• Journal of the Korean Statistical Society
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• v.36 no.2
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• pp.183-200
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• 2007

We consider a nonlinear autoregressive moving average model with nonlinear GARCH errors, and find sufficient conditions for the existence of a strictly stationary solution of three related time series equations. We also consider a geometric ergodicity and functional central limit theorem for a nonlinear autoregressive model with nonlinear ARCH errors. The given model includes broad classes of nonlinear models. New results are obtained, and known results are shown to emerge as special cases.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.30 no.2D
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• pp.113-118
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• 2010

This paper presents an analysis of the instability phenomenon on motorways, with the aim of arriving at the definition of a control strategy suitable for keeping the flow stable. By using some results of the motorway reliability theory, a relationship and some flow characteristics is obtained, which shows that the existence of a reliability threshold critical for flow stability. The macroscopic flow characteristics corresponding to this threshold are very different in different situations, so that this control of flow stability requires the analysis of speed and density microscopic process surveyed on a cross section of the motorway carriage ways to be controlled. A method is presented, based on integrated moving average(IMA) analysis in real time of these processes, by which it is possible to detect the approach of instability before its effects become manifest, and to single out the proper control strategy in different situations.

• Industrial Engineering and Management Systems
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• v.9 no.3
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• pp.262-274
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• 2010

This article investigates how to adaptively predict the time-varying metrology delay that could realistically occur in the semiconductor manufacturing practice. Metrology delays pose a great challenge for the existing run-to-run (R2R) controllers, driving the process output significantly away from target if not adequately predicted. First, the expected asymptotic double exponentially weighted moving average (DEWMA) control output, by using the EWMA and recursive least squares (RLS) prediction methods, is derived. It has been found that the relationships between the expected control output and target in both estimation methods are parallel, and six cases are addressed. Within the context of time-varying metrology delay, this paper presents a modified recursive least squares-linear trend (RLS-LT) controller, in combination with runs test. Simulated single input-single output (SISO) R2R processes subject to various time-varying metrology delay scenarios are used as a testbed to evaluate the proposed algorithms. The simulation results indicate that the modified RLS-LT controller can yield the process output more accurately on target with smaller mean squared error (MSE) than the original RLSLT controller that only deals with constant metrology delays.

• Journal of the Computational Structural Engineering Institute of Korea
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• v.13 no.4
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• pp.405-415
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• 2000

Time series of wind-induced pressure on a structure are modeled using autoregressive moving average (ARMA) model. In an AR process, the current value of the time series is expressed in terms of a finite, linear combination of the previous values and a white noise. In a MA process, the value of the time series is linearly dependent on a finite number of the previous white noises. The ARMA process is a combination of the AR and MA processes. In this paper, the ARMA models with several different combinations of the AR and MA orders are fitted to the wind-induced pressure time series, and the procedure to select the most appropriate ARMA model to represent the data is described. The maximum likelihood method is used to estimate the model parameters, and the AICC model selection criterion is employed in the optimization of the model order, which is assumed to be a measure of the temporal complexity of the pressure time series. The goodness of fit of the model is examined using the LBP test. It is shown that AR processes adequately fit wind pressure time series.

• The Korean Journal of Applied Statistics
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• v.30 no.1
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• pp.1-12
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• 2017

Many stochastic processes satisfy the Markov property exactly or at least approximately. An interested property in the Markov process is the first passage time. Since the sequential analysis by Wald, the approximation of the first passage time has been studied extensively. The Statistical computing technique due to the development of high-speed computers made it possible to calculate the values of the properties close to the true ones. This article introduces an exponentially weighted moving average (EWMA) control chart as an example of the Markov process, and studied how to calculate the average run length with problematic issues that should be cautioned for correct calculation. The results derived for approximation of the first passage time in this research can be applied to any of the Markov processes. Especially the approximation of the continuous time Markov process to the discrete time Markov chain is useful for the studies of the properties of the stochastic process and makes computational approaches easy.

