• Communications for Statistical Applications and Methods
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• 제21권1호
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• pp.69-80
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• 2014

This paper considers the problem of monitoring the mean of a normally distributed process variable when the objective is to effectively detect both a sustained shift and a linear drift. The design and application of a generalized likelihood ratio (GLR) chart for simultaneously monitoring a sustained shift and a linear drift are evaluated. The GLR chart has the advantage that when we design this chart, we do not need to specify the size of the parameter change. The performance of the GLR chart is compared with that of other control charts, such as the standard cumulative sum (CUSUM) charts and the cumulative score (CUSCORE) charts. And we compare the proposed GLR chart with the GLR charts designed for monitoring only a sustained shift and for monitoring only a linear drift. Finally, we also compare the proposed GLR chart with the chart combinations. We show that the proposed GLR chart has better overall performance for a wide range of shift sizes and drift rates relative to other control charts, when a special cause produces a sustained shift and/or a linear drift in the process mean.

• 응용통계연구
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• 제33권4호
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• pp.467-482
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• 2020

본 논문은 이분산성을 갖는 위치-척도 시계열 모형에서 모수의 변화에 대한 모니터링 절차를 연구한다. 모니터링 절차에서 수정된 잔차의 누적합을 이용한 탐지기를 소개하고 귀무가설과 대립가설 하에서 각각 모니터링 절차에 대한 점근적 성질을 규명한다. 그리고 모의실험과 사례 분석을 통하여 제안한 모니터링 방법의 성능이 우수함을 확인한다.

• 한국전기전자재료학회:학술대회논문집
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• 한국전기전자재료학회 2010년도 하계학술대회 논문집
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• pp.369-369
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• 2010

소자제조 공정의 질과 생산성을 향상시키기 위하여 플라즈마 감시가 필요하다. 본 연구에서는 광반사분광기(Optical Emission Spectroscopy)를 이용하여 소스전력의 변화에 따른 플라즈마 상태 데이터를 수집하였다. 수집된 데이터를 이용한 시계열 신경망 감시 모델을 개발하였으며, 개발된 모델과 CUSUM(Cumulative Sum Control Chart)를 결합하여 플라즈마의 이상 상태를 실시간으로 감시하는 기법을 개발하였다. 매우 우수한 감시 성능을 확인할 수 있었다.

• Journal of the Korean Data and Information Science Society
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• 제24권6호
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• pp.1551-1559
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• 2013

In this paper, we analyze the Korean Won/Japanese 100 Yen exchange rate data based on the ARMA-GARCH model, and perform the test for detecting the parameter changes. As a test statistics, we employ the cumulative sum (CUSUM) test for ARMA-GARCH model, which is introduced by Lee and Song (2008). Our empirical analysis indicates that the KRW/JPY exchange rate series experienced several parameter changes during the period from January 2000 to December 2012, which leads to a fitting of AR-IGARCH model to the whole series.

• 한국통신학회논문지
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• 제34권8B호
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• pp.797-804
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• 2009

최근 VoIP(Voice over IP)나 IMS(IP Multimedia Subsystem)와 같은 멀티미디어를 기반으로 하는 응용에서는 시그널링과 세션 관리를 위해 SIP(Session Initiation Protocol)를 주로 이용하고 있다. 하지만 SIP는 인터넷을 기반으로 하기 때문에 기존 인터넷에서 발생할 보안 위협에 노출되어 있어 특히 멸티미디어와 같은 지연에 민감한 응용들에 서비스 거부 및 서비스 단절과 같은 문제를 야기하는 플러딩 공격에 영향을 받을 수 있다. 하지만 현재 제안된 탐지 기법인 CUSUM(Cumulative Sum), 헬링거 거리, 가변 임계치와 같은 방안들은 정상상태만을 고려하여 탐지하고 있어 지속적으로 변하는 네트워크 상황을 반영하지 못하고 있다. 그러므로 본 논문에서는 이러한 점을 고려하여 SIP INVITE 플러딩 공격 탐지에서 네트워크 상황을 반영 하여 보다 효과적인 플러딩 공격 탐지 방안을 제안한다. 본 방안은 SIP 기반의 INVITE 플러딩 뿐만이 아닌 BYE, CANCEL과 같은 다른 유형의 플러딩 공격 탐지에 적용이 가능하며 기존의 방안들 보다 정밀한 탐지가 가능하다.

• 한국안전학회지
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• 제31권4호
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• pp.35-41
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• 2016

In order to guarantee the process safety and prevent accidents, the deviations from normal operating conditions should be monitored and their root causes have to be identified as soon as possible. The statistical theories-based method among various fault diagnosis methods has been gaining popularity, due to simplicity and quickness. However, according to fault magnitudes, the scalar value generated by statistical methods can be changed and this point can lead to produce wrong information. To solve this difficulty, this work employs PCA (Principal Component Analysis) based method with qualitative information. In the case study of our previous study, the number of assumed faults is much smaller than that of process variables. In the case study of this study, the number of predefined faults is 19, while that of process variables is 6. It means that a fault diagnosis becomes more difficult and it is really hard to isolate a single fault with a small number of variables. The PCA model is constructed under normal operation data in order to get a loading vector and the data set of assumed faulty conditions is applied with PCA model. The significant changes on PC (Principal Components) axes are monitored with CUSUM (Cumulative Sum Control Chart) and recorded to make the information, which can be used to identify the types of fault.

