• 응용통계연구
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• 제31권2호
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• pp.205-216
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• 2018

본 논문에서는 모형 기반 GARCH 변동성, 실현변동성(realized volatility; RV), 역사적 변동성(historical volatility), 지수가중이동평균(exponentially weighted moving average; EWMA) 등 다양한 변동성 추정 방법을 소개하고, 실현변동성에 비대칭 효과(leverage effect)를 반영한 분계점 실현변동성(threshold-asymmetric realized volatility; T-RV)을 제안하였다. 또한, 예시를 위해 KOSPI 고빈도 수익률 자료의 변동성을 분석하였다.

• 한국태양에너지학회:학술대회논문집
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• 한국태양에너지학회 2008년도 추계학술발표대회 논문집
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• pp.288-293
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• 2008

A predictive model of wind speed in the wind farm has very important meanings. This paper presents an estimation model of wind speed based on time series analysis using the observed wind data at Hangyeong Wind Farm in Jeju island, and verification of the predictive model. In case of Hangyeong Wind Farm and Haengwon Wind Farm, The ARIMA(Autoregressive Integrated Moving Average) predictive model was appropriate, and the wind speed estimation model was developed by means of parametric estimation using Maximum likelihood Estimation.

• Journal of the Korean Data and Information Science Society
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• 제23권6호
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• pp.1117-1125
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• 2012

식중독 발생에 대한 기존 연구에서는 기온과 습도와 같은 기후변수가 주된 설명변수로 취급되어 왔다. 이 논문에서는 주별 식중독 발생건수와 기후변수 간에 관계를 고찰하고 식중독 발생건수를 예측하기 위한 모형으로 포아송 회귀모형과 자기회귀이동평균모형을 비교한다. 비교결과 우리나라 식중독 발생은 시차를 두고 기후 변수에 영향을 많이 받고 있으나 식중독 발생 예측은 이들 변수보다 이전 시점의 식중독 발생 건수에 더 많이 영향을 받는 것으로 나타났으며 포아송 회귀모형은 예측의 관점에서 문제가 있음을 보였다.

• 대한전기학회:학술대회논문집
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• 대한전기학회 1992년도 하계학술대회 논문집 A
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• pp.305-307
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• 1992

This paper presents a technique, which identifies both process noise covariance and sensor noise covariance by using innovation correlation test. A correlation test, which checks whether the square root Kalman filter is workingly optimal or not, is given. The system is stochastic autoregressive moving-average model with auxiliary white noise Input. The linear quadratic Gaussian control is used for minimizing stochastic cost function. This paper indentifies Q, R, and estimates parametric matrics $A(q^{-1}),B(q^{-1}),C(q^{-1})$ by means of extended recursive least squares and model reference control. And The proposed technique has been validated in simulation results on the fourth order system.

• 한국정밀공학회:학술대회논문집
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• 한국정밀공학회 1992년도 추계학술대회 논문집
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• pp.47-51
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• 1992

Automatic detection of tool breakage during NC machining is a key issue not only for improving productivity but to implement the unattended manufacturing system. In this paper, we develop a vibration sensor-based tool breakage detection system for NC milling processes. The system obtains the time-domain vibration signal from the sensor attached on the spindle bracket of our CNC machine and declares tool failures through the on-line monitoring schemes. For on-line detection, our approach is to use the PSC(statistical process control) methods being increasingly used for on-line process control. The main thrust of this paper is to propose and compare the performance of SPC methods including : a) X-bar control scheme, b) S control scheme, c)EWMA (exponentially weighted moving average) scheme, and d) AEWMA (adaptive exponentially weighted moving average) scheme. The performance of the control schemes are compared in terms of the type 1 and 2 error calculated from the experiment data.

• International Journal of Precision Engineering and Manufacturing
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• 제9권1호
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• pp.12-18
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• 2008

This paper describes two run-to-run controllers, a nonlinear multiple exponential-weight moving-average (NMEWMA) controller and a dynamic model-tuning minimum-variance (DMTMV) controller, for photolithography processes. The relationships between the input recipes (exposure dose and focus) and output variables (critical dimensions) were formed using an experimental design method, and the photolithography process model was built using a multiple regression analysis. Both the NMEWMA and DMTMV controllers could update the process model and obtain the optimal recipes for the next run. Quantified improvements were obtained from simulations and real photolithography processes.

• 한국산업융합학회 논문집
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• 제6권4호
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• pp.393-399
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• 2003

In this paper, a self-organizing fuzzy logic controller with hybrid structure is proposed. The structure of the proposed method is composed of a basic fuzzy logic controller and the FARMA SOC(Fuzzy Autoregressive Moving Average Self-organizing Controller). The self-organizing cntroller with hybrid structure has advantage over the FARMA controller as follows. The proposed controller improves poor performance due to the lack of I/O data to calculate predictive output. I executed some computer simulations on the regulation problem of an inverted pendulum system and compared the results of the proposed method with those of the FARMA SOC method.

• 한국산업융합학회 논문집
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• 제19권3호
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• pp.101-108
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• 2016

I propose a hybrid fuzzy controller with a look-up table to improve the performance of the FARMA(Fuzzy Auto-regressive Moving Average) fuzzy controller. The hybrid structure of the proposed method is composed of a fuzzy controller with a look-up table of the PD type and the FARMA fuzzy controller. The proposed method improves poor performance due to the lack of I/O data to calculate predictive output and shows robust performance over the FARMA fuzzy controller when a incorrect Dmax value is selected by trial and error. I executed some computer simulations on the regulation problem of an inverted pendulum system and compared the results with those of the FARMA fuzzy controller.

• 대한음성학회:학술대회논문집
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• 대한음성학회 2006년도 춘계 학술대회 발표논문집
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• pp.143-146
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• 2006

Music is now digitally produced and distributed via internet and we face a huge amount of music day by day. A music summarization technology has been studied in order to help people concentrate on the most impressive section of the song andone can skim a song as listening the climax(chorus, refrain) only. Recent studies try to find the climax section using various methods such as finding diagonal line segment or kernel based segmentation. All these methods fail to capture the inherent structure of music due to polyphonic and noisy nature of music. In this paper, after applying moving average filter to time domain of MFCC/chroma feature, we achieved a remarkable result to capture the music structure.

• Communications for Statistical Applications and Methods
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• 제24권1호
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• pp.81-96
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• 2017

Cumulative logit random effects models are typically used to analyze longitudinal ordinal data. The random effects covariance matrix is used in the models to demonstrate both subject-specific and time variations. The covariance matrix may also be homogeneous; however, the structure of the covariance matrix is assumed to be homoscedastic and restricted because the matrix is high-dimensional and should be positive definite. To satisfy these restrictions two Cholesky decomposition methods were proposed in linear (mixed) models for the random effects precision matrix and the random effects covariance matrix, respectively: modified Cholesky and moving average Cholesky decompositions. In this paper, we use these two methods to model the random effects precision matrix and the random effects covariance matrix in cumulative logit random effects models for longitudinal ordinal data. The methods are illustrated by a lung cancer data set.