• 대한전자공학회논문지SP
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• 제46권6호
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• pp.163-174
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• 2009

부밴드 구조에서 적응필터에 최대 다위상 분해와 노블아이덴티티를 적용함으로써 전밴드 인접투사 알고리즘은 부밴드 인접투사 알고리즘으로 변환된다. 최대 다위상 분해된 부밴드 인접투사 (Maximally Polyphase Decomposed Subband Affine Projection: MPDSAP) 알고리즘은 각 부밴드의 적응 부필터에서 사용되는 투사차원이 1인 부밴드 인접투사 알고리즘의 특별한 형태다. MPDSAP 알고리즘의 계수갱신식은 NLMS 알고리즘과 유사한 형식을 갖기 때문에 실제 구현관점에서 보다 좋은 알고리즘 선택이 될 수 있다. 본 논문은 MPDSAP 알고리즘의 새로운 통계적 해석을 제시한다. 해석적 모델은 정규직교 분해필터를 갖는 부밴드 구조에서 Autoregressive (AR) 입력과 임의의 적응이득에 대해 유도된다. 정규직교 분해필터에 의한 사전 백색화는 AR 입력과 임의의 적응이득에 대한 MPDSAP 알고리즘의 간단한 해석적 모델의 유도를 가능하게 한다.

• Journal of the Korean Statistical Society
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• 제17권2호
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• pp.101-120
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• 1988

A time series model with Laplacian (double-exponential) marginal distribution, NLAR(2), was proposed by Dewald and Lewis (1985). The special cases of NLAR(2) process and their properties are considered. Extensions to the NLAR(p) is discussed. It is shown that the NLAR(1) satisfies the strong-mixing conditions, hence the model-free prediction interval using the sample quantiles can be obtained.

• Journal of the Korean Statistical Society
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• 제30권1호
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• pp.115-125
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• 2001

We consider the threshold autoregressive moving average(TARMA) process and find a sufficient condition for strict stationarity of the proces. Given region for stationarity of TARMA(p,q) model is the same as that of TAR(p) model given by Chan and Tong(1985), which shows that the moving average part of TARMA(p,q) process does not affect the stationarity of the process. We find also a sufficient condition for the existence of kth moments(k$\geq$1) of the process with respect to the stationary distribution.

• 대한의용생체공학회:의공학회지
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• 제10권3호
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• pp.303-308
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• 1989

A new estimationn mothod of single-EP(evoked potential) using adaptive algorithm and paralnetrlc model is proposed. Since the EEG(eletroencephalogram) signal is stationary in short time interval the AR(autoregressive) parameters of the EEG are estimated by the Burg algorithm using the EEG of prestimulus interval. After stimulus, the single-EP is estimated by adaptive algorithm. The validity of this method is verified by the simulation for generated auditory single-EP based on parametric model.

• 제어로봇시스템학회:학술대회논문집
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• 제어로봇시스템학회 1986년도 한국자동제어학술회의논문집; 한국과학기술대학, 충남; 17-18 Oct. 1986
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• pp.641-642
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• 1986

We present a method for the estimation of intramuscular electromyographic(EMG) signals from the given surface EMG signals. This method is based on representing the surface EMG signal as an autoregressive(AR) time model with a delayed intramuscular EMG signal as an input. The parameters of the time series model that transforms the intramuscular signal to the surface signal are identified. The identified model is then used in estimating the intramuscular signal from the surface signal.

• Communications for Statistical Applications and Methods
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• 제2권2호
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• pp.115-125
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• 1995

This paper deals with the Bayesian estimation for the NLAR(1) model with Laplacian marginals. Assuming the independent uniform priors for two parameters of the NLAT(1) model, the griddy Gbbs sampler by Ritter and Tanner(1992) is used to obtain the Bayesian estimates. Random numbers generated form the uniform priors ate used as the grids for each parameter. Some simulations are conducted and compared with the maximum likelihood estimation result.

• Journal of the Korean Statistical Society
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• 제36권1호
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• pp.149-156
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• 2007

This study suggests a new method for testing seasonal unit roots in a momentum threshold autoregressive (MTAR) process. This sign test is robust against heteroscedastic or heavy tailed errors and is invariant to monotone data transformation. The proposed test is a seasonal extension of the sign test of Park and Shin (2006). In the case of partial seasonal unit root in an MTAR model, a Monte-Carlo study shows that the proposed test has better power than the seasonal sign test developed for AR model.

• Journal of the Korean Statistical Society
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• 제36권4호
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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.

• 대한전기학회논문지
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• 제37권3호
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• pp.180-185
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• 1988

This paper considers the problem of the optimal input design for parameter estimtion in the ARMAX model in which the system and noise transfer function have the common denominator polynomial. Deriving the information matrix, in detail, for the assumed model structure and using the autocorrelation functin of the filtered input as design variables, it is shown that D-optimal input signal can be realized as an autoregressive moving average process. Computer simulations are carried out to show the standard-deviation reduction in the parameter estimtes using the optimal input signal.

• Journal of the Korean Statistical Society
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• 제34권4호
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• pp.345-366
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• 2005

This paper considers the cointegrating vector estimator in the error correction model with stationary covariates, which combines the stationary vector autoregressive model and the nonstationary error correction model. The cointegrating vector estimator is shown to follow the locally asymptotically mixed normal distribution. The variance of the estimator depends on the co­variate effect of stationary regressors, and the asymptotic efficiency improves as the magnitude of the covariate effect increases. An economic application of the money demand equation is provided.