• Journal of applied mathematics & informatics
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• v.12 no.1_2
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• pp.67-79
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• 2003

An approximation for the bias in lag window estimators of the degree of differencing in fractionally integrated time series models is derived. The expression obtained is compared with the observed bias from simulations for various windows.

• Journal of the Korean Operations Research and Management Science Society
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• v.38 no.2
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• pp.65-73
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• 2013

In the simulation output analysis, bootstrap method is an applicable resampling technique to insufficient data which are not significant statistically. The moving block bootstrap, the stationary bootstrap, and the threshold bootstrap are typical bootstrap methods to be used for autocorrelated time series data. They are nonparametric methods for stationary time series data, which correctly describe the original data. In the simulation output analysis, however, we may not use them because of the non-stationarity in the data set caused by the trend such as increasing or decreasing. In these cases, we can get rid of the trend by differencing the data, which guarantees the stationarity. We can get the bootstrapped data from the differenced stationary data. Taking a reverse transform to the bootstrapped data, finally, we get the pseudo-samples for the original data. In this paper, we introduce the applicability of bootstrap methods to the time series data having trend, and then verify it through the statistical analyses.

• The Transactions of the Korean Institute of Electrical Engineers D
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• v.54 no.7
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• pp.462-467
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• 2005

In this paper, we analyzed normal gait acceleration signal by time series analysis methods. Accelerations were measured during walking using a biaxial accelerometer. Acceleration data were acquired from normal subjects(23 men and one woman) walking on a level corridor of 20m in length with three different walking speeds. Acceleration signals were measured at a sampling frequency of 60Hz from a biaxial accelerometer mounted between L3 and L4 intervertebral area. Each step signal was analyzed using Box-Jenkins method. Most of the differenced normal step signals were modeled to AR(3) and the model didn't show difference for model's orders and coefficients with walking speed. But, tile model showed difference with acceleration signal direction - vertical and lateral. The above results suggested the proposed model could be applied to unit analysis.

• 제어로봇시스템학회:학술대회논문집
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• 2005.06a
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• pp.262-264
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• 2005

We propose a filter design method to suppress the effect of gyroscope mixed random errors at INS system level. It is based on the result that mixed random errors can be represented by a single equivalent ARMA model. At first step, the time difference of equivalent ARMA process is performed, which consider the characteristic of indirect feedback Kalman filter used in INS filter. Next, a state space conversion of time differenced ARMA model is achieved. If the order of AR is greater than that of MA, the controllable or observable canonical form is used. Otherwise, we introduce the state equation of which the state variable is composed of the ARMA model output and several step ahead predicts of that. At final step, a complete form state equation is presented. The simulation results shows that the proposed method gives less transient error and better convergence compared to the conventional filter which assume the mixed random errors as white noise.

• Communications for Statistical Applications and Methods
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• v.31 no.1
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• pp.143-154
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• 2024

This paper considers a combined model of exponential smoothing (ETS) and autoregressive integrated moving average (ARIMA) models that are commonly used to forecast time series data. The combined model is constructed through an innovational state space model based on the level variable instead of the differenced variable, and the identifiability of the model is investigated. We consider the maximum likelihood estimation for the model parameters and suggest the model selection steps. The forecasting performance of the model is evaluated by two real time series data. We consider the three competing models; ETS, ARIMA and the trigonometric Box-Cox autoregressive and moving average trend seasonal (TBATS) models, and compare and evaluate their root mean squared errors and mean absolute percentage errors for accuracy. The results show that the combined model outperforms the competing models.

• Journal of the Korean Society of Surveying, Geodesy, Photogrammetry and Cartography
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• v.22 no.3
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• pp.217-223
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• 2004

In order to improve real-time positioning accuracy, a number of methods have been tested and one of those is the inverted RTK(Real-time kinematic) that gives a precise positioning by handling carrier phase measurements. For the inverted RTK positioning, it needs the L1 phase measurement at least for 1～2 minutes and the additional reference stations/communication system and a data processing server are required. The L1 code and carrier phase measurements for real-time application are used simultaneously and then Kalman filter is applied to estimate integer ambiguities. Double differenced integer ambiguities are resolved by utilizing the FARA(Fast Ambiguity Resolution Approach). In this paper, we propose the method to improve the positioning accuracy and performed the field tests for several baselines from DAEJ reference station in KAO(Korea Astronomy Observatory).