• Journal of Environmental Science International
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• v.13 no.7
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• pp.703-710
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• 2004

Petroleum refineries have been considered as an important emission source for atmospheric volatile hazardous air pollutants(HAPs). The emission source includes petroleum refinery processes and process equipment. The control strategy for volatile HAPs requires emission estimations of these pollutants. However, systematic methods of volatile HAPs emission from petroleum refineries have not yet been established. Accordingly, present study surveyed the estimation method of volatile HAPs emitted from the petroleum refinery processes and process equipment. The emission estimation methods for the petroleum refinery processes are applied for 11 petroleum refining facilities: fluidized catalytic cracking, thermal cracking, moving bed catalytic cracking, compressed engine, blowdown system, vacuum distilled column condensator, natural gas or distilled boiler, natural gas or distilled heater, oil boiler, oil heater and flare. Four emission estimation methods applied for the petroleum refinery process equipment are as follows: average emission factor approach, screening ranges approach, EPA correlation approach and unit-specific correlation approach. The process equipment for which emission factors are available are valves, pump seals, connectors, flanges and open-ended lines.

• Journal of Korea Society of Industrial Information Systems
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• v.19 no.6
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• pp.25-31
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• 2014

Gas metal arc welding (GMAW) is currently the most widely used arc welding processes in the industry because of its high metal deposition rate, flexibility and low cost. It is attractive for high-productivity manufacturing applications and is well suited to automatic or robotic welding. Welding voltage and current have a significant impact on the weld bead. However, welding voltage and current are changed variously according to welding condition and user environment, and prediction is impossible. To determine the welding conditions, the welding current and voltage are applied to the appropriate data analysis techniques. In this paper, we used the moving average filter to the welding voltage and current data, and normal and abnormal welding waves were distinguished.

• Journal of the Korean Society for Nondestructive Testing
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• v.20 no.6
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• pp.555-561
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• 2000

The remote field eddy current (RFEC) inspection was performed on the ductile cast iron pipes with nominal outer diameter of 100mm, which were machined with various shapes and sizes of defects. Ductile cast iron pipes which are used as water supply pipe have the non-uniform thickness and asymmetric cross section due to relatively high degree of allowable errors during the manufacturing processes. These characteristics of ductile cast in pipes cause the long range background noises in RFEC signals along the pipe. In this study, tile machined defects in pipes were effectively classified by the moving window average (MWA) method which eliminated the long-range noise. The voltage plane polar plots (VPPP) method was used to quantitatively evaluate the depth and circumferential degree of defects. The VPPP signatures showed that the angle between defect signature and the normalized in-phase component on the VPPP is linear to the depth of defects. The nondestructive RFEC technique proved to be capable of quantitatively evaluating the machined defects of underground water supply pipe.

• Communications for Statistical Applications and Methods
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• v.14 no.1
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• pp.155-167
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• 2007

Knowing the time of the process change could lead to quicker identification of the responsible special cause and less process down time, and it could help to reduce the probability of incorrectly identifying the special cause. In this paper, we propose the maximum likelihood estimator (MLE) for the process change point when a control chart is used in monitoring the mean of a process in which the observations can be modeled as an AR(1) process plus an additional random error. The performance of the proposed MLE is compared to the performance of the built-in estimator when they are used in EWMA charts based on the residuals. The results show that the proposed MLE provides good performance in terms of both accuracy and precision of the estimator.

• Journal of the Korean Data and Information Science Society
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• v.27 no.2
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• pp.559-564
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• 2016

The Durbin-Watson (DW) test in regression model and the Ljung-Box (LB) test in ARMA (autoregressive moving average) model are typical examples of correlated error tests. The DW test is used for detecting autocorrelation of errors using the residuals from a regression analysis. The LB test is used for specifying the correct ARMA model using the first some sample autocorrelations based on the residuals of a tted ARMA model. In this article, simulations with four data generating processes have been carried out to evaluate their performances as correlated error tests. Our simulations show that the DW test is severely dependent on the assumed AR(1) model but isn't sensitive enough to reject the misspecified model and that the LB test reports lackluster performance in general.