The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Resampling Methods on Frequency Domains for Time Series

시계열분석을 위한 주파수 공간상에서의 재표집 기법

  • Yeo In-Kwon (Division of Mathematics and Statistics, Sookmyung Women's University) ;
  • Yoon Wha-Hyung (Department of Statistics, Seoul National University) ;
  • Cho Sin-Sup (Department of Statistics, Seoul National University)
  • 여인권 (숙명여자대학교 이과대학 수학통계학부) ;
  • 윤화형 (서울대학교 자연과학대학 통계학과) ;
  • 조신섭 (서울대학교 자연과학대학 통계학과)
  • Published : 2006.03.01
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Abstract

This paper presents the resampling method for time series data in the frequency domain obtained by using discrete cosine transforms(DCT) The advantage of the proposed method is to generate bootstrap samples in time domain comparing with existing bootstrapping method. When time series are stationary, statistical properties of DCT coefficients are investigated and provide the verification of the proposed procedure.

이 논문에서는 이산코사인변환을 이용하여 시계열자료를 주파수 공간으로 변환시킨 후, 이산코사인변환 계수를 재표집하여 시계열자료에 대한 재표본을 추출하는 방법에 대해 알아본다. 기존 주파수 공간상에서의 붓스트랩 방법은 스펙트럼평균(spectral mean)에 대한 추론을 하기위해 사용되지만 제안하고자 하는 방법은 시간영역상에서의 시계열자료에 얻을 수 있다는 것이 가장 큰 차이점이다. 이 논문에서는 정상시계열의 경우, 이산코사인변환 계수의 통계적 성질을 유도하고 이 성질을 이용하여 붓스트랩하는 과정을 설명한다. 모의 실험을 통해 기존에 사용되고 있는 방법과 성능을 비교하였다.

Keywords

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