• The Journal of Asian Finance, Economics and Business
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• 제7권12호
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• pp.1-10
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• 2020

This study investigates the problem of outlier detection based on discrete wavelet transform in the context of time series data where the identification and treatment of outliers constitute an important component. An outlier is defined as a data point that deviates so much from the rest of observations within a data sample. In this work we focus on the application of the traditional method suggested by Tukey (1977) for detecting outliers in the closed price series of the Saudi Arabia stock market (Tadawul) between Oct. 2011 and Dec. 2019. The method is applied to the details obtained from the MODWT (Maximal-Overlap Discrete Wavelet Transform) of the original series. The result show that the suggested methodology was successful in detecting all of the outliers in the series. The findings of this study suggest that we can model and forecast the volatility of returns from the reconstructed series without outliers using GARCH models. The estimated GARCH volatility model was compared to other asymmetric GARCH models using standard forecast error metrics. It is found that the performance of the standard GARCH model were as good as that of the gjrGARCH model over the out-of-sample forecasts for returns among other GARCH specifications.

• 제어로봇시스템학회논문지
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• 제21권5호
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• pp.490-495
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• 2015

As flying robots are becoming popular, there are increased needs to use themforsuch purposes as parcel delivery, serving in restaurants, and stage performances. To control flying robots such as quad copters, localization is essential. In order to properly position flying robots, many techniques are in development, including IR (infra-red)-based systemswhich catch markers on a flying robot in order that it can position itself. However, this technique demonstrates only short coverage. Furthermore, localization from inertial sensors diverges as time passes. For this reason, this paper suggests a TWR (two-way ranging) based positioning technique. Despite the weaknesses in currently available TWR system, this paper suggests a self-positioning and outlier detection technique in order to provide reliable position information with a faster update rate. The self-positioning system sends a shorter message which reduces wireless traffic. By detecting and removing outlier measurements, a positioning result with better accuracy is acquired. Finally, this paper shows that the suggesting system detects outlierssequentially from less than half the number of anchors in localization system according to the degree of outlier in measurement and the noise level. By performing an outlier algorithm, better positioning accuracy is acquired as shown in the experimental result.

• 한국해양공학회지
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• 제38권3호
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• pp.115-123
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• 2024

USBL systems are essential for providing accurate positions of autonomous underwater vehicles (AUVs). On the other hand, the accuracy can be degraded by outliers because of the environmental conditions. A failure to address these outliers can significantly impact the reliability of underwater localization and navigation systems. This paper proposes a novel outlier rejection algorithm for AUV localization using Voronoi diagrams and query point calculation. The Voronoi diagram divides data space into Voronoi cells that center on ultra-short baseline (USBL) data, and the calculated query point determines if the corresponding USBL data is an inlier. This study conducted experiments acquiring GPS and USBL data simultaneously and optimized the algorithm empirically based on the acquired data. In addition, the proposed method was applied to a sensor fusion algorithm to verify its effectiveness, resulting in improved pose estimations. The proposed method can be applied to various sensor fusion algorithms as a preprocess and could be used for outlier rejection for other 2D-based location sensors.

• 한국해안·해양공학회논문집
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• 제26권4호
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• pp.207-216
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• 2014

총유기탄소(TOC)는 해양의 탄소순환 연구분야에서 직접적인 생물학적 지표로 이용되는 중요한 인자다. 가용한 TOC 자료가 상대적으로 화학적산소요구량(COD) 자료 보다 부족하기 때문에 COD 자료를 활용하여 TOC 자료를 추정할 수 있다. COD를 TOC 로의 변환 시 TOC 추정에 직접적으로 영향을 미치는 COD 관측자료에 포함된 이상자료의 탐지와 적절한 처리는 합리적이고 객관적으로 수행되어야 한다. 본 연구에서는 국내 연안해역에서 관측된 염분, COD 및 TOC 자료에 대한 최적회귀모형을 제시하였다. 최적회귀모형은 이상자료와 영향자료를 여러 가지 탐색방법으로 진단하여 제거 전 후의 자료 개수 변화, 변동계수 및 RMS 오차를 비교 및 분석하여 선택하였다. 연구수행 결과, Cook의 진단방법과 SIQR의 boxplot 방법을 조합한 방법이 가장 적절한 것으로 파악되었다. 최적 회귀 함수는 TOC(mg/L) = $0.44{\cdot}COD(mg/L)+1.53$ 이고, 결정계수는 0.47 정도로 나타났으며, RMS 오차는 0.85 mg/L이다. RMS 오차와 지레계수(leverage values)의 변동계수는 이상자료 제거 전에 비하여 각각 31%, 80%로 크게 감소되었다. 본 연구에서 제시된 방법을 통해 COD와 TOC 관측자료에 포함된 이상자료와 영향자료의 과도한 영향을 진단 및 제거하였기 때문에 보다 적절한 회귀곡선식을 제시할 수 있었다.

