• 자원ㆍ환경경제연구
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• 제9권3호
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• pp.515-544
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• 2000

This paper shows that various fractionally integrated univariate and multivariate are remarkably successful in representing annual temperature series and also very long series of tree ring widths, which are often used as a proxy for temperature. The analysis also suggests that human recorded temperature series are not inconsistent with being generated by a stationary, long memory process. From the empirical results, we should be noted that the statistically significant positive trend coefficients may well be due to small sample sizes. These results cast some doubt on the basic assumption that global warming is definitely occurring.

• 통합자연과학논문집
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• 제7권3호
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• pp.200-207
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• 2014

Average number of samples to signal (ANSS) and average time to signal (ATS) are the most widely used criterion for comparing the efficiencies of the quality control charts. In this study the method of evaluating ANSS and ATS values of the multivariate exponentially weighted moving average (EWMA) control charts with Markov chain approach was presented when the production process is in control state or out of control state. Through numerical results, it is found that when the number of transient state r is less than 50, the calculated ANSS and ATS values are unstable; and ATS(r) tends to be stabilized when r is greater than 100; in addition, when the properties of multivariate EWMA control chart is evaluated using Markov chain method, the number of transient state r requires bigger values when the smoothing constatnt ${\lambda}$ becomes smaller.

• Journal of the Korean Statistical Society
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• 제26권3호
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• pp.397-405
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• 1997

Recently maximum likelihood estimators using unconditional likelihood function are used for testing unit roots. When one wants to use this method the determinant term of initial values in the multivariate unconditional likelihood function produces a complicated function of the elements in the coefficient matrix and variance matrix. In this paper an approximation of the determinant term is calculated and based on this aproximation an approximated unconditional likelihood function is calculated. The approximated unconditional maximum likelihood estimators can be used to test for unit roots. When multivariate process has one unit root the limiting distribution obtained by this method and the limiting distribution using exact unconditional likelihood function are the same.

• Journal of the Korean Data and Information Science Society
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• 제28권4호
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• pp.937-945
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• 2017

The purpose of using a control chart is to detect any change that occurs in the process. When control charts are used to monitor processes, we want to identify this changes as quickly as possible. Many problems in quality control involve a vector of observations of several characteristics rather than a single characteristic. Multivariate CUSUM or EWMA charts have been developed to address the problem of monitoring covariance matrix or the joint monitoring of mean vector and covariance matrix. However, control charts tend to work poorly when we use the highly correlatted variables. In order to overcome it, Hawkins (1991) proposed the use of regression adjustment variables. In this paper, to monitor covariance matrix, we investigate the performance of MEWMA-type control charts with and without the use of regression adjusted variables.

• 한국가스학회지
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• 제11권3호
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• pp.13-18
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• 2007

다변량 통계 분석법(Multivariate statistical analysis method)의 대표적 방법인 다중 선형 회귀법(Multiple linear regression. MLR)을 이용하여 2성분계 혼합물의 인화점을 회귀 분석하고 예측하였다. 가연성 물질의 인화점에 대한 예측은 실제 화학 공정 설계에서 화재 및 폭발 위험성을 판단하는 중요한 부분 중의 하나이다. 본 연구에서는 순수 성분의 물성 자료만을 이용하여 2성분계 혼합물의 인화점 실험 자료에 대해 다중 선형 회귀법(MLR)을 수행하였고, 이를 이용하여 새로운 혼합물에 대한 인화점을 예측하였다. 2성분계 혼합물의 인화점에 대한 MLR의 회귀 성능과 새로운 혼합물에 대한 예측 성능을 알아보기 위해, 기존의 인화점 추정 방법인 Raoult의 법칙과 Van Laar식에 의한 추정값과 비교해 보았다.

• 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.

• 품질경영학회지
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• 제29권4호
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• pp.38-53
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• 2001

In resolving industrial quality control problems, a vector of multiple quality characteristic variables is involved rather than a single variable. However, it is not guaranteed that a multivariate control chart based on statistical methods can monitor abnormal signal in case that small changes of relationship between each variables causes abnormal production process. Hence a quality control system for real-time monitoring of the multi-dimensional quality characteristic vector under a multivariate normal process is needed to enhance tile production system quality performance. A pattern analysis approach based on self-organizing map (SOM), an unsupervised learning technique of neural network, is applied to the design of such a quality control system. In this study we present a new material quality control system based on pattern analysis approach and illustrate the effectiveness of proposed system using actual electronic company material data.

• 산업경영시스템학회지
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• 제34권2호
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• pp.1-8
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• 2011

This paper proposes a variable sampling interval multivariate $T^2$ control chart with sampling at fixed times, where samples are taken at specified equally spaced fixed time points and additional samples are allowed between these fixed times when indicated by the preceding $T^2$ statistics. At fixed sampling points, the $T^2$ statistics are composed of all quality characteristics and a part of quality characteristics are selected to obtain $T^2$ statistics at additional sampling points. A Markov chain approach is used to evaluate the performance of the proposed chart. Numerical studies for the performance of the proposed chart show that the proposed chart reduces the observations obtained from a process and detects the assignable cause of a process with low correlated quality characteristics quickly.

• 한국기계가공학회지
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• 제20권11호
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• pp.108-114
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• 2021

In this study, a multivariate function was applied to the genetic algorithm for D-type lugs currently used in shipyards to closely analyze the behavioral form of weight loss without double plates. An optimal lifting lug structure design without attachments is proposed. MATLAB R2016a was used to design features by applying multivariate functions to genetic algorithms. Furthermore, the design was achieved by deriving the optimal shapes of lugs using genetic algorithms. The shapes of the designed lugs were validated for structural bonding using the structural analysis program ANSYS 2020 R2, and a robust design of lugs with no appendages was developed.

• 응용통계연구
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• 제35권3호
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• pp.395-406
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• 2022

본 논문에서는 장기 종속 다변량 시계열 자료에 대한 이상점 탐지 기법을 연구한다. 기존 다변량 시계열 이상점 탐지 방법은 단기 종속 시계열 모형인 VARMA에 기반한 방법으로, 장기억성을 띈 다변량 시계열 자료에는 적합하지 않다. 자기회귀 모형을 통해서 장기 종속성, 즉 장기억성을 고려하기 위해서는 높은 차수의 모형이 필요하고, 이는 곧 추정의 불안성으로 이어지기에 장기억성을 효율적으로 다룰 수 없기 때문이다. 따라서, 본 논문은 이러한 문제를 보완하고자 VHAR 구조에 기반한 이상점 탐지 방법을 제시하고자 한다. 또한 더욱 정확한 추론을 위해서 로버스트한 방법을 이용하여 VHAR 계수를 추정하였고 이를 활용하여 이상점을 탐지하였다. 모의실험 결과 우리가 제안한 방법론이 기존 VARMA에 기반한 방법론보다 이상점 탐지에 더 효과적임을 살펴볼 수 있었다. 주가지수에 대한 실증자료 분석에서도 기존의 방법론은 탐지하지 못하는 추가 이상점을 찾음을 확인할 수 있었다.