• 한국경영과학회지
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• 제42권3호
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• pp.13-24
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• 2017

This paper aims to implement "structural changes detection procedure" in pairs trading algorithm and to show that the proposed approach outperforms the extant pair trading algorithm. Structural changes in pairs trading are defined in terms of changes in cointegrating factors and broken cointegration relationship. These changes are designed to test extant structural changes and unit root test methodologies. The simulation finds that expanding the changes in structure, increasing the mean reverting process of spread, and extending the consecutive days of broken cointegration will increase the performances of the proposed algorithm. Empirical study results are also consistent those of the simulation studies. The proposed algorithm outperforms the extant algorithm relative to risk and return given that the cumulative profit/loss has a significant upward-slope with minimal variance.

• Journal of the Korean Statistical Society
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• 제36권4호
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• pp.501-522
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• 2007

We propose an estimation procedure that can be used for detecting structural changes in the seasonal cointegrated vector autoregressive model. The asymptotic properties of the estimates and the test statistics for the parameter change are provided. A simulation example is presented to illustrate this method and its concept.

• 한국전산구조공학회:학술대회논문집
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• 한국전산구조공학회 2004년도 가을 학술발표회 논문집
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• pp.550-557
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• 2004

In this paper, structural damage in PSC bridges is monitored by using model-based damage detection methods. First numerical experiments on the test structure are described. Dynamic responses of the test structures are obtained fur several damage scenarios. The change in natural frequency and the change in nude shape curvature are selected as features to represent the states of the structure. Next a damage localization algorithm from monitoring the changes in natural frequency is outlined. Also, the damage localization algorithm from monitoring the changes in nude shapes is outlined. Finally, the damage localization algorithms are used to predict damage in the test structure. The results of the analysis indicate that the model-based damage detection methods correctly predicted damage in the test structure.

• Communications for Statistical Applications and Methods
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• 제24권4호
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• pp.367-382
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• 2017

We consider an infinite-order long-memory heterogeneous autoregressive (HAR) model, which is motivated by a long-memory property of realized volatilities (RVs), as an extension of the finite order HAR-RV model. We develop bootstrap tests for structural mean or variance changes in the infinite-order HAR model via stationary bootstrapping. A functional central limit theorem is proved for stationary bootstrap sample, which enables us to develop stationary bootstrap cumulative sum (CUSUM) tests: a bootstrap test for mean break and a bootstrap test for variance break. Consistencies of the bootstrap null distributions of the CUSUM tests are proved. Consistencies of the bootstrap CUSUM tests are also proved under alternative hypotheses of mean or variance changes. A Monte-Carlo simulation shows that stationary bootstrapping improves the sizes of existing tests.

• Ocean and Polar Research
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• 제37권4호
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• pp.357-368
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• 2015

This study analyzed structural changes and asymmetry of price volatility during the period before and after a point of structural change in price volatility, using the Korean fresh common squid daily retail price data from January 1, 2004 to September 30, 2015. This study utilized the following analytical methods: the unit-root test was applied to ensure the stability of the data, the Quandt-Andrews breakpoint test was applied to find the point of structural change, and the Glosten-Jagannathan-Runkle GARCH and EGARCH models were applied to investigate the asymmetry of price volatility. The empirical results of this study are as follows. First, ADF, PP, KPSS and Zivot-Andrews tests showed that the daily retail price change rate of the Korean fresh common squid differentiated by logarithm was stable. Secondly, the ARIMA (2,1,2) model was selected by information criteria such as AIC, SC, and HQ. Thirdly, the Quandt-Andrews breakpoint test found that a single structural change in price volatility occurred on June 11, 2009. Fourthly, the Glosten-Jagannathan-Runkle GARCH and EGARCH models showed that estimates of coefficients within the models were statistically significant before and after structural change and also that asymmetry as a leverage effect existed before and after structural change.

• 한국통계학회:학술대회논문집
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• 한국통계학회 2002년도 추계 학술발표회 논문집
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• pp.279-285
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• 2002

In this paper we consider the problem of testing for structural changes in ARIMA models based on a cusum test. In particular, the proposed test procedure is applicable to testing for a change of the status of time series from stationarity to nonstationarity or vice versa. The idea is to transform the time series via differencing to make stationary time series. We propose a graphical method to identify the correct order of differencing.

