• Journal of the Korean Operations Research and Management Science Society
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• v.42 no.3
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• pp.13-24
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• 2017

This paper aims to implement "structural changes detection procedure" in pairs trading algorithm and to show that the proposed approach outperforms the extant pair trading algorithm. Structural changes in pairs trading are defined in terms of changes in cointegrating factors and broken cointegration relationship. These changes are designed to test extant structural changes and unit root test methodologies. The simulation finds that expanding the changes in structure, increasing the mean reverting process of spread, and extending the consecutive days of broken cointegration will increase the performances of the proposed algorithm. Empirical study results are also consistent those of the simulation studies. The proposed algorithm outperforms the extant algorithm relative to risk and return given that the cumulative profit/loss has a significant upward-slope with minimal variance.

• Journal of the Korean Statistical Society
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• v.36 no.4
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• pp.501-522
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• 2007

We propose an estimation procedure that can be used for detecting structural changes in the seasonal cointegrated vector autoregressive model. The asymptotic properties of the estimates and the test statistics for the parameter change are provided. A simulation example is presented to illustrate this method and its concept.

• Proceedings of the Computational Structural Engineering Institute Conference
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• 2004.10a
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• pp.550-557
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• 2004

In this paper, structural damage in PSC bridges is monitored by using model-based damage detection methods. First numerical experiments on the test structure are described. Dynamic responses of the test structures are obtained fur several damage scenarios. The change in natural frequency and the change in nude shape curvature are selected as features to represent the states of the structure. Next a damage localization algorithm from monitoring the changes in natural frequency is outlined. Also, the damage localization algorithm from monitoring the changes in nude shapes is outlined. Finally, the damage localization algorithms are used to predict damage in the test structure. The results of the analysis indicate that the model-based damage detection methods correctly predicted damage in the test structure.

• Communications for Statistical Applications and Methods
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• v.24 no.4
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• pp.367-382
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• 2017

We consider an infinite-order long-memory heterogeneous autoregressive (HAR) model, which is motivated by a long-memory property of realized volatilities (RVs), as an extension of the finite order HAR-RV model. We develop bootstrap tests for structural mean or variance changes in the infinite-order HAR model via stationary bootstrapping. A functional central limit theorem is proved for stationary bootstrap sample, which enables us to develop stationary bootstrap cumulative sum (CUSUM) tests: a bootstrap test for mean break and a bootstrap test for variance break. Consistencies of the bootstrap null distributions of the CUSUM tests are proved. Consistencies of the bootstrap CUSUM tests are also proved under alternative hypotheses of mean or variance changes. A Monte-Carlo simulation shows that stationary bootstrapping improves the sizes of existing tests.

• Ocean and Polar Research
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• v.37 no.4
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• pp.357-368
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• 2015

This study analyzed structural changes and asymmetry of price volatility during the period before and after a point of structural change in price volatility, using the Korean fresh common squid daily retail price data from January 1, 2004 to September 30, 2015. This study utilized the following analytical methods: the unit-root test was applied to ensure the stability of the data, the Quandt-Andrews breakpoint test was applied to find the point of structural change, and the Glosten-Jagannathan-Runkle GARCH and EGARCH models were applied to investigate the asymmetry of price volatility. The empirical results of this study are as follows. First, ADF, PP, KPSS and Zivot-Andrews tests showed that the daily retail price change rate of the Korean fresh common squid differentiated by logarithm was stable. Secondly, the ARIMA (2,1,2) model was selected by information criteria such as AIC, SC, and HQ. Thirdly, the Quandt-Andrews breakpoint test found that a single structural change in price volatility occurred on June 11, 2009. Fourthly, the Glosten-Jagannathan-Runkle GARCH and EGARCH models showed that estimates of coefficients within the models were statistically significant before and after structural change and also that asymmetry as a leverage effect existed before and after structural change.

• Proceedings of the Korean Statistical Society Conference
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• 2002.11a
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• pp.279-285
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• 2002

In this paper we consider the problem of testing for structural changes in ARIMA models based on a cusum test. In particular, the proposed test procedure is applicable to testing for a change of the status of time series from stationarity to nonstationarity or vice versa. The idea is to transform the time series via differencing to make stationary time series. We propose a graphical method to identify the correct order of differencing.

