• Communications for Statistical Applications and Methods
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• v.25 no.4
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• pp.431-442
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• 2018

This paper highlights the computational explosion issues in the autoregressive moving average approach of frequency estimation of sinusoidal data with a large sample size. A new algorithm is proposed to circumvent the computational explosion difficulty in the conditional least-square estimation method. Notice that sinusoidal pattern can be generated by a non-invertible non-stationary autoregressive moving average (ARMA) model. The computational explosion is shown to be closely related to the non-invertibility of the equivalent ARMA model. Simulation studies illustrate the computational explosion phenomenon and show that the proposed algorithm can efficiently overcome computational explosion difficulty. Real data example of sunspot number is provided to illustrate the application of the proposed algorithm to the time series data exhibiting sinusoidal pattern.

• Proceedings of the Korea Water Resources Association Conference
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• 2005.05b
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• pp.867-872
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• 2005

This study introduces a method to evaluate the probability of a specific area to be affected by a drought of a given severity and shows its potential for investigating agricultural drought characteristics. The method is applied to Gyeonggi as a case study. The proposed procedure includes Standard Precipitation Index(SPI) time series, which are linearly transformed by the Empirical Orthogonal Functions(EOF) method, These EOFs are extended temporally with AutoRegressive Moving Average(ARMA) method and spatially with Kriging method. By performing these simulations, long time series of SPI can be simulated for each designed grid cell in whole Gyeonggi area. The probability distribution functions of the area covered by a drought and the drought severity are then derived and combined to produce drought severity-area-frequency(SAF) curves.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.1-12
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• 2016

Contrasted with the standard linear ARMA models, financial time series exhibits non-standard features such as fat-tails, non-normality, volatility clustering and asymmetries which are usually referred to as "stylized facts" in financial time series context (Terasvirta, 2009). We are accordingly led to ad hoc models (apart from ARMA) to accommodate stylized facts (Andersen et al., 2009). The paper aims to give a contemporary overview on financial and special time series models based on the recent literature and on the author's publications. Various models are illustrated including asymmetric models, integer valued models, multivariate models and high frequency models. Selected statistical issues on the models are discussed, bringing some perspectives to the future works in this area.

• Journal of the Korean Society for Precision Engineering
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• v.11 no.2
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• pp.85-94
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• 1994

The cutting mechanism of ultrasonic vibration machining is characterized as two phases, that is, an impact at the cutting edge and a reduction of cutting force due to non-contact interval between tool and workpiece. In this paper, in order to identify cutting dynamics of a system with ultrasonically vibrated cutting tool, an ARMA modeling is performed on experimental cutting force signals which have a dominant effect on cutting dynamics. The aim of this study is, through Dynamic Date System methodology, to find the inherent characteristics of an ultrasonic vibration cutting process by considering natural frequency and damping coefficient. Surface roughness and stability of cutting process under ultrasonic vibration are also considered

• Journal of Communications and Networks
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• v.5 no.1
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• pp.65-72
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• 2003

Internet roundtrip delay/time (RTT) prediction plays an important role in detecting packet losses in reliable transport protocols for traditional web applications and determining proper transmission rates in many rate-based TCP-friendly protocols for Internet-based real-time applications. The widely adopted autoregressive and moving average (ARMA) model with fixed-parameters is shown to be insufficient for all scenarios due to its intrinsic limitation that it filters out all high-frequency components of RTT dynamics. In this paper, we introduce a novel parameter-varying RTT model for Internet roundtrip time prediction based on the information theory and the maximum entropy principle (MEP). Since the coefficients of the proposed RTT model are updated dynamically, the model is adaptive and it tracks RTT dynamics rapidly. The results of our experiments show that the MEP algorithm works better than the ARMA method in both RTT prediction and RTO estimation.