• 응용통계연구
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• 제29권4호
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• pp.699-706
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• 2016

검정절차가 생략된 이상치 탐지법은 구조적으로 수렁효과나 가면효과에 취약하기 때문에 다수의 이상치를 제대로 탐지하지 못할 때가 있다. 본 연구에서는 군집화에 의하여 구분된 소수 관찰치군을 이상치로 판정하는 방법에 보완될 검정절차를 다룬다. 이에 관련된 일반적인 방법은 탐지된 이상치 후보군의 개별적인 관찰치에 대해 다양한 종류의 t-검정을 수행하는 것이다. 본 연구에서는 이상치 후보군에 대한 검정을 수행하고 군집나무의 절단기준을 변경시켜 새로운 이상치군을 탐색해 나가는 순차적인 방법을 제안한다. 예제와 모의실험을 통해 제시된 방법과 기존의 방법들을 비교한다.

• 응용통계연구
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• 제7권2호
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• pp.225-237
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• 1994

본 연구에서는 핵확산 감시와 관련된 이상점 탐지를 위한 일반화 우도비 검정 방법이 개발되었다. 고전적인 이상점 탐지방법들이 연속형 변수만을 고려한 반면, 본 연구에서 제안된 방법은 연속형 변수, 이산형 변수, 혹은 이산형과 연속형이 혼합된 변수들에 모두 적용될 수 있다. 더우기 대부분의 고전적인 방법들에 있어서 주로 이용된 정규분포 가정을 필요로 하지 않는다. 본 연구에서 제안된 방법은 일반화 우도비에 붓스트랩 방법을 적용하여 구성되었다. 모의 실험을 통하여 검정력을 고찰함으로써 제안된 검정방법의 성능을 연구하였다.

• 전기전자학회논문지
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• 제24권2호
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• pp.403-408
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• 2020

태양광 발전은 특성상 간헐성과 불확실성이 항상 존재하기 때문에 정확한 예측은 어려우며, 실시간 발전량 진단을 위한 이상감지 기술이 중요하다. 본 논문에서는 다양한 파라미터의 상관관계를 도출하고 최근접 이웃 알고리즘을 적용하여 정상데이터와 비정상데이터를 분류한다. 두 분류의 결과는 발전 시스템의 결함에 의한 아웃라이어와 구름 등에 의해 단기간 동안 발생하는 부분 음영 및 전체 음영의 일시적인 전력손실을 보여준다. 100kW 발전소 데이터를 대상으로 머신러닝 분석을 수행하여 테스트 결과를 산출하였으며 실제 이상치와 이상치 후보지를 검증하였다.

• 수산해양기술연구
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• 제56권4호
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• pp.384-394
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• 2020

This paper proposes an outlier detection model based on machine learning that can diagnose the presence or absence of major engine parts through unsupervised learning analysis of main engine big data of a ship. Engine big data of the ship was collected for more than seven months, and expert knowledge and correlation analysis were performed to select features that are closely related to the operation of the main engine. For unsupervised learning analysis, ensemble model wherein many predictive models are strategically combined to increase the model performance, is used for anomaly detection. As a result, the proposed model successfully detected the anomalous engine status from the normal status. To validate our approach, clustering analysis was conducted to find out the different patterns of anomalies the anomalous point. By examining distribution of each cluster, we could successfully find the patterns of anomalies.

• Journal of the Korean Statistical Society
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• 제28권3호
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• pp.311-324
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• 1999

The problem of 'outliers', observations which look suspicious in some way, has long been one of the most concern in the statistical structure to experimenters and data analysts. We propose a model for an outlier problem and also analyze it in linear regression model using a Bayesian approach. Then we use the mean-shift model and SSVS(George and McCulloch, 1993)'s idea which is based on the data augmentation method. The advantage of proposed method is to find a subset of data which is most suspicious in the given model by the posterior probability. The MCMC method(Gibbs sampler) can be used to overcome the complicated Bayesian computation. Finally, a proposed method is applied to a simulated data and a real data.

• Smart Structures and Systems
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• 제12권3_4호
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• pp.291-308
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• 2013

A novel concept of transmissibility based on a wavelet transform for structural damage detection is presented in this paper. The main objective of the research was the development of a method for detecting slight damage at the incipient stage. As a vibration-based approach, the concept of transmissibility has attracted considerable interest because of its advantages and effectiveness in damage detection. However, like other vibration-based methods, transmissibility-based approaches suffer from insensitivity to slight local damage because of the regularity of the traditional Fourier transform. Therefore, the powerful signal processing techniques must be found to solve this problem. Wavelet transform that is able to capture subtle information in measured signals has received extensive attention in the field of damage detection in recent decades. In this paper, we first propose a novel transmissibility concept based on the wavelet transform. Outlier analysis was adopted to construct a damage detection algorithm with wavelet-based transmissibility. The feasibility of the proposed method was numerically investigated with a typical six-degrees-of-freedom spring-mass system, and comparative investigations were performed with a conventional transmissibility approach. The results demonstrate that the proposed transmissibility is more sensitive than conventional transmissibility, and the former is a promising tool for structural damage detection at the incipient stage.