• Structural Engineering and Mechanics
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• v.76 no.5
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• pp.653-661
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• 2020

The paper presents a study regarding rubber compressibility behavior. The objective is to analyze the effect of compression degree of rubber on its mechanical properties and propose a new methodology based on reverse engineering to predict compressibility degree based on uniaxial stretching test and Finite Element Analysis (FEA). In general, rubbers are considered to be almost incompressible and Poisson's ratio is close to 0.5. Since this property is intimately related to the rubber packing density, little changes in Poisson's ratio can lead to significant changes regarding mechanical behavior. The deviatory hyperelastic constants were obtained through experimental data fitting by least squares method for the most relevant constitutive models implemented in commercial software Abaqus, such as: Neo-Hooke, Mooney-Rivlin, Ogden, Yeoh and Arruda-Boyce, whereas the hydrostatic part was determined through an optimization algorithm implemented in the Abaqus environment by Python scripting. The simulation results presented great influence of the Poisson's ratio in the rubber specimen mechanical behavior mainly for high strain levels. A conventional pure volumetric compression test was also carried out in order to compare the results obtained by the proposed methodology.

• Communications for Statistical Applications and Methods
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• v.15 no.4
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• pp.551-562
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• 2008

The loss reserve is defined as a provision for an insurer's liability for claims or an insurer's estimate of the amount an individual claim will ultimately cost. For the estimation of the loss reserve, the data which make up the claims in general is represented as run-off triangle. The chain ladder method has known as the most representative one in the estimation of loss reserves based on such run-off triangular data. However, this fails to capture change point in trend. In order to test of structural changes of development factors, we will present the test statistics and procedures. A real data analysis will also be provided.

• Tribology and Lubricants
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• v.36 no.6
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• pp.332-341
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• 2020

High-speed turbomachinery implements gas foil bearings (GFBs) due to their distinctive advantages, such as high efficiency, lesser part count, and lower weight. This paper provides the test results of the static structural stiffnesses and loss factors of bump-type foil thrust bearings with increasing preload and bearing deflection. The focus of the current work is to experimentally quantify variability in structural stiffnesses and loss factors among the four test thrust bearings with identical design values and material of the bump and top foil geometries using the same (open-source) fabrication method. A simple test setup, using a rigidly mounted non-rotating shaft and thrust disk, measures the bearing bump deflections with increasing static loads on the test bearing. The inner and outer diameters of the test bearings are 41 mm and 81 mm, respectively. The loss factor, best-representing energy dissipation in the test bearings, is estimated from the area inside the local hysteresis loop of the load versus the bearing deflection curve. The measurements show that structural stiffnesses and loss factors of the test bearings significantly rely on applied preloads and bearing deflections. Local structural stiffnesses of the test bearings increase with applied preloads but decrease with bearing deflections. Changes of loss factors are less sensitive to applied preloads and bearing deflections compared to those of structural stiffnesses. Up to 35% variability in static load structural stiffnesses is found between bearings, while up to 30% variability in loss factors is found between bearings.

• Journal of the Korean Data and Information Science Society
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• v.14 no.3
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• pp.641-651
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• 2003

This study suggests the hybrid models for interest rate forecasting using structural changes (or change points). The basic concept of this proposed model is to obtain significant intervals caused by change points, to identify them as the change-point groups, and to reflect them in interest rate forecasting. The model is composed of three phases. The first phase is to detect successive structural changes in the U. S. Treasury bill rate dataset. The second phase is to forecast the change-point groups with data mining classifiers. The final phase is to forecast interest rates with backpropagation neural networks (BPN). Based on this structure, we propose three hybrid models in terms of data mining classifier: (1) multivariate discriminant analysis (MDA)-supported model, (2) case-based reasoning (CBR)-supported model, and (3) BPN-supported model. Subsequently, we compare these models with a neural network model alone and, in addition, determine which of three classifiers (MDA, CBR and BPN) can perform better. For interest rate forecasting, this study then examines the prediction ability of hybrid models to reflect the structural change.