• The Journal of Fisheries Business Administration
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• v.40 no.2
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• pp.105-126
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• 2009

This study applies the cointegration theory to analyse the causality of the prices between imported fisheries and domestic fisheries in distribution channel. We've focused on the prices of import, wholesale and retail about the frozen Alaska pollack, hairtail and croaker which take up high portion and are popular among most of the consumers. In process of analysis, the unit root test was adopted to find the stability of time series data prior to the cointegration test. If the time series data was found as stable one in unit root test, we should analyse the VAR model. If unstable, the cointegratioin test was adopeted to find the long-run equilibrium relationship between the data. When the long-run equilibrium relationship was found among the price of the import, wholesale and retail price, the VECM model was adoped. If not, the differenced VAR model was adopted. The main findings of this study could be summarized as follows ; First, according to the result of the analysis on VAR model, time series data of frozen Alaska pollack was found as stable and has causality relationship and close effect was existing among the import, wholesale and retail price. Second, the data of frozen hairtail was found as an unstable one in unit root test and the result of cointegration test showed the long-run equilibrium relationship at lag 1. From the results of VECM model, we could find that the coefficient of error correction is effective, and the sign is negative(-). It means that the existence of adjustment tendency to long-run equilibrium after a short-run deviation. But the short-run causality of the prices were not found except the price of wholesale. Third, according to the results of differenced VAR model, data from frozen croaker did not have the stability and long-run equilibrium. Moreover, it was found that the import price has a weak causality on the retail price. Because of having difficulties in collecting data, the result of this paper could not explain the relationship among the prices of import, wholesale and retail perfectly. However, it more or less contributed to a long-lasted debate on the direction of causality of price-setting in academic research and provided a useful guide for the policy makers in charge of the price-setting of fisheries products as well.

• Journal of the Korean Society for Aeronautical & Space Sciences
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• v.33 no.7
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• pp.59-69
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• 2005

A position domain Hatch filter is proposed as an efficient carrier-smoothed-code processing algorithm for real-time kinematic differential global satellite navigation systems. The well-known range domain Hatch filter is newly interpreted with a stochastical point of view. The interpretation result is extended to derive the position domain Hatch filter. By a covariance simulation, it is shown that Hatch gain is, in general, more efficient than Kalman-type gain in carrier-smoothed-code processing and the proposed position domain Hatch filter is more advantageous than the conventional range domain Hatch filter if the visible satellite constellation changes during the positioning task.

• 유체기계공업학회:학술대회논문집
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• 1999.12a
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• pp.179-186
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• 1999

Three-dimensional flow analysis is implemented to investigate the flow through transonic axial-flow compressor rotor(NASA R67), and to evaluate the performances of k-$\epsilon$ and Baldwin-Lomax turbulence models. A finite volume method is used for spatial discretization. And, the equations are solved implicitly in time with the use of approximate factorization. Upwind difference scheme is used for inviscid terms, but viscous terms are centrally differenced. The flux-difference-splitting of Roe is used to obtain fluxes at the cell faces. Numerical analysis is performed near peak efficiency and near stall. And, the results are compared with the experimental data for NASA R67 rotor. Blade-to-Blade Mach number distributions are compared to confirm the accuracy of the code. From the results, we conclude that k-$\epsilon$ model is better for the calculation of flow rate and efficiency than Baldwin-Lomax model. But, the predictions for Mach number and shock structure are almost same.

• Proceedings of the Korean Institute of Navigation and Port Research Conference
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• v.1
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• pp.145-150
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• 2006

The paper deals with integrated navigation and sense & avoid systems for small unmanned aerial vehicles (UAV). First an introduction to the current UAV activities of the institute is given. It is followed by an overview about the integrated navigation system developed for small UAVs. The system is based on a tightly-coupled GPS/INS architecture. But instead of using delta-ranges, time-differenced carrier phases are used to aid the INS. Finally, results from navigation filter validation in flight tests are presented. After that an overview about sense and avoid strategies for application in small unmanned aircraft is given. From this a guideline for developing such a system for the institute's UAVs is presented.