• Journal of Korea Water Resources Association
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• v.50 no.4
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• pp.253-261
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• 2017

A lot of nonstationary frequency analyses have been studied in recent years as the nonstationarity occurs in hydrologic time series data. In nonstationary frequency analysis, various forms of probability distributions have been proposed to consider the time-dependent statistical characteristics of nonstationary data, and various methods for parameter estimation also have been studied. In this study, we aim to introduce a parameter estimation method for nonstationary Gumbel distribution using ensemble empirical mode decomposition (EEMD); and to compare the results with the method of maximum likelihood. Annual maximum rainfall data with a trend observed by Korea Meteorological Administration (KMA) was applied. As a result, both EEMD and the method of maximum likelihood selected an appropriate nonstationary Gumbel distribution for linear trend data, while the EEMD selected more appropriate nonstationary Gumbel distribution than the method of maximum likelihood for quadratic trend data.

• Journal of the Korean Statistical Society
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• v.28 no.3
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• pp.371-387
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• 1999

For possibly nonstationary autoregressive moving average, modeling based on the original observations rather than the differenced observations is considered. Under this scheme, sample autocorrelation functions, parameter estimates, model diagnostic statistics, and prediction are all computed from the original data instead of the differenced data. The methods and results established under stationarity of data are shown to naturally extend to the nonstationarity of one autoregressive unit root. The sample ACF and PACF can be used for ARMA order determination. The BIC order is strongly consistent. The parameter estimates are asymptotically normal. The portmanteau statistic has chi-square distribution. The predictor is asymptotically equivalent to that based on the differenced data.

• The Journal of the Acoustical Society of Korea
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• v.13 no.6
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• pp.66-74
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• 1994

Simulation of sonar reverberation time series is very useful because most acoustic models are power level models and have a difficulty when performance of hardware system is evaluated under the reverberant condition. Thus, in this paper, the simulation of reverberation time series is attempted, First, normalized spectrum, whose bandwidth is varying in the frequency domain and which has zero-mean Gaussian distribution, is calculated at pre-selected receiving time. Second, reverberation levels given by underwater acoustic model are combined with normalized spectrum in the frequency domain. Finally, nonstationary sonar reverberation time series are simulated by IFT(Inverse Fourier Transform).

• The Korean Journal of Applied Statistics
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• v.22 no.6
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• pp.1203-1214
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• 2009

In this paper we introduce the time series clustering methods in the time and frequency domains and discuss the merits or demerits of each method. We analyze 15 daily stock prices of KOSPI 200, and the nonparametric method using the wavelet shows the best clustering results. For the clustering of nonstationary time series using the spectral density, the EMD method remove the trend more effectively than the differencing.

• Journal of Communications and Networks
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• v.16 no.1
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• pp.92-97
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• 2014

A novel method for extracting frequency slippage signal from radar full pulse sequence is presented. For the radar full pulse sequence received by radar interception receiver, radio frequency (RF) and time of arrival (TOA) of all pulses constitute a two-dimensional information sequence. In a complex and intensive electromagnetic environment, the TOA of pulses is distributed unevenly, randomly, and in a nonstationary manner, preventing existing methods from directly analyzing such time series and effectively extracting certain signal features. This work applies Gaussian noise insertion and structure function to the TOA-RF information sequence respectively such that the equalization of time intervals and correlation processing are accomplished. The components with different frequencies in structure function series are separated using empirical mode decomposition. Additionally, a chaos detection model based on the Duffing equation is introduced to determine the useful component and extract the changing features of RF. Experimental results indicate that the proposed methodology can successfully extract the slippage signal effectively in the case that multiple radar pulse sequences overlap.

