• 제목/요약/키워드: Parameter Change

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A PARAMETER CHANGE TEST IN RCA(1) MODEL

  • Ha, Jeong-Cheol
    • 한국데이터정보과학회:학술대회논문집
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    • 한국데이터정보과학회 2005년도 추계학술대회
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    • pp.135-138
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    • 2005
  • In this paper, we consider the problem of testing for parameter change in time series models based on a cusum of squares. Although the test procedure is well-established for the mean and variance in time series models, a general parameter case was not discussed in literatures. Therefore, here we develop the cusum of squares type test for parameter change in a more general framework. As an example, we consider the change of the parameters in an RCA(1) model. Simulation results are reported for illustration.

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Change point analysis in Bitcoin return series : a robust approach

  • Song, Junmo;Kang, Jiwon
    • Communications for Statistical Applications and Methods
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    • 제28권5호
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    • pp.511-520
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    • 2021
  • Over the last decade, Bitcoin has attracted a great deal of public interest and Bitcoin market has grown rapidly. One of the main characteristics of the market is that it often undergoes some events or incidents that cause outlying observations. To obtain reliable results in the statistical analysis of Bitcoin data, these outlying observations need to be carefully treated. In this study, we are interested in change point analysis for Bitcoin return series having such outlying observations. Since these outlying observations can affect change point analysis undesirably, we use a robust test for parameter change to locate change points. We report some significant change points that are not detected by the existing tests and demonstrate that the model allowing for parameter changes is better fitted to the data. Finally, we show that the model with parameter change can improve the forecasting performance of Value-at-Risk.

Modelling KOSPI200 Data Based on GARCH(1,1) Parameter Change Test

  • Park, Si-Yun;Lee, Sang-Yeol
    • Journal of the Korean Data and Information Science Society
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    • 제18권1호
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    • pp.11-16
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    • 2007
  • Since the seminal work of Engle (1982), many researchers and practitioners have developed ARCH-type models to deal with volatility modelling, which, for instance, is crucial to perform the task of derivative pricing, measuring risk, and risk hedging. In this paper, we base the GARCH(1,1) model to analyze the KOSPI200 data, and perform the CUSUM test for detecting parameter changes in the GARCH model. It is shown that the data suffers from a parameter change.

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The Change Point Analysis in Time Series Models

  • Lee, Sang-Yeol
    • 한국통계학회:학술대회논문집
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    • 한국통계학회 2005년도 추계 학술발표회 논문집
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    • pp.43-48
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    • 2005
  • We consider the problem of testing for parameter changes in time series models based on a cusum test. Although the test procedure is well-established for the mean and variance in time series models, a general parameter case has not been discussed in the literature. Therefore, here we develop a cusum test for parameter change in a more general framework. As an example, we consider the change of the parameters in an RCA(1) model and that of the autocovariances of a linear process. We also consider the variance change test for unstable models with unit roots and GARCH models.

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파라미터 수정을 사용한 형상변화 및 측정오차가 있는 빔의 모델개선 (Model Updating of Beams with Shape Change and Measurement Error Using Parameter Modification)

  • 윤병옥;최유근;장인식
    • 대한기계학회:학술대회논문집
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    • 대한기계학회 2001년도 춘계학술대회논문집B
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    • pp.335-340
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    • 2001
  • It is important to model the mechanical structure precisely and reasonably in predicting the dynamic characteristics, controlling the vibration, and designing the structure dynamics. In the finite element modeling, the errors can be contained from the physical parameters, the approximation of the boundary conditions, and the element modeling. From the dynamic test, more precise dynamic characteristics can be obtained. Model updating using parameter modification is appropriate when the design parameter is used to analyze the input parameter like finite element method. Finite element analysis for cantilever and simply supported beams with uniform area and shape change are carried out as model updating examples. Mass and stiffness matrices are updated by comparing test and analytical modal frequencies. The result shows that the updated frequencies become closer to the test frequencies.

