• Proceedings of the Korea Water Resources Association Conference
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• 2006.05a
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• pp.1450-1454
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• 2006

Empirical mode decomposition (EMD) is applied to analyze time series characterized with nonlinearity and nonstationarity. This decomposition could be utilized to construct finite and small number intrinsic mode functions (IMF) that describe complicated time series, while admitting the Hilbert transformation properties. EMD has the capability of being adaptive, capture local characteristics, and applicable to nonlinear and nonstationary processes. Unlike discrete wavelet transform (DWT), IMF eliminates spurious harmonics and retains meaningful instantaneous frequencies. Examples based on data representing natural phenomena are given to demonstrate highlight the power of this method in contrast and comparison of other ones. A presentation of the energy-frequency-time distribution of these signals found to be more informative and intuitive when based on Hilbert transformation.

• The Journal of Information Systems
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• v.18 no.3
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• pp.351-373
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• 2009

An index fund is a collective investment scheme that aims to replicate the movements of an index of a specific financial market regardless of market conditions. An index fund is a popular investment alternative because it is much cheaper to run than an active fund and it performs better than actively managed funds. This paper illustrates the usefulness of wavelet analysis in constructing an index fund. The wavelet analysis can decompose the time series data in frequency domain as well as in time domain. The major findings of this paper are as follows. First, the beta coefficient that represents the systematic risk has the scale dependent property. This result can provide important information to the investors with various investment time frequency. Investors can use the betas corresponding to their investment frequencies among the various scale betas estimated by wavelet analysis. Second, we can find the usefulness of wavelet analysis in constructing index fund because the wavelet technique gives less tracking error(difference between the index performance and the index fund performance) than the traditional constructing techniques. The result of this study implies that the wavelet techniques can be an important analytic method to the other financial markets such as option market, futures market, bond markets and currency market.

• The Transactions of the Korean Institute of Electrical Engineers P
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• v.58 no.3
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• pp.362-368
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• 2009

Electrical fires have been occurred continuously in spite of installing ELB. Therefore the concern with the electrical arc-fault that cause the fire has growing. This paper measured series arc fault currents by the method of arc generator test in UL standard 1699. The used analysis methods in this paper are three different ways using DWT(discrete wavelet transform) those are frequently used for the arc fault current signal analysis. The arc fault detection probability is 100 % by method using noise-energy/shoulder-duration ratio of approximation coefficient. As these results, the variation of noise-energy and shoulder-duration ratio of approximation coefficient are founded important factors for the analysis of arc fault.

• The Korean Journal of Applied Statistics
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• v.23 no.2
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• pp.249-261
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• 2010

Long-term forecasting of seasonal time series is critical in many applications such as planning business strategies and resolving possible problems of a business company. Unlike the traditional approach that depends solely on dynamic models, Li and Hinich (2002) introduced a combination of stochastic dynamic modeling with filter bank approach for forecasting seasonal patterns using highly coherent(High-C) waveforms. We modify the filter selection and forecasting procedure on wavelet domain to be more feasible and compare the resulting predictor with one that obtained from the wavelet variance estimation method. An improvement over other seasonal pattern extraction and forecasting methods based on such as wavelet scalogram, Holt-Winters, and seasonal autoregressive integrated moving average(SARIMA) is shown in terms of the prediction error. The performance of the proposed method is illustrated by a simulation study and an application to the real stock price data.

• Communications for Statistical Applications and Methods
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• v.30 no.4
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• pp.369-388
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• 2023

In this paper, we develop the two-step procedure that detects and estimates the position of structural changes for multivariate nonstationary time series, either on mean parameters or second-order structures. We first investigate the presence of mean structural change by monitoring data through the aggregated cumulative sum (CUSUM) type statistic, a sequential procedure identifying the likely position of the change point on its trend. If no mean change point is detected, the proposed method proceeds to scan the second-order structural change by modeling the multivariate nonstationary time series with a multivariate locally stationary Wavelet process, allowing the time-localized auto-correlation and cross-dependence. Under this framework, the estimated dynamic spectral matrices derived from the local wavelet periodogram capture the time-evolving scale-specific auto- and cross-dependence features of data. We then monitor the change point from the lower-dimensional approximated space of the spectral matrices over time by applying the dynamic principal component analysis. Different from existing methods requiring prior information on the type of changes between mean and covariance structures as an input for the implementation, the proposed algorithm provides the output indicating the type of change and the estimated location of its occurrence. The performance of the proposed method is demonstrated in simulations and the analysis of two real finance datasets.

