• 응용통계연구
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• 제33권6호
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• pp.723-738
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• 2020

본 논문에서는 추세-정상시계열과 차분-정상시계열을 판별하는 방법에 대해 연구한다. 두 시계열 모형은 시계열적 특징, 충격의 지속성 여부, 시계열을 정상화시키는 방법 등이 모두 다르므로, 어떤 모형을 선택하냐에 따라 분석 방법이나 해석에 차이가 발생한다. 따라서 시계열 자료를 분석할 때 추세-정상성과 차분-정상성을 판별하는 것은 매우 중요한 일이다. 두 시계열을 구분하는 중요한 기준은 단위근의 존재 여부이므로, 단위근 검정 결과를 활용할 수 있다. 최근 연구 결과들을 살펴보면, 다양한 시계열 모형을 적합시킬 때 뿐만 아니라 비정상 자기회귀모형의 차분 차수를 결정할 때도 adaptive lasso와 같은 벌점화 추정방법을 도입, 사용하고 있다. 본 논문에서도 adaptive lasso를 이용하여 추세-정상시계열과 차분-정상시계열을 판별하는 방법을 제안, 연구를 진행하였다. 단위근 검정을 이용한 분류 방법과 adaptive lasso 추정량을 기초로 한 분류 방법에 대한 비교 모의실험을 수행하였고, 그 결과 추세-정상시계열이 참인 경우는 adaptive lasso 방법의 분류 정확도가 단위근 검정방법보다 좀 더 우세하며, 차분-정상시계열의 경우에는 반대로 정확도가 떨어지는 것을 확인할 수 있었다.

• 한국방재안전학회논문집
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• 제13권3호
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• pp.15-28
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• 2020

본 논문에서는 미계측 유역에 적용할 수 있는 갈수지수 산정 회귀모형을 개발하고자 하였다. 30개의 중권역 유역을 대상으로 국가수자원종합관리시스템에서 제공하는 장기유출자료를 이용하여 평균 갈수량과 평균저수량, 지속기간별 빈도별 갈수지수를 산정하였으며 이를 유역특성인자 18개와 기상특성인자 3개와의 상관 분석을 통하여 최종적으로 유역면적, 유역 평균 표고, 유역 평균 경사, 수계 밀도, 유출곡선지수, 연증발산량, 연강수량을 선정하여 다중회귀분석을 수행하여 갈수지수 회귀모형을 개발하였다. 개발된 회귀모형을 평가하기 위하여 10개의 검증유역을 미계측 유역으로 간주하여 평균제곱근오차(RMSE) 와 평균절대오차(MAE)를 이용하여 정확도를 추정하였다. 또한 기존의 평균갈수량 산정 회귀모형과의 비교를 통하여 본 논문에서 개발한 모형의 우수성을 검토하였다. 기존의 미계측 유역의 평균 갈수량 회귀모형과 비교·분석에서 보다 우수한 결과를 나타내었는데 이는 기존의 회귀모형보다 다양한 유역 특성인자와 수문특성인자를 고려하여 회귀모형을 개발하였기 때문인 것으로 판단된다.

• Journal of the Korean Statistical Society
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• 제26권3호
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• pp.407-416
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• 1997

Suppose that { $X_{i}$ } is a stationary AR(1) process and { $Y_{j}$ } is an ARX process with { $X_{i}$ } as exogeneous variables. Let $Y_{j}$ $^{*}$ be the stochastic process which is the sum of $Y_{j}$ and a nonstochastic trend. In this paper we consider the problem of estimating the conditional probability that $Y_{{n+1}}$$^{*}$ is bigger than $X_{{n+1}}$, given $X_{1}$, $Y_{1}$$^{*}$,..., $X_{n}$ , $Y_{n}$ $^{*}$. As an estimator for the tolerance probability, an Mann-Whitney statistic based on least squares residuars is suggested. It is shown that the deviations between the estimator and true probability are stochatically bounded with $n^{{-1}$2}/ order. The result may be applied to the stress-strength reliability theory when the stress and strength variables violate the classical iid assumption.umption.n.

• 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.

• Membrane and Water Treatment
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• 제6권3호
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• pp.225-235
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• 2015

During low-pressure membrane treatments of cyanobacterial cells, including microfiltration (MF) and ultrafiltration (UF), there have reportedly been releases of intracellular compounds including cyanotoxins and compounds with an earthy-musty odor into the water, probably owing to cyanobacterial cell breakage retained on the membrane. However, to our knowledge, no information was reported regarding the effect of growth phase of cyanobacterial cells on the release of the intracellular compounds. In the present study, we used a geosmin-producing cyanobacterium, Anabaena smithii, to investigate the effect of the growth phase of the cyanobacterium on the release of intracellular geosmin during laboratory-scale MF experiments with the cells in either the logarithmic growth or stationary phase. Separate detection of damaged and intact cells revealed that the extent of cell breakage on the MF membrane was almost the same for logarithmic growth and stationary phase cells. However, whereas the geosmin concentration in the MF permeate increased after 3 h of filtration with cells in the logarithmic growth phase, it did not increase during filtration with cells in the stationary phase: the trend in the geosmin concentration in the MF permeate with time was much different between the logarithmic growth and stationary phases. Adsorption of geosmin to algogenic organic matter (AOM) retained on the MF membrane and/or pore blocking with the AOM were greater when the cells were in the stationary phase versus the logarithmic growth phase, the result being a decrease in the apparent release of intracellular geosmin from the stationary phase cells. In actual drinking water treatment plants employing membrane processes, more attention should be paid to the cyanobacterial cells in logarithmic growth phase than in stationary phase from a viewpoint of preventing the leakage of intracellular earthy-musty odor compounds to finished water.