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진동 파라미터 수정을 사용한 형상변화가 있는 판의 모델개선 (Model Updating of Plate with Shape Change Using Parameter Modification)

  • 최유근;김옥구;윤병옥;장인식
    • 한국소음진동공학회:학술대회논문집
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    • 한국소음진동공학회 2001년도 추계학술대회논문집 II
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    • pp.1260-1265
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    • 2001
  • It is important to model the mechanical structure precisely and reasonably in predicting the dynamic characteristics, controlling the vibration, and designing the structural dynamics. In the finite element modeling, the errors can be contained from the physical parameters, the approximation of the boundary conditions, and the element modeling, From the dynamic test. more precise dynamic characteristics can be obtained. Model updating using parameter modification is appropriate when the design parameter is used to analyze the input parameter like finite element method. Finite element analysis for free-free-free-free(FFFF) and clamped-free-free-free(CFFF) plate with uniform area and shape change are carried out as model updating examples, Mass and stiffness matrices are updated by comparing test and analytical modal frequencies. The result shows that the updated frequencies become closer to the test frequencies.

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궤환 모델 개선법 : 부정정 구조물에의 적용 (Feedback Model Updating: Application to Indeterminate Structure)

  • 정훈상;박영진;박윤식
    • 한국소음진동공학회:학술대회논문집
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    • 한국소음진동공학회 2003년도 춘계학술대회논문집
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    • pp.59-64
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    • 2003
  • The parameter modification of the initial FEM model to match it with the experimental results needs the modal information and the modal sensitivity matrix to the parameter change. There are two cases this methodology is ill-equip to deal with; the deficiency of the necessary modal information and the ill-conditioning of the sensitivity matrix. In this research, a novel concept of the feedback exciter that uses the summation of the white noise and the signals from the measurement sensors multiplied with feedback gains as the reference signal is proposed. There are 2 advantages using this external feedback excitation. First, we can use the change of the system response such as modal data by the active energy Path from the sensor to the exciter. This change of the system response can be additional clues to the system dynamics that we want to know. Secondly, the external energy Path alternates the offset of the Parameter change to the system response. That means the modal sensitivity of the parameters becomes different from the original sensitivities by the feedback excitation. Through the feedback loop, we can change the similar modal sensitivities of some updating parameters and consequently discriminate the parameters using the closed-loop modal data. To demonstrate the discrimination performance, the parameter estimation of an indeterminate structure by use of the feedback method is introduced.

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PARAMETER CHANGE TEST FOR NONLINEAR TIME SERIES MODELS WITH GARCH TYPE ERRORS

  • Lee, Jiyeon;Lee, Sangyeol
    • 대한수학회지
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    • 제52권3호
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    • pp.503-522
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    • 2015
  • In this paper, we consider the problem of testing for a parameter change in nonlinear time series models with GARCH type errors. We introduce two types of cumulative sum (CUSUM) tests: estimates-based and residual-based tests. It is shown that under regularity conditions, their limiting null distributions are the sup of independent Brownian bridges. A simulation study is conducted for illustration.

Fault Diagnosis for Parameter Change Fault

  • Suzuki, Keita;Fujii, Takao
    • 제어로봇시스템학회:학술대회논문집
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    • 제어로봇시스템학회 2005년도 ICCAS
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    • pp.2183-2187
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    • 2005
  • In this paper we propose a new fault detection and isolation (FDI) method for those faults of parameter change type. First, we design a residual generator based on the ${\delta}$-operator model of the plant by using the stable pseudo inverse system. Second, the parameter change is estimated by using the property of the block Hankel operator. Third, reliability with respect to stability is quantified. Fourth, the limitations for the meaningful diagnosis in our method are given. The numerical examples demonstrate the effectiveness of the proposed method.

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Bayesian Parameter Estimation using the MCMC method for the Mean Change Model of Multivariate Normal Random Variates

  • Oh, Mi-Ra;Kim, Eoi-Lyoung;Sim, Jung-Wook;Son, Young-Sook
    • Communications for Statistical Applications and Methods
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    • 제11권1호
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    • pp.79-91
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    • 2004
  • In this thesis, Bayesian parameter estimation procedure is discussed for the mean change model of multivariate normal random variates under the assumption of noninformative priors for all the parameters. Parameters are estimated by Gibbs sampling method. In Gibbs sampler, the change point parameter is generated by Metropolis-Hastings algorithm. We apply our methodology to numerical data to examine it.