• Journal of Korea Water Resources Association
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• v.46 no.8
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• pp.833-842
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• 2013

The quantile mapping is utilized to reproduce reliable GCM(Global Climate Model) data by correct systematic biases included in the original data set. This scheme, in general, projects the Cumulative Distribution Function (CDF) of the underlying data set into the target CDF assuming that parameters of target distribution function is stationary. Therefore, the application of stationary quantile mapping for nonstationary long-term time series data of future precipitation scenario computed by GCM can show biased projection. In this research the Nonstationary Quantile Mapping (NSQM) scheme was suggested for bias correction of nonstationary long-term time series data. The proposed scheme uses the statistical parameters with nonstationary long-term trends. The Gamma distribution was assumed for the object and target probability distribution. As the climate change scenario, the 20C3M(baseline scenario) and SRES A2 scenario (projection scenario) of CGCM3.1/T63 model from CCCma (Canadian Centre for Climate modeling and analysis) were utilized. The precipitation data were collected from 10 rain gauge stations in the Han-river basin. In order to consider seasonal characteristics, the study was performed separately for the flood (June~October) and nonflood (November~May) seasons. The periods for baseline and projection scenario were set as 1973~2000 and 2011~2100, respectively. This study evaluated the performance of NSQM by experimenting various ways of setting parameters of target distribution. The projection scenarios were shown for 3 different periods of FF scenario (Foreseeable Future Scenario, 2011~2040 yr), MF scenario (Mid-term Future Scenario, 2041~2070 yr), LF scenario (Long-term Future Scenario, 2071~2100 yr). The trend test for the annual precipitation projection using NSQM shows 330.1 mm (25.2%), 564.5 mm (43.1%), and 634.3 mm (48.5%) increase for FF, MF, and LF scenarios, respectively. The application of stationary scheme shows overestimated projection for FF scenario and underestimated projection for LF scenario. This problem could be improved by applying nonstationary quantile mapping.

• The Korean Journal of Applied Statistics
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• v.23 no.1
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• pp.73-79
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• 2010

Missing values for unit root processes are imputed by the most recent observations. Treating the imputed observations as if they are complete ones, semiparametric unit root tests are extended to missing value situations. Also, an invariance principle for the partial sum process of the imputed observations is established under some mild conditions, which shows that the extended tests have the same limiting null distributions as those based on complete observations. The proposed tests are illustrated by analyzing an unequally spaced real data set.

• Communications for Statistical Applications and Methods
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• v.4 no.1
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• pp.101-109
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• 1997

For the detection on variance changes in the nonstationary time series with a unit root two types of test statistics are proposed, of which one is based on the cumulative sum of squares and the other is based on the likelihood ratio test. The properties of the cusum type test statistic are derived and the performance of two tests in small samples are compared through Monte Carlo study. It is ovserved that the test based on the cumulative sum of squares can detect a samll change in the variance faster than the one based on the likelihood ratio.

• Journal of the Korean Institute of Telematics and Electronics S
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• v.35S no.10
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• pp.166-174
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• 1998

Neural networks, having highly nonlinear dynamics by virtue of the distributed nonlinearities and the learing ability, have the potential for the adaptive prediction of nonstationary signals. This paper describes the nonlinear prediction of these signals in two ways; using a nonlinear module and the cascade combination of nonlinear and linear modules. Fully-connected recurrent neural networks (RNNs) and a conventional tapped-delay-line (TDL) filter are used as the nonlinear and linear modules respectively. The dynamic behavior of the proposed predictors is demonstrated for chaotic time series adn speech signals. For the relative comparison of prediction performance, the proposed predictors are compared with a conventional ARMA linear prediction model. Experimental results show that the neural networks based adaptive predictor ourperforms the traditional linear scheme significantly. We also find that the cascade combination predictor is well suitable for the prediction of the time series which contain large variations of signal amplitude.

• The Transactions of the Korean Institute of Electrical Engineers D
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• v.51 no.1
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• pp.39-42
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• 2002

For the purpose of modeling EEG signal which has nonstationary and nonlinear dynamic characteristics, this paper propose a state feedback real time recurrent neural network model. The state feedback real time recurrent neural network is structured to have memory structure in the state of hidden layers so that it has arbitrary dynamics and ability to deal with time-varying input through its own temporal operation. For the model test, Mackey-Glass time series is used as a nonlinear dynamic system and the model is applied to the prediction of three types of EEG, alpha wave, beta wave and epileptic EEG. Experimental results show that the performance of the proposed model is better than that of other neural network models which are compared in this paper in some view points of the converging speed in learning stage and normalized mean square error for the test data set.