS algorithm by means of condition numbers, signal-to-noise ratio and 3-D image. As a result, the wavelet transform based LMS algorithm shows better performance than the time domain LMS algorithm in this experiment.

• Journal of Korea Water Resources Association
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• v.46 no.3
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• pp.219-227
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• 2013

Time series data including change, jump, trend and periodicity generally have nonstationarity. Especially, various methods have been proposed to identify the trend about hydrological time series data. However, among various methods, evaluation about capability of each trend test has not been done a lot. Even for the same data, each method may show the different result. In this study, the simulation was performed for identification about the changes in trend analysis according to the statistical characteristics and the capability in the trend analysis. For this purpose, power test for the trend analysis is conducted using Men-Kendall test, Hotelling-Pabst test, t test and Sen test according to the slope, sample size, standard deviation and significance level. As a result, t test has higher statistical power than the others, while Mann-Kendall, Hotelling-Pabst, and Sen tests were similar results.

• The Journal of the Acoustical Society of Korea
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• v.15 no.1
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• pp.87-92
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• 1996

Transient signals in underwater show several characterisrics, that is, short duration, strong nonstationarity, various types of transient sources, which make it difficult to analyze and classify transient signals. In this paper, the feature vector extraction method for transient SOMAR signals is discussed by applying digital signal processing methods to the analysis of transient signals. A feature vector extraction methods using wavelet transform, which enable us to obtain better recognition rate than automatic classification using the classical method, are proposed. It is confirmed by simulation that the proposed method using wavelet transform performs better than the classical method even with smaller number of feature vectors. Especially, the feature vector extraction method using PR-QMF wavelet transform with the Daubechies coefficients is shown to perform well in noisy environment with easy implementation.

• Journal of Korean Society of Transportation
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• v.21 no.3
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• pp.97-106
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• 2003

When a route choice is done under uncertainty, a driver has some expectation of traffic conditions that will occur according to the route chosen. This study tries to build a framework in which we can observe the learning behavior of the drivers' expectations of the travel time under nonstationary environment. In order to investigate how drivers have their subjective expectations on traffic conditions in response to public information, a numerical experiment is carried out. We found that rational expectations(RE) formation about the route travel time can be expressed by the adaptive expectation model when the travel time changes in accordance with the nonstationary process which consists of permanent shock and transient shock. Also, we found that the adaptive parameter of the model converges to the fixed value corresponding to the route conditions.

• Journal of Korea Water Resources Association
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• v.52 no.10
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• pp.657-669
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• 2019

To estimate accurate design quantiles considering statistical characteristics of hydrological data is one of the most important procedures in the design of hydraulic structures. While at-site frequency analysis estimates design quantile using observed data at a site of interest, regional frequency analysis (RFA) utilizes a number of sites included in a hydrologically homogeneous region. Therefore, RFA could provide a more accurate design quantile at ungauged site or sites with short observation period. In this review article, RFA is classified into stationary RFA and nonstationary RFA depending on the characteristic of hydrological data, and the basic concept, procedure, and application of each technique are explained in detail focused on the index flood method. Additionally, a review of the state of the art for RFA procedure is presented. This paper is finalized by describing the stationary regional rainfall frequency analysis over South Korea contained in the amendment of "Standard guidelines for design flood estimation" and various future study topics related to nonstationary RFA.

• Journal of Korea Water Resources Association
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• v.52 no.11
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• pp.895-904
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• 2019

It has been well recognized that extreme rainfall process often features a nonstationary behavior, which may not be effectively modeled within a stationary frequency modeling framework. Moreover, extreme rainfall events are often described by a two (or more)-component mixture distribution which can be attributed to the distinct rainfall patterns associated with summer monsoons and tropical cyclones. In this perspective, this study explores a Mixture Distribution based Nonstationary Frequency (MDNF) model in a changing rainfall patterns within a Bayesian framework. Subsequently, the MDNF model can effectively account for the time-varying moments (e.g. location parameter) of the Gumbel distribution in a two (or more)-component mixture distribution. The performance of the MDNF model was evaluated by various statistical measures, compared with frequency model based on both stationary and nonstationary mixture distributions. A comparison of the results highlighted that the MDNF model substantially improved the overall performance, confirming the assumption that the extreme rainfall patterns might have a distinct nonstationarity.

• Proceedings of the Korea Water Resources Association Conference
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• 2015.05a
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• pp.451-451
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• 2015

최근 1900년부터 1990년 사이 해수면은 매년 평균 1.2mm 상승했지만 1990년부터는 매년 평균 3mm씩 높아지고 있으며, 이에 1990년부터 현재까지 해수면 수위의 상승속도가 이전 90년 동안 측정된 수치보다 2.5배 빠르다는 연구결과가 발표되었다. 해수면 상승으로 인한 피해는 범람과 침식을 야기할 수 있으며 해일 및 폭풍으로 인한 피해를 증가시킴으로 물질적 피해와 인명 피해를 유발할 수 있다. 이러한 이유로 해수면 상승에 따른 과학적인 분석과 신뢰성 있는 전망을 통하여 해수면 상승에 따른 대응과 대비가 필요하다. 이에 본 연구에서는 비정상성 빈도해석 방법을 통하여 미래의 해수면 상승을 고려할 수 있는 비정상성 빈도해석 기법을 개발하였다. 본 연구에서는 극치사상을 추출하기 위해 국립해양조사원 (Korea Hydrographic and Oceanographic Administration, KHOA)에서 관리한 45개 조위관측소의 시 조위 자료를 이용하였다. 45개 조위관측소의 한 시간 단위 자료로부터 연최대 및 연평균 조위계열 (annual average and annual maximum sea level series)을 추출하였다. 본 연구에서는 한반도 해안을 동해안, 서해안, 남해안, 제주 권역으로 구분하고 빈도 해석의 신뢰성을 만족하기 위해 자료 구축기간이 20년 이상이며, 각 해안을 나타낼 수 있는 지점을 선정하였다. 비정상성 빈도해석은 Gumbel 극치분포를 적용하였으며, 계층적 Bayesian 기법을 결합하여 매개변수들에 대한 사후분포를 추정하였다. 본 연구에서는 대부분의 지점에서 비정상성 빈도해석 결과와 정상성 빈도해석 결과와 상당한 차이를 보여주고 있으며, 이는 주로 정상성 가정에 기인하는 문제점으로 판단된다. 향후 기후변화에 따른 연안지역의 홍수 및 사회기반시설의 위험도를 평가하기 위해서는 비정상성을 고려한 빈도해석 절차의 수립과 적용이 필요할 것으로 판단된다.