• The Korean Journal of Applied Statistics
• /
• v.29 no.3
• /
• pp.525-537
• /
• 2016

The paper considers a hybrid model to analyze and forecast time series data based on an empirical mode decomposition (EMD) that accommodates complex characteristics of time series such as nonstationarity and nonlinearity. We aggregate IMFs using the concept of cumulative energy to improve the interpretability of intrinsic mode functions (IMFs) from EMD. We forecast aggregated IMFs and residue with a hybrid model that combines the ARIMA model and an exponential smoothing method (ETS). The proposed method is applied to forecast KOSPI time series and is compared to traditional forecast models. Aggregated IMFs and residue provide a convenience to interpret the short, medium and long term dynamics of the KOSPI. It is also observed that the hybrid model with ARIMA and ETS is superior to traditional and other types of hybrid models.

• Proceedings of the Korean Institute of Information and Commucation Sciences Conference
• /
• 2021.05a
• /
• pp.35-37
• /
• 2021

Analyzing and predicting foreign tourists' demand is a crucial research topic in the tourism industry because it profoundly influences establishing and planning tourism policies. Since foreign tourist data is influenced by various external factors, it has a characteristic that there are many subtle changes over time. Therefore, in recent years, research is being conducted to design a prediction model by reflecting various external factors such as economic variables to predict the demand for tourists inbound. However, the regression