Journal of the Korean Data and Information Science Society
- 제18권2호
- /
- Pages.345-356
- /
- 2007
- /
- 1598-9402(pISSN)
A CUSUM Algorithm for Early Detection of Structural Changes in Won/Dollar Exchange Market
-
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)
- 발행 : 2007.04.30
초록
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.