• Journal of the Korean Statistical Society
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• v.36 no.2
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• pp.257-274
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• 2007

This paper considers the tests for the presence of smooth transition non-linearity in the partially nonstationary vector autoregressive model. The transition parameters cannot be identified under the null hypothesis of linearity, and therefore this paper develops the tests for smooth transition nonlinearity, the associated asymptotic theory and the bootstrap inference. The Monte Carlo simulation evidence shows that the bootstrap inference generates moderate size and power performances.

• 제어로봇시스템학회:학술대회논문집
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• 2001.10a
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• pp.39.3-39
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• 2001

Since Kalman filter and wavelet transform techniques are both suitable for a nonstationary process, wavelet-Kalman filter was proposed and applied to various industrial fields. However, the wavelet-Kalman filter subjected to model uncertainty with nonstationary process has not been considered. Thus, the robust wavelet-Kalman filter method is proposed in this paper. The proposed method can prevent the degradation of filter performance when parameter uncertainty exists in both the state and measurement matrices and preserve the merits of the standard Kalman filter in the sense that it produces optimal estimates. A simple example shows that the proposed approach outperforms the standard Kalman filter and the nominal wavelet-Kalman filter.

• The Journal of Fisheries Business Administration
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• v.29 no.2
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• pp.97-110
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• 1998

This paper tries to estimate Korea's import demand function for fisheries using cointegration analysis. The estimation function consists of one dependent variable-import quantity of fisheries(FTIW) and two independent variables-relative price(RP) between importable and domestic products and real income(GDP). As it has been empirically found out that almost all of time series of macro-variables such as GDP, price index are nonstationary, existing studies which ignore this fact need to be reexamined. Conventional econometric method can not analyze nonstationary time series in level. To perform the analysis, time series should be differenciated until stationarity is guaranteed. Unfortunately, the difference method removes the long run element of data, and so leads to difficulties of interpretation. But according to new developed econometric theory, cointegration approach could solve these problems. Therefore this paper proceeds the estimation on the basis of cointegration analysis, because the quartly variables from 1988 to 1997 used in the model is found out to be nonstationary. The estimation results show that all of the variables are statistically significant. Therefore Korea's import demand for fisheries has been strongly affected by the variation of real income and the relative price.

• Proceedings of the Acoustical Society of Korea Conference
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• 1998.08a
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• pp.225-230
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• 1998

In this paper, a Kalman filter approach for enhancing speech signals degraded by statistically independent additive nonstationary noise is developed. The autoregressive hidden markov model is used for modeling the statistical characteristics of both the clean speech signal and the nonstationary noise process. In this case, the speech enhancement comprises a weighted sum of conditional mean estimators for the composite states of the models for the speech and noise, where the weights equal to the posterior probabilities of the composite states, given the noisy speech. The conditional mean estimators use a smoothing spproach based on two Kalmean filters with Markovian switching coefficients, where one of the filters propagates in the forward-time direction with one frame. The proposed method is tested against the noisy speech signals degraded by Gaussian colored noise or nonstationary noise at various input signal-to-noise ratios. An app개ximate improvement of 4.7-5.2 dB is SNR is achieved at input SNR 10 and 15 dB. Also, in a comparison of conventional and the proposed methods, an improvement of the about 0.3 dB in SNR is obtained with our proposed method.

• The Journal of the Acoustical Society of Korea
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• v.15 no.3E
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• pp.13-18
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• 1996

A real-time identifier for the nonstationary time-varying signals and systems was implemented using a low cost DSP (digital signal processing) chip. The identifier is comprised of I/O units, a central processing unit, a control unit and its supporting software. In order t estimate the system accurately and to reduce quantization error during arithmetic operation, the firmware was programmed with 64-bit extended precision arithmetic. The performance of the identifier was verified by comparing with the simulation results. The implemented real-time identifier has negligible quantization errors and its real-time processing capability crresponds to 0.6kHz for the nonstationary AR (autoregressive) model with n=4 and m=1.

• The Journal of Engineering Geology
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• v.4 no.3
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• pp.283-295
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• 1994

A new nonstationary dual-porosity fractal model is presented which simulates a nonsteady state block-to-fissure flow with or without fracture skin between the block and the fissure in a fractal aquifer. The model includes weilbore storage and well loss effects on the production well. Type curves for different flow dimensions with different values of hydraulic parameters are created. The application of the model to experimental data in fractured aquifer is described.

• Communications for Statistical Applications and Methods
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• v.18 no.1
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• pp.13-21
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• 2011

This paper studies the analysis of multivariate nonstationary time series with seasonality. Three types of multivariate time series models are considered: seasonal cointegration model, nonseasonal cointegration model with seasonal dummies, and vector autoregressive model in seasonal differences that are compared for forecasting performances using Korean macro-economic time series data. The cointegration models produce smaller forecast errors in short horizons; however, when longer forecasting periods are considered the vector autoregressive model appears preferable.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.14 no.3
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• pp.463-472
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• 1994

A method of stochastic response analysis of base-isolated fluid-filled pool structures subject to random ground excitations is studied. Fluid-structure interaction effects between the flexible walls and contained fluid are taken into account in the form of added mass matrix derived by FEM modeling of the contained fluid motion. The stationary ground excitation is represented by Modified Clough-Penzien spectral model and the nonstationary one is obtained by imposing an envelope function on the stationary one. The stationary and nonstationary response statistics of the two different isolation systems are obtained by solving the governing Lyapunov covariance matrix differential equations.

• Proceedings of the Korea Water Resources Association Conference
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• 1997.05a
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• pp.441-446
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• 1997

• Journal of Korea Water Resources Association
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• v.47 no.5
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• pp.447-457
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• 2014

This research focuses on the changes of return period for nonstationary rainfall data in which exceedance or nonexceedance probability varies depending on time. We examined two definitions of return period under nonstationarity and also performed nonstationary frequency analysis using the nonstationary Gumbel model to investigate variations of return period in Korea. Seogwipo, Inje, Jecheon, Gumi, Mungyeong, and Geochang were selected as subject sites of application. These sites have a trend in rainfall data as well as having more than 30 years data. As the results of application, the return periods considering nonstationarity are different with those considering stationarity. The differences of return periods between nonstationarity and stationarity increase as growing return period increases. In addition, the return period using the expected waiting time method shows lower value than that using the expected number of event method.