• The Journal of Asian Finance, Economics and Business
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• 제8권9호
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• pp.1-9
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• 2021

This study aimed to investigate the existence of the Feldstein-Horioka (1980) puzzle in international macroeconomics by applying the conditional Autoregressive Distributed Lag (ARDL) model to examine the long-run relationship between national savings and investments in Thailand and China. The input of this study relied on annual national savings and investments as a fraction of GDP during 1980-2019 which was collected from China National Bureau of Statistics (NBS) and Thailand National Economic and Social Development Council (NESDC). Hypothetically, Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests were applied to test the stationary properties and to investigate the integration level of selected time series. The empirical results, confirmed by cumulative sum (CUSUM) and cumulative sum square (CUSUMSQ), maintained no serial correlation and structural break problems. The finding of this study suggested that the Feldstein-Horioka puzzle in Thailand did not exist significantly. Thailand's national savings and investments nexus was independent, following the classic economic idea that financial liberalization, or perfect capital mobility, allowed national savings and investments to flow freely to countries with better interest rates. Whereas, a strong significant correlation was found in the case of China during the fixed exchange rate regime switching in 1994 and post WTO participation after 2001-2019.

• Communications for Statistical Applications and Methods
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• 제30권4호
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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.

• Journal of Radiation Protection and Research
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• 제44권2호
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• pp.64-71
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• 2019

Background: It is very difficult to distinguish between a radioactive contamination source and background radiation from natural radionuclides in the marine environment by means of online monitoring system. The objective of this study was to investigate a statistical process for triggering abnormal level of count rate data measured from our on-line seawater radioactivity monitoring. Materials and Methods: Count rate data sets in time series were collected from 9 monitoring posts. All of the count rate data were measured every 15 minutes from the region of interest (ROI) for $^{137}Cs$ ($E_{\gamma}=661.6keV$) on the gamma-ray energy spectrum. The Shewhart ($3{\sigma}$), CUSUM, and Bayesian S-R control chart methods were evaluated and the comparative analysis of determination methods for count rate data was carried out in terms of the false positive incidence rate. All statistical algorithms were developed using R Programming by the authors. Results and Discussion: The $3{\sigma}$, CUSUM, and S-R analyses resulted in the average false positive incidence rate of $0.164{\pm}0.047%$, $0.064{\pm}0.0367%$, and $0.030{\pm}0.018%$, respectively. The S-R method has a lower value than that of the $3{\sigma}$ and CUSUM method, because the Bayesian S-R method use the information to evaluate a posterior distribution, even though the CUSUM control chart accumulate information from recent data points. As the result of comparison between net count rate and gross count rate measured in time series all the year at a monitoring post using the $3{\sigma}$ control charts, the two methods resulted in the false positive incidence rate of 0.142% and 0.219%, respectively. Conclusion: Bayesian S-R and CUSUM control charts are better suited for on-line seawater radioactivity monitoring with an count rate data in time series than $3{\sigma}$ control chart. However, it requires a continuous increasing trend to differentiate between a false positive and actual radioactive contamination. For the determination of count rate, the net count method is better than the gross count method because of relatively a small variation in the data points.

• 대한정형외과학회지
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• 제55권2호
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• pp.143-153
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• 2020

목적: 58예의 직접전방 접근법을 통한 인공 고관절 치환술의 임상결과와 학습곡선을 분석하여 학습능력이 향상되는 시점에 대하여 알아보고자 하였다. 대상 및 방법: 2016년 11월부터 2018년 11월까지 58명의 환자를 대상으로 직접전방 접근법을 사용한 인공 고관절 치환술을 시행하였다. 초기 시행한 29명과 후기 시행한 29명을 후향적으로 비교분석하였다. 수술시간과 합병증(대전자 견열 골절, 외측 대퇴피신경 손상, 이소성 골화증, 감염, 탈구 등)을 바탕으로 분석하였다. 통계적 방법은 양 군 간에 대응표본 T 검정, 카이제곱 검정과 누적합법(cumulative sum, CUSUM) 분석을 사용하였다. 결과: 수술 시간은 전치환술은 평균 132.1분, 반치환술은 평균 79.7분으로 양 군에서 유의한 차이를 보였다. 수술 기간에 따른 CUSUM 분석을 시행하였고, 전치환술에서는 16번째 증례, 반치환술에서는 14번째 증례부터 수술시간이 각각 평균 수술시간보다 감소하였다. 합병증으로 전반기에 5예, 후반기에 0예로 총 5예의 대전자 견열골절이 있었으며, 외측대퇴피하신경 손상은 전반기 8예, 후반기 2예로 총 10예, 이소성 골화증은 전반기 3예, 후반기 2예로 총 5예, 탈구와 감염은 각각 전반기 1예씩, 기타 합병증 3예가 있었다. 전반기 1년간 수술 중 발생한 대전자 견열골절은 5예(17.2%), 후반기에는 0예(0%)가 있었으며 이를 CUSUM 분석을 통해 모니터링하였으나 증례가 많지 않아 유의한 차이를 보이지는 않았다. 결론: 직접전방 접근법을 이용한 인공 고관절 치환술은 해부학적 이해가 선행되어야 하고, 수술 시야의 확보가 어렵기 때문에 습득하는 데 최소 30예 이상의 학습곡선이 필요하다.