• Journal of the Korean Statistical Society
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• v.31 no.3
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• pp.301-314
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• 2002

For autoregressive moving average (ARMA) models, robust unit root tests are developed using M-estimators. The tests are parametric in the sense ARMA parameters are estimated jointly with unit roots. A Monte-Carlo experiment reveals superiority of the parametric tests over the semipararmetric tests of Lucas (1995a) in terms of both empirical sizes and powers.

• Communications for Statistical Applications and Methods
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• v.17 no.2
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• pp.223-229
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• 2010

We consider the asymptotic results of the variance ratio statistic when the underlying processes have moving average(MA) unit roots. This degenerate situation of zero spectral density near the origin cause the limit of the variance ratio to become zero. Its asymptotic behaviors are different from non-degenerating case, where the convergence rate of the variance ratio statistic is formally derived.

• Journal of the Korean Data and Information Science Society
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• v.23 no.4
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• pp.807-814
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• 2012

We know that the exponentially weighted moving average (EWMA) control charts are sensitive to detecting relatively small shifts. Multivariate EWMA control charts are considered for monitoring of variance-covariance matrix when the distribution of process variables is multivariate normal. The performances of the proposed EWMA control charts are evaluated in term of average run length (ARL). The performance is investigated in three types of shifts in the variance-covariance matrix, that is, the variances, covariances, and variances and covariances are changed respectively. Numerical results show that all multivariate EWMA control charts considered in this paper are effective in detecting several kinds of shifts in the variance-covariance matrix.

• Communications for Statistical Applications and Methods
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• v.29 no.4
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• pp.487-498
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• 2022

Social network analysis (SNA) techniques have recently been developed to monitor and detect abnormal behaviors in social networks. As a useful tool for process monitoring, control charts are also useful for network monitoring. In this paper, the degree and closeness centrality measures, in which each has global and local perspectives, respectively, are applied to an exponentially weighted moving average (EWMA) chart and a multinomial cumulative sum (CUSUM) chart for monitoring undirected weighted networks. In general, EWMA charts monitor only one variable in a single chart, whereas multinomial CUSUM charts can monitor a categorical variable, in which several variables are transformed through classification rules, in a single chart. To monitor both degree centrality and closeness centrality simultaneously, we categorize them based on the average of each measure and then apply to the multinomial CUSUM chart. In this case, the global and local attributes of the network can be monitored simultaneously with a single chart. We also evaluate the performance of the proposed procedure through a simulation study.

• The Transactions of The Korean Institute of Electrical Engineers
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• v.67 no.2
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• pp.293-300
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• 2018

We propose a moving object extraction and tracking method for improvement of animal identification and tracking technology. First, we propose a method of merging separated moving objects into a moving object by using FCM (Fuzzy C-Means) clustering algorithm to solve the problem of moving object loss caused by moving object extraction process. In addition, we propose a method of extracting data from a moving object and a method of counting moving objects to determine the number of clusters in order to satisfy the conditions for performing FCM clustering algorithm. Then, we propose a method to continuously track merged moving objects. In the proposed method, color histograms are extracted from feature information of each moving object, and the histograms are continuously accumulated so as not to react sensitively to noise or changes, and the average is obtained and stored. Thereafter, when a plurality of moving objects are overlapped and separated, the stored color histogram is compared with each other to correctly recognize each moving object. Finally, we demonstrate the feasibility and applicability of the proposed algorithms through some experiments.

• The Journal of Engineering Geology
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• v.19 no.3
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• pp.313-321
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• 2009

The relationship between precipitation and groundwater level and the correlation between the moving average of precipitation and goundwater level were analyzed for the Han river watershed in Korean peninsular. Fourteen regions in the watershed were selected and there were somewhat different patterns of seasonal fluctuation of groundwater level data. The groundwater level data tends to decrease in dry spell and increase in wet spell however the range between maximum and minimum values is quite different for each gauging point. We could have stronger correlation between groundwater level for fractured rock aquifer and the moving average of precipitation than the groundwater level for alluvial aquifer. The critical infiltration, which is the maximum daily infiltration averaged throughout watershed, value is turned out to have the range of 10 to 90 mm. We could have stronger correlation when we consider critical infiltration and modify the original precipitation data than we use original precipitation data. We also could have higher correlation coefficient when we consider snowmelt effect for the watershed that has considerable snow event.

• The Journal of The Korea Institute of Intelligent Transport Systems
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• v.12 no.4
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• pp.1-10
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• 2013

This study was conducted to investigate that bus information was used as an information of travel speed. To determine the travel speed on the road, bus information and the information collected from the point detector and the interval detection installed were compared. If bus information has the function of traffic information detector, can provide the travel speed information to road users. To this end, the model of recognizing the traffic patterns is necessary. This study used simple moving-average method, simple exponential smoothing method, Double moving average method, Double exponential smoothing method, ARIMA(Autoregressive integrated moving average model) as the existing methods rather than new approach methods. This study suggested the possibility to replace bus information system into other information collection system.

• The Journal of the Institute of Internet, Broadcasting and Communication
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• v.14 no.5
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• pp.117-121
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• 2014

In the orthogonal frequency division multiplexing system, the prefix inserted between data symbols should be eliminated to apply the Fourier transform on the valid symbol interval. This functional procedure should be based on the accurate symbol timing detection. The symbol timing detection at the receiver side provides the reference for determining the beginning time index of each symbol whose initial point is located at the boundary between the preamble and the payload part. Also, the detection error is one of the main factors in the overall system performance. In this paper the effect of the bandwidth of the moving average filter on the symbol timing detection is discussed. Simulations are carried out to analyze the detection performance for the varying values of the window size of the moving average filter which is related to the filter bandwidth.

• Journal of Power Electronics
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• v.16 no.2
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• pp.717-730
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• 2016

The harmonic components of grid voltage result in oscillations of the calculated phase obtained via phase synchronization. This affects the security and stability of grid-connected converters. Moving average filter, delayed signal cancellation and their related harmonic elimination algorithms are major methods for such issues. However, all of the existing methods have their limitations in dealing with multiple harmonics issues. Furthermore, few studies have focused on a comparison and evaluation of these algorithms to achieve optimal algorithm selections in specific applications. In this paper, these algorithms are quantitatively analyzed based on the derived mathematical models. Moreover, an enhanced moving average filter and enhanced delayed signal cancellation algorithms, which are applicable for eliminating a group of selective harmonics with only one calculation block, are proposed. On this basis, both a comprehensive comparison and a quantitative evaluation of all of the aforementioned algorithms are made from several aspects, including response speed, required data storage size, sensitivity to sampling frequency, and elimination of random noise and harmonics. With the conclusions derived in this paper, better overall performance in terms of harmonic elimination can be achieved. In addition, experimental results under different conditions demonstrate the validity of this study.

• Journal of the Korean Data and Information Science Society
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• v.22 no.6
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• pp.1065-1074
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• 2011

During several decades, many researchers in the field of finance have studied Value at Risk (VaR) to measure the market risk. VaR indicates the worst loss over a target horizon such that there is a low, pre-specified probability that the actual loss will be larger (Jorion, 2006, p.106). In this paper, we compare conditional copula method with two conventional VaR forecasting methods based on simple moving average and exponentially weighted moving average for measuring the risk of the portfolio, consisting of two domestic stock indices. Through real data analysis, we conclude that the conditional copula method can improve the accuracy of portfolio VaR forecasting in the presence of high kurtosis and strong correlation in the data.