Journal of the Korean Data and Information Science Society
- Volume 18 Issue 2
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- Pages.345-356
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- 2007
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- 1598-9402(pISSN)
A CUSUM Algorithm for Early Detection of Structural Changes in Won/Dollar Exchange Market
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Song, Gyu-Moon
(Department of Statistics, Keimyung University)
;
- Park, Byung-Chun (Department of Industrial and System Engineering, Keimyung University) ;
- Kang, Hoon-Kyu (Department of Statistics, Keimyung University)
- Published : 2007.04.30
Abstract
This study deals with an early detection problem of structural change in won/dollar exchange market. A CUSUM algorithm is developed to monitor relevant economic variables indicating structural change in won/dollar exchange market. We applied the CUSUM algorithm to examine whether or not it was possible to alarm the 1997 economic crisis of Korea in advance.