• Communications for Statistical Applications and Methods
• /
• 제23권4호
• /
• pp.335-341
• /
• 2016

Interval censored failure time data often occurs in an observational study where a subject is followed periodically. Instead of observing an exact failure time, two inspection times that include it are made available. Several methods have been suggested to analyze interval censored failure time data (Sun, 2006). In this article, we are concerned with a binary time-varying covariate whose changing time is interval censored. A modified estimating equation is proposed by extending the approach suggested in the presence of a missing covariate. Based on simulation results, the proposed method shows a better performance than other simple imputation methods. ACTG 181 dataset were analyzed as a real example.

• 대한전기학회:학술대회논문집
• /
• 대한전기학회 2006년도 추계학술대회 논문집 전력기술부문
• /
• pp.9-11
• /
• 2006

This paper suggests a revision method for historical fault data using Proportional Aging Reduction(PAR) to consider maintenance effect in time-varying failure rate. In order to product time-varying failure rate, the historical fault data are necessary. However, the maintenance record could be left out in historical data by spot operator's mistake. In this case, the failure rate is produced less than the average failure rate for increasing equipments' life-time by maintenance effect. Hence, it is necessary for new time-varying failure rate to extract maintenance effect from the existing fault data. In this paper, the revision method to reduce equipments' life-time, adversely using PAR among three techniques to consider maintenance effect.

• 전기학회논문지
• /
• 제64권1호
• /
• pp.121-127
• /
• 2015

This paper considers the problem of sampled-data control for continuous linear parameter varying (LPV) systems. It is assumed that the sampling periods are arbitrarily varying but bounded. Based on the input delay approach, the sampled-data control LPV system is transformed into a continuous time-delay LPV system. Some less conservative stabilization results represented by LMI (Linear Matrix Inequality) are obtained by using the Lyapunov-Krasovskii functional method and the reciprocally combination approach. The proposed method for the designed gain matrix should guarantee asymptotic stability and a specified level of performance on the closed-loop hybrid system. Numerical examples are presented to demonstrate the effectiveness and the improvement of the proposed method.

• Journal of the Korean Data and Information Science Society
• /
• 제24권6호
• /
• pp.1477-1488
• /
• 2013

In this study, we analyze the dependence structure of KOSPI and NYSE indices based on a two-step estimation procedure. In the rst step, we adopt ARMA-GARCH models with Gaussian mixture innovations for marginal processes. In the second step, time-varying copula parameters are estimated. By using these, we measure the dependence between the two returns with Kendall's tau and Spearman's rho. The two dependence measures for various copulas are illustrated.

• Transactions on Control, Automation and Systems Engineering
• /
• 제3권2호
• /
• pp.83-88
• /
• 2001

The robust linear H(sub)$\infty$ FIR filter, which guarantees a prescribed H(sub)$\infty$ performance, is designed for continuous time-varying systems with unknown cone-bounded nonlinearity. The infinite horizon filtering for time-varying systems is systems is investigated in therms of two Riccati equations by the finite moving horizon.

• Journal of Advanced Marine Engineering and Technology
• /
• 제28권4호
• /
• pp.603-610
• /
• 2004

Time delays are included in most of actual systems, and some of which are shown as time varying. To analyze the time varying time delay system in the time domain. a useful delay module to express the function as a tool is much helpful to get corresponding outputs under given conditions. A method is proposed here to design the algorithm of time delay module for simulation or control purposes, including the problems of initializing and reallocating data in buffer. After classifying the time varying time delay into the distributed mode and lumped mode, an object to describe delay module is configured and tested under the defined input signal and given time delay variation. The simulation results show that the output of module matches reasonably with the case of real system.

• KSII Transactions on Internet and Information Systems (TIIS)
• /
• 제9권7호
• /
• pp.2435-2453
• /
• 2015

Independent component analysis (ICA) is a signal processing technique used for un-mixing of the mixed recorded signals. In wireless communication, ICA is mainly used in multiple input multiple output (MIMO) systems. Most of the existing work regarding the ICA applications in MIMO systems assumed static or quasi static wireless channels. Performance of the ICA algorithms degrades in case of time varying wireless channels and is further degraded if the data block lengths are reduced to get the quasi stationarity. In this paper, we propose an ICA based MIMO transceiver that performs well in time varying wireless channels, even for smaller data blocks. Simulation is performed over quadrature amplitude modulated (QAM) signals. Results show that the proposed transceiver system outperforms the existing MIMO system utilizing the FastICA and the OBAICA algorithms in both the transceiver systems for time varying wireless channels. Performance improvement is observed for different data blocks lengths and signal to noise ratios (SNRs).

• KDI Journal of Economic Policy
• /
• 제37권4호
• /
• pp.1-20
• /
• 2015

We examine the validity of popular exchange rate models such as the purchasing power parity (PPP) hypothesis and the monetary model for Korean won/US dollar exchange rate. Various specification tests demonstrate that Korean data are more favorable for both models based on time-varying cointegration coefficients as compared to those based on constant cointegration coefficients. When the abilities to predict future exchange rates between those models based on time-varying cointegration coefficients are compared, an in-sample analysis shows that the time-varying PPP (monetary model) has better predictive power over horizons shorter (longer) than one year. Results from an out-of-sample analysis indicate that the time-varying PPP outperforms models based on constant cointegration coefficients when predicting future exchange rate changes in the long run.

• The Journal of Asian Finance, Economics and Business
• /
• 제7권10호
• /
• pp.513-521
• /
• 2020

In this paper, we have developed a Fama - French five factor model (FF5 model) from Fama & French (2015) by using concept of time-varying coefficient. For a data set, we have used monthly data form Kenneth R. French home page, it include Japan portfolios (classified by using size and book-to-market) and 5 factors from July 1990 to April 2020. The first analysis, we used Augmented Dickey-Fuller test (ADF test) for the stationary test, from the result, all Japan portfolios and 5 factors are stationary. Next analysis, we estimated a coefficient of Fama - French five factor model by using a generalized additive model with a thin-plate spline to create the time-varying coefficient Fama - French five factor model (TV-FF5 model). The benefit of this study is TV-FF5 model which can capture a different effect at different times of 5 factors but the traditional FF5 model can't do it. From the result, we can show a time-varying coefficient in all factors and in all portfolios, for time-varying coefficients of Rm-Rf, SMB, and HML are significant for all Japan portfolios, time-varying coefficients of RMW are positively significant for SM, and SH portfolio and time-varying coefficients of CMA are significant for SM, SH, and BM portfolio.

• 한국정보처리학회논문지
• /
• 제5권5호
• /
• pp.1083-1097
• /
• 1998

기존의 GIS(Geographic Information System)는 실세계에 존재하는 지형객체의 속성정보와 공간정보를 취급하는 소프트웨어이다. 이 시스템은 고정된 데이터를 다루기 때문에 시간변이 정보를 저장 관리하여 사용자에게 제공할 수 없으며 제공한다 하더라도 제한적이며 질의 표현과 처리에 많은 어려움을 갖는다. 따라서 이 논문에서는 시간지원 지리정보 시스템을 계층적 접근 방법을 기반으로 기존의 지리정보 시스템이 제공하는 공간에 시간 개념을 확장하여 시간에 따라 변화하는 공간객체의 이력을 지원하는 시공간 통합 데이터 모델을 연구하였다. 즉, 시공간 데이터베이스 구조의 변화에 대한 데이터 구조를 설계하고, 시간변이 공간연산과 이에 따른 시간지원 공간연산자를 제안한다.