• Journal of the Korean Operations Research and Management Science Society
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• v.36 no.1
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• pp.13-26
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• 2011

In order to explain the U-shaped pattern of autocorrelations of stock returns i.e., autocorrelations starting around 0 for short-term horizons and becoming negative and then moving toward 0 for long-term horizons, researchers suggested the use of a state-space model consisting of an I(1) permanent component and an AR(1) stationary component, where the two components are assumed to be independent. They concluded that auto-regression coefficients derived from the state-space model follow a U-shape pattern and thus there is mean-reversion in stock prices. In this paper, we show that only negative autocorrelations are feasible under the assumption that the permanent component and the stationary component are independent in the state-space model. When the two components are allowed to be correlated in the state-space model, we show that the sign of the auto-regression coefficients is not restricted as negative. Monthly return data for all NYSE stocks for the period from 1926 to 2007 support the state-space model with correlated noise processes. However, the auto-regression coefficients of the ARIMA process, equivalent to the state-space model with correlated noise processes, do not follow a U-shaped pattern, but are always positive.

• The Transactions of the Korean Institute of Power Electronics
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• v.25 no.4
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• pp.303-310
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• 2020

Estimating the accurate internal state of lithium ion batteries to increase their safety and efficiency is crucial. Various algorithms are used to estimate the internal state of a lithium ion battery, such as the extended Kalman filter and sliding mode observer. A state-space model is essential in using algorithms to estimate the internal state of a battery. Two principal methods are used to express the state-space model, namely, continuous time and discrete time. In this work, the extended Kalman filter is employed to estimate the internal state of a battery. Moreover, this work presents and analyzes the estimation performance of algorithms consisting of a continuous time state-space model and a discrete time state-space model through static and dynamic profiles.

• Communications for Statistical Applications and Methods
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• v.29 no.6
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• pp.695-708
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• 2022

Recently, several studies have been conducted using state space model. In this study, a dynamic linear model with state space model form is applied to stock data. The monthly returns for 135 Korean stocks are fitted to a dynamic linear model, to obtain an estimate of the time-varying 𝛽-coefficient time-series. The model formula used for the return is a capital asset pricing model formula explained in economics. In particular, the transition equation of the state space model form is appropriately modified to satisfy the assumptions of the error term. k-shape clustering is performed to classify the 135 estimated 𝛽 time-series into several groups. As a result of the clustering, four clusters are obtained, each consisting of approximately 30 stocks. It is found that the distribution is different for each group, so that it is well grouped to have its own characteristics. In addition, a common pattern is observed for each group, which could be interpreted appropriately.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2006.11a
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• pp.173-179
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• 2006

In order to explain a U-shape pattern of stock returns, Fama and French(1988) suggested the state-space model consisting of I(1) permanent component and AR(1) stationary component. They concluded the autoregression coefficient induced from the state-space model follow the U-shape pattern and the U-shape pattern of stock returns was due to both negative autocorrelation in returns beyond a year and substantial mean-reversion in stock market prices. However, we found negative autocorrelation is induced under the assumption that permanent and stationary noise component are independent in the state-space model. In this paper, we derive the autoregression coefficient based on ARIMA process equivalent to the state-space model without the assumption of independency. Based on the estimated parameters, we investigate the pattern of the time-varying autoregression coefficient and conclude the autoregression coefficient from the state-space model of ARIMA(1,1,1) process does not follow a U-shape pattern, but has always positive sign. We applied this result on the data of 1 month retums for all NYSE stocks for the 1926-85 period from the Center for Research in Security Prices.

• Journal of the Korean Society for Precision Engineering
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• v.19 no.5
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• pp.168-175
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• 2002

The hydraulic acoustic attenuator fur an automotive active suspension system is so highly nonlinear and of high order that the analysis in time-domain has been performed quite little. In this paper, a state-space representation of the dynamics for a hydraulic attenuator was presented utilizing the electrical analogy. And the results of experiment were compared with those of simulation to validate the state-space model proposed. The comparison revealed that the state-space model proposed is practically applicable to estimate the dynamic responses of the hydraulic attenuator in time-domain.

• Proceedings of the KIEE Conference
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• 2000.07d
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• pp.2687-2689
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• 2000

In many cases the systems are so complex that it is not possible to obtain reasonable models using physical insight. Also a model based on physical insight contains a number of unknown parameters even if the structure is derived from physical laws. These problems can be solved by system identification. In this paper, Arago's disk system which has both stable and unstable regions is selected as an example for identification and a state-space model is identified using tailor-made model structure of this system. In stable region, a state-space model of Arago's disk system is identified through open loop experiment and a state-space model of unstable region is identified through closed loop experiment after using fuzzy controller to stabilize unstable system.

• Journal of Environmental Science International
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• v.3 no.4
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• pp.349-356
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• 1994

The purpose of this study is to develop a linear reservoir model with Kalman filter using Kalman filter theory which removes a physical uncertainty of :ainfall-runoff process. A linear reservoir model, which is the basic model of Kalman filter, is used to calculate runoff from rainfall in river basin. A linear reservoir model with Kalman filter is composed of a state-space model using a system model and a observation model. The state-vector of system model in linear. The average value of the ordinate of IUH for a linear reservoir model with Kalman filter is used as the initial value of state-vector. A .linear reservoir model with Kalman filter shows better results than those by linear reserevoir model, and decreases a physical uncertainty of rainfall-runoff process in river basin.

• Journal of the Korean Operations Research and Management Science Society
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• v.14 no.1
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• pp.1-15
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• 1989

Multistate survival data with censoring often arise in biomedical experiments. In particular, a four-state space is used for cancer clinical trials. In a four-state space, each patient may either respond to a given treatment and then relapse or may progress without responding. In this four-state space, a model which combines the Markov and semi-Markov models is proposed. In this combined model, the generalized maximum likelihood estimators of the Markov and semi-Markov hazard functions are derived. These estimators are illustrated for the data collected in a study of treatments for advanced breast cancer.

• Nuclear Engineering and Technology
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• v.49 no.1
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• pp.134-140
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• 2017

A well-performed core power control to track load changes is crucial in pressurized water reactor (PWR) nuclear power stations. It is challenging to keep the core power stable at the desired value within acceptable error bands for the safety demands of the PWR due to the sensitivity of nuclear reactors. In this paper, a state-space model predictive control (MPC) method was applied to the control of the core power. The model for core power control was based on mathematical models of the reactor core, the MPC model, and quadratic programming (QP). The mathematical models of the reactor core were based on neutron dynamic models, thermal hydraulic models, and reactivity models. The MPC model was presented in state-space model form, and QP was introduced for optimization solution under system constraints. Simulations of the proposed state-space MPC control system in PWR were designed for control performance analysis, and the simulation results manifest the effectiveness and the good performance of the proposed control method for core power control.

• 제어로봇시스템학회:학술대회논문집
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• 1986.10a
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• pp.321-325
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• 1986

A new control scheme for the state space model of the robot system using the theory of optimal multi-variable structure is presented in this paper. It is proposed to optimize multi-dimensional variable structure systems for obtaining the required stabilizing signal by minimizing a performance index with respect to the state vector in the sliding mode. It is concluded the proposed variable structure controller yields better system dynamic performance than that obtained by using the only linear optimal controller inthat responses for a step disturbance have a shorter setting time, no matter what overshoot values and rising time.