• Structural Engineering and Mechanics
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• 제76권5호
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• pp.653-661
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• 2020

The paper presents a study regarding rubber compressibility behavior. The objective is to analyze the effect of compression degree of rubber on its mechanical properties and propose a new methodology based on reverse engineering to predict compressibility degree based on uniaxial stretching test and Finite Element Analysis (FEA). In general, rubbers are considered to be almost incompressible and Poisson's ratio is close to 0.5. Since this property is intimately related to the rubber packing density, little changes in Poisson's ratio can lead to significant changes regarding mechanical behavior. The deviatory hyperelastic constants were obtained through experimental data fitting by least squares method for the most relevant constitutive models implemented in commercial software Abaqus, such as: Neo-Hooke, Mooney-Rivlin, Ogden, Yeoh and Arruda-Boyce, whereas the hydrostatic part was determined through an optimization algorithm implemented in the Abaqus environment by Python scripting. The simulation results presented great influence of the Poisson's ratio in the rubber specimen mechanical behavior mainly for high strain levels. A conventional pure volumetric compression test was also carried out in order to compare the results obtained by the proposed methodology.

• Communications for Statistical Applications and Methods
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• 제15권4호
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• pp.551-562
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• 2008

보험분야에서 지급준비금(loss reserve)을 추정할 때에는 보험사고의 발생년도와 사건발생 이후의 경과년도에 따라 지급된 보험금을 자료로 사용하게 되는데, 이것은 흔히 삼각분할표(run-off triangular table)의 형태로 주어진다. 이러한 삼각분할표 자료에 대하여 지급준비금 추정에 주로 사용되는 방법으로 사다리법(chain-ladder method)이 있는데, 이것은 사고발생년도부터 보험금이 정산되는 시점까지의 경과기간동안 지급된 누적 보험금의 변화율(진전계수)을 추정함으로써 지급준비금을 추정하는 것이다. 이러한 사다리법은 보험사고의 발생년도에 따른 진전계수의 변화가 없다는 가정을 기본전제로 하고 있다. 그러나 여러 가지 사회 환경적 요인으로 인하여 시간이 지남에 따라 지급보험금의 진전패턴이 달라질 수 있고, 본 논문에서는 사건의 변화에 따른 구조적 변화점 유무를 검정할 수 있는 검정법을 제안하고자 한다. 또한 이를 실제 예제에 적용 고찰해 보고자 한다.

• Tribology and Lubricants
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• 제36권6호
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• pp.332-341
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• 2020

High-speed turbomachinery implements gas foil bearings (GFBs) due to their distinctive advantages, such as high efficiency, lesser part count, and lower weight. This paper provides the test results of the static structural stiffnesses and loss factors of bump-type foil thrust bearings with increasing preload and bearing deflection. The focus of the current work is to experimentally quantify variability in structural stiffnesses and loss factors among the four test thrust bearings with identical design values and material of the bump and top foil geometries using the same (open-source) fabrication method. A simple test setup, using a rigidly mounted non-rotating shaft and thrust disk, measures the bearing bump deflections with increasing static loads on the test bearing. The inner and outer diameters of the test bearings are 41 mm and 81 mm, respectively. The loss factor, best-representing energy dissipation in the test bearings, is estimated from the area inside the local hysteresis loop of the load versus the bearing deflection curve. The measurements show that structural stiffnesses and loss factors of the test bearings significantly rely on applied preloads and bearing deflections. Local structural stiffnesses of the test bearings increase with applied preloads but decrease with bearing deflections. Changes of loss factors are less sensitive to applied preloads and bearing deflections compared to those of structural stiffnesses. Up to 35% variability in static load structural stiffnesses is found between bearings, while up to 30% variability in loss factors is found between bearings.

• Journal of the Korean Data and Information Science Society
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• 제14권3호
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• pp.641-651
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• 2003

This study suggests the hybrid models for interest rate forecasting using structural changes (or change points). The basic concept of this proposed model is to obtain significant intervals caused by change points, to identify them as the change-point groups, and to reflect them in interest rate forecasting. The model is composed of three phases. The first phase is to detect successive structural changes in the U. S. Treasury bill rate dataset. The second phase is to forecast the change-point groups with data mining classifiers. The final phase is to forecast interest rates with backpropagation neural networks (BPN). Based on this structure, we propose three hybrid models in terms of data mining classifier: (1) multivariate discriminant analysis (MDA)-supported model, (2) case-based reasoning (CBR)-supported model, and (3) BPN-supported model. Subsequently, we compare these models with a neural network model alone and, in addition, determine which of three classifiers (MDA, CBR and BPN) can perform better. For interest rate forecasting, this study then examines the prediction ability of hybrid models to reflect the structural change.