• Communications for Statistical Applications and Methods
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• 제26권1호
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• pp.27-34
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• 2019

We study the effect of detrending on the coherency between two time series processes. Many economic and financial time series variables include nonstationary components; however, we analyze the two most popular cases of stochastic and deterministic trends. We analyze the asymptotic behavior of coherency under incorrect detrending, which includes the cases of first-differencing the deterministic trend process and, conversely, the time trend removal of the unit root process. A simulation study is performed to investigate the finite sample performance of the sample coherency due to incorrect detrending. Our work is expected to draw attention to the possible distortion of coherency when the series are incorrectly detrended. Further, our results can extend to various specification of trends in aggregate time series variables.

• 한국대기환경학회지
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• 제32권6호
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• pp.603-612
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• 2016

The objective of this study was to estimate the emission characteristics for PM, $PM_{10}$, and $PM_{2.5}$ in the various stationary sources. The particulate matters collected in the various stationary sources such as power plants (Coal and B-C oil), incinerators(municipal and industrial waste), and glass furnaces. The PM and $PM_{10}$, PM and $PM_{2.5}$, $PM_{10}$ and $PM_{2.5}$ samples were collected using the cyclone type $PM_{10}$, $PM_{2.5}$ samplers and 30 species(19 inorganic species, 9 ionic species, OC and EC) were analyzed by ICP, IC, and TOR/IMPROVE methods. The mass concentrations of PM, $PM_{10}$, $PM_{2.5}$ from nine stationary sources ranged $0.63{\sim}9.58mg/Sm^3$, $0.26{\sim}7.47mg/Sm^3$ and $0.13{\sim}6.34mg/Sm^3$, respectively. The level of $PM_{10}$, $PM_{2.5}$ portion in PM calculated 0.63~0.99, 0.38~0.94, respectively. In the case of emission trend for species, power plant showed high concentrations for Al, Mg, Na, Si, V and $SO_4{^{2-}}$, respectively. Also, Ca, Fe, K, Si, $Cl^-$, and $K^+$ showed high in incinerator. In the case of glass furnace, Na, Pb, K, Si, $Na^+$ and $SO_4{^{2-}}$ represented high concentrations. Power plant showed higher EC/OC concentrations than other sampling sites. These results suggest the possible role for complement establishment process of emission inventory and emission management for PM.

• Structural Engineering and Mechanics
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• 제85권4호
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• pp.531-543
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• 2023

The existing concrete bridges are time-varying working systems, where the maintenance strategy should be planned according to the time-varying performance of the bridge. This work proposes a time-dependent residual capacity assessment procedure, which considers the non-stationary bridge load effects under growing traffic and non-stationary structural deterioration owing to material degradations. Lifetime bridge load effects under traffic growth are predicated by the non-stationary peaks-over-threshold (POT) method using time-dependent generalized Pareto distribution (GPD) models. The non-stationary structural resistance owing to material degradation is modeled by incorporating the Gamma deterioration process and field inspection data. A three-span continuous box-girder bridge is illustrated as an example to demonstrate the application of the proposed procedure, and the time-varying reliability indexes of the bridge girder are calculated. The accuracy of the proposed non-stationary POT method is verified through numerical examples, where the shape parameter of the time-varying GPD model is constant but the threshold and scale parameters are polynomial functions increasing with time. The case study illustrates that the residual flexural capacities show a degradation trend from a slow decrease to an accelerated decrease under traffic growth and material degradation. The reliability index for the mid-span cross-section reduces from 4.91 to 4.55 after being in service for 100 years, and the value is from 4.96 to 4.75 for the mid-support cross-section. The studied bridge shows no safety risk under traffic growth and structural deterioration owing to its high design safety reserve. However, applying the proposed numerical approach to analyze the degradation of residual bearing capacity for bridge structures with low safety reserves is of great significance for management and maintenance.

• 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.

• 산학경영연구
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• 제20권2호
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• pp.15-27
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• 2007

본 연구에서는 서울, 대전, 부산의 주택매매가격종합지수 변동성간의 상관관계에 대해 분석하였다. 기존의 연구에서는 시장에서 관찰되는 관측변동성을 이용하여 분석하였으나 본 연구에서는 통계적 방법을 이용하여 관측변동성을 내재가치의 변화에 의해 발생되는 기본적 변동성과 추종거래 등과 같은 잡음거래(noise trading)에 의해 발생되는 일시적 변동성으로 분해하여 락 변동성간의 관계를 분석하였다. 분석 결과 서울 주택매매가격 변동성과 두산 주택매매가격 변동성의 상관관계가 관측변동성 기본적 변동성, 일시적 변동성 모두 높게 나타나고 있다. 기본적 변동성의 경우는 관측변동성의 경우보다 상관관계가 놀게 나타났는데 기본적 변동성은 정보에 의해 발생하는 지속적인 변동성 부분이므로 각 시장에 공통적으로 영향을 주기 때문에 상관관계가 놀게 나타난 것으로 판단된다.