• The Transactions of the Korean Institute of Electrical Engineers D
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• v.54 no.7
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• pp.423-427
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• 2005

In this paper, we proposed a new ARMA model identification which estimate the parameters to make the current prediction error uncorrelated with the past one. As good properties of the proposed method, we show the uniqueness, consistency of the estimate and asymptotic normality of the estimation error. Via simulation results, we show that the proposed method give good estimates for various systems which have different power spectrum. Moreover, the estimation of gyroscope random errors shows that the proposed method is applicable to the real data.

• Korea Trade Review
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• v.47 no.3
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• pp.211-232
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• 2022

Due to the impact of the public health event COVID-19 epidemic, the Chinese futures market showed "Black Swan". This has brought the unpredictable into the economic environment with many commodities falling by the daily limit, while gold performed well and closed in the sunshine(Yan-Li and Rui Qian-Wang, 2020). Volatility is integral part of financial market. As an emerging market and a special precious metal, it is important to forecast return of gold futures price. This study selected data of the SHFE gold futures returns and conducted an empirical analysis based on the generalised autoregressive conditional heteroskedasticity (GARCH)-type model. Comparing the statistics of AIC, SC and H-QC, ARMA (12,9) model was selected as the best model. But serial correlation in the squared returns suggests conditional heteroskedasticity. Next part we established the autoregressive moving average ARMA-GARCH-type model to analysis whether Volatility Clustering and the leverage effect exist in the Chinese gold futures market. we consider three different distributions of innovation to explain fat-tailed features of financial returns. Additionally, the error degree and prediction results of different models were evaluated in terms of mean squared error (MSE), mean absolute error (MAE), Theil inequality coefficient(TIC) and root mean-squared error (RMSE). The results show that the ARMA(12,9)-TGARCH(2,2) model under Student's t-distribution outperforms other models when predicting the Chinese gold futures return series.

• 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.

• Journal of the Korean Data and Information Science Society
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• v.27 no.2
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• pp.559-564
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• 2016

The Durbin-Watson (DW) test in regression model and the Ljung-Box (LB) test in ARMA (autoregressive moving average) model are typical examples of correlated error tests. The DW test is used for detecting autocorrelation of errors using the residuals from a regression analysis. The LB test is used for specifying the correct ARMA model using the first some sample autocorrelations based on the residuals of a tted ARMA model. In this article, simulations with four data generating processes have been carried out to evaluate their performances as correlated error tests. Our simulations show that the DW test is severely dependent on the assumed AR(1) model but isn't sensitive enough to reject the misspecified model and that the LB test reports lackluster performance in general.

• Communications for Statistical Applications and Methods
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• v.10 no.3
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• pp.981-996
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• 2003

Bayesian inference is considered for switching mean models with the ARMA errors. We use noninformative improper priors or uniform priors. The fractional Bayes factor of O'Hagan (1995) is used as the Bayesian tool for detecting the existence of a single change or multiple changes and the usual Bayes factor is used for identifying the orders of the ARMA error. Once the model is fully identified, the Gibbs sampler with the Metropolis-Hastings subchains is constructed to estimate parameters. Finally, we perform a simulation study to support theoretical results.

• The Journal of the Acoustical Society of Korea
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• v.14 no.3
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• pp.37-48
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• 1995

This paper presents an sstimation of ARMA coefficients of noisy ARMA system using generalized total least square (GTLS) method. GTLS problem for ARMA system is defined as minimizing the errors between the noisy output vectors and estimated noisy-free output. The GTLS problem is solved in closed form by eigen-problem and the perturbation analysis of GTLS is presented. Also its recursive solution (recursive GTLS) is proposed using the power method and the covariance formula of the projected output error vector into the input vector space. The simulation results show that GTLS ARMA coefficients estimator is an unbiased estimator and that recursive GTLS achieves fast convergence.

• The Korean Journal of Applied Statistics
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• v.29 no.7
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• pp.1373-1383
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• 2016

The wind energy industry and wind power generation have increased; consequently, the stable supply of the wind power has become an important issue. It is important to accurately predict the wind power with short-term basis in order to make a reliable planning for the power supply and demand of wind power. In this paper, we first analyzed the speed, power and the directions of the wind. The neural network and the time series models (ARMA, ARMAX, ARMA-GARCH, Holt Winters) for wind power generation forecasting were compared based on mean absolute error (MAE). For one to three hour-ahead forecast, ARMA-GARCH model was outperformed, and the neural network method showed a better performance in the six hour-ahead forecast.

• The Transactions of the Korean Institute of Electrical Engineers
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• v.39 no.4
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• pp.380-385
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• 1990

This Paper presents a general algorithm for the parameter estimation of an antoregressive moving average process observed in additive white noise. The algorithm is based on the Gauss-Newton recursive prediction error method. For the parameter estimation, the output measurement is modelled as an innovation process using the spectral factorization, so that noise free RPE ARMA estimation can be used. Using apriori known properties leads to algorithm with smaller computation and better accuracy be the parsimony principle. Computer simulation examples show the effectiveness of the proposed algorithm.

• 제어로봇시스템학회:학술대회논문집
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• 2005.06a
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• pp.1903-1906
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• 2005

We proposed a new variant of correlation approach for ARMA model. The proposed method is is intended to make the current prediction error uncorrelated with the past one. In the investigation of the properties, the uniqueness, consistency and asymptotic normality of the estimate are shown. Via simulation results, we show that the proposed method give good estimates for various systems.

• Communications for Statistical Applications and Methods
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• v.16 no.4
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• pp.723-730
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• 2009

Missing values in time series can be treated as unknown parameters and estimated by maximum likelihood or as random variables and predicted by the expectation of the unknown values given the data. The purpose of this study is to impute missing values which are regarded as the maximum likelihood estimator and random variable in incomplete data and to compare with two methods using ARMA model. For illustration, the Mumps data reported from the national capital region monthly over the years 2001 ${\sim}$ 2006 are used, and results from two methods are compared with using SSF(Sum of square for forecasting error).