• International Journal of Ocean Engineering and Technology Speciallssue:Selected Papers
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• v.6 no.1
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• pp.1-6
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• 2003

This study presents the results of series of studies, which are mainly devoted to the application of wavelet transforms to various problems in ocean engineering. Both continuous and discrete wavelet transforms were used. These studies attempted to solve detection of wave directionality, detection of wave profile, and decoupling of the rolling component from free roll decay tests. The results of these analysis, using wavelet transform, demonstrated that the wavelet transform can be a useful tool in analyzing many problems in the filed of ocean engineering.

• Journal of Ocean Engineering and Technology
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• v.17 no.3 s.52
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• pp.1-6
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• 2003

This study presents the results of series of studies, which are mainly devoted to the application of wavelet transforms to various problems in ocean engineering. Both continuous and discrete wavelet transforms were used. These studies attempted to solve detection of wave directionality, detection of wave profile, and decoupling of the rolling component from free roll decay tests. The results of these analysis, using wavelet transform, demonstrated that the wavelet transform can be a useful tool in analyzing many problems in the filed of ocean engineering.

• Structural Engineering and Mechanics
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• v.45 no.1
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• pp.95-110
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• 2013

In the recent decade, practical of wavelet technique is being utilized in various domain of science. Particularly, engineers are interested to the wavelet solution method in the time series analysis. Fundamentally, seismic responses of structures against time history loading such as an earthquake, illustrates optimum capability of systems. In this paper, a procedure using particularly discrete Haar wavelet basis functions is introduced, to solve dynamic equation of motion. In the proposed approach, a straightforward formulation in a fluent manner is derived from the approximation of the displacements. For this purpose, Haar operational matrix is derived and applied in the dynamic analysis. It's free-scaled matrix converts differential equation of motion to the algebraic equations. It is shown that accuracy of dynamic responses relies on, access of load in the first step, before piecewise analysis added to the technique of equation solver in the last step for large scale of wavelet. To demonstrate the effectiveness of this scheme, improved formulations are extended to the linear and nonlinear structural dynamic analysis. The validity and effectiveness of the developed method is verified with three examples. The results were compared with those from the numerical methods such as Duhamel integration, Runge-Kutta and Wilson-${\theta}$ method.

• East Asian Economic Review
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• v.19 no.2
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• pp.189-220
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• 2015

Multi-scale representations are effective in characterising the time-frequency characteristics of financial return series. They have the capability to reveal the properties not evident with typical time domain analysis. Given the aforesaid, this study derives crucial insights from multi scale analysis to investigate the co-movements between Indian and emerging Asian equity markets using wavelet correlation and wavelet coherence measures. It is reported that the Indian equity market is strongly integrated with Asian equity markets at lower frequency scales and relatively less blended at higher frequencies. On the other hand the results from cross correlations suggest that the lead-lag relationship becomes substantial as we turn to lower frequency scales and finally, wavelet coherence demonstrates that this correlation eventually grows strong in the interim of the crises period at lower frequency scales. Overall the findings are relevant and have strong policy and practical implications.

• Journal of applied mathematics & informatics
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• v.39 no.1_2
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• pp.239-249
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• 2021

This study attempts to predict the price of gold futures, a real financial product, using ARIMA and LSTM. The wavelet analysis was applied to the data to predict the price of gold futures through LSTM and ARIMA. As results, it is confirmed that the prediction performance of the existing model of predict was improved. the case of predict of price of gold futures, we confirmed that the use of a deep learning model that is not affected by the non-stationary series data is suitable and the possibility of improving the accuracy of prediction through wavelet analysis.