• 한국데이터정보과학회:학술대회논문집
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• 2005.10a
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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.

• Communications for Statistical Applications and Methods
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• v.28 no.5
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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.

• Journal of the Korean Data and Information Science Society
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• v.18 no.1
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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.

• Proceedings of the Korean Statistical Society Conference
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• 2005.11a
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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.

• Proceedings of the KSME Conference
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• 2001.06b
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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.

• Proceedings of the Korean Society for Noise and Vibration Engineering Conference
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• 2001.11b
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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.

• Proceedings of the Korean Society for Noise and Vibration Engineering Conference
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• 2003.05a
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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.

• Journal of the Korean Mathematical Society
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• v.52 no.3
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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.

• 제어로봇시스템학회:학술대회논문집
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• 2005.06a
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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.

• Communications for Statistical Applications and Methods
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• v.11 no.1
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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.