• Smart Structures and Systems
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• v.18 no.3
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• pp.501-523
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• 2016

Electromechanical impedance (EMI) based structural health monitoring is performed by measuring the variation in the impedance due to the structural local damage. The impedance signals are acquired from the piezoelectric patches that are bonded on the structural surface. The impedance variation, which is directly related to the mechanical properties of the structure, indicates the presence of local structural damage. Two traditional EMI-based damage detection methods are based on calculating the difference between the measured impedance signals in the frequency domain from the baseline and the current structures. In this paper, a new structural damage detection approach by analyzing the time domain impedance responses is proposed. The measured time domain responses from the piezoelectric transducers will be used for analysis. With the use of the Time Frequency Autoregressive Moving Average (TFARMA) model, a damage index based on Singular Value Decomposition (SVD) is defined to identify the existence of the structural local damage. Experimental studies on a space steel truss bridge model in the laboratory are conducted to verify the proposed approach. Four piezoelectric transducers are attached at different locations and excited by a sweep-frequency signal. The impedance responses at different locations are analyzed with TFARMA model to investigate the effectiveness and performance of the proposed approach. The results demonstrate that the proposed approach is very sensitive and robust in detecting the bolt damage in the gusset plates of steel truss bridges.

• Journal of the Korean Institute of Illuminating and Electrical Installation Engineers
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• v.24 no.2
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• pp.133-141
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• 2010

Grounding system insures a reference potential point for electric devices and also provides a low impedance path for fault currents in the earth. The ground impedance as function of frequency is necessary for determining its performance since fault currents could contain a wide range of frequencies. Copper and concrete rod electrodes are the most commonly used grounding electrode in electric distribution systems. In this paper, the ground impedance of copper and concrete rods has been measured by frequency and time domain characteristic tests. An equivalent transfer function model of the ground impedance is identified from the measured values by using ARMA method and evaluated by comparing conventional grounding impedances.

• Journal of the Korean Society of Manufacturing Process Engineers
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• v.2 no.2
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• pp.60-66
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• 2003

For the estimation of chatter lobe boundary it is very important to calculate the natural mode of cutting process. There are many time series algorithms for getting the natural mode of structural endmilling dynamics considering the cutting process. In this study, we have compared several time series methods such as AR algorithm, ARX, ARMAX, ARMA, Box Jenkins, Output Error, Recursive ARX, Recursive ARMAX considering the sampling frequency. As a results, the ARX, ARMAX and IV 4 are more desirable algorithms for the calculation of modal parameters such as natural frequency and damping ratio In endmilling operation. Also these algorithms may be adopted for the natural mode estimation of endmilling operation for chatter lobe prediction.

• Journal of Korea Water Resources Association
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• v.39 no.8 s.169
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• pp.691-702
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• 2006

This study introduced a method to evaluate the probability of a specific area to be affected by a drought of a given severity and shows Its potential for investigating agricultural drought characteristics. The method was applied to South Korea as a case study. The proposed procedure included Standardized Precipitation Index(SPI) time series, which were linearly transformed by the Empirical Orthogonal Functions(EOF) method. These EOFs were extended temporally with AutoRegressive Moving Average(ARMA) method and spatially with Kriging method. By performing these simulations, long time series of SPI can be simulated for each designed grid cell in whole area. The probability distribution functions of the area covered by a drought and the drought severity are then derived and combined to produce drought severity-area-frequency(SAF) curves.

• Journal of Intelligence and Information Systems
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• v.5 no.1
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• pp.103-123
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• 1999

Input filtering as a preprocessing method is so much crucial to get good performance in time series forecasting. There are a few preprocessing methods (i.e. ARMA outputs as time domain filters, and Fourier transform or wavelet transform as time-frequency domain filters) for handling time series. Specially, the time-frequency domain filters describe the fractal structure of financial markets better than the time domain filters due to theoretically additional frequency information. Therefore, we, first of all, try to describe and analyze specially some issues on the effectiveness of different filtering methods from viewpoint of the performance of a neural network based forecasting. And then we discuss about neural network model architecture issues, for example, what type of neural network learning architecture is selected for our time series forecasting, and what input size should be applied to a model. In this study an input selection problem is limited to a size selection of the lagged input variables. To solve this problem, we simulate on analyzing and comparing a few neural networks having different model architecture and also use an embedding dimension measure as chaotic time series analysis or nonlinear dynamic analysis to reduce the dimensionality (i.e. the size of time delayed input variables) of the models. Throughout our study, experiments for integration methods of joint time-frequency analysis and neural network techniques are applied to a case study of daily Korean won / U. S dollar exchange returns and finally we suggest an integration framework for future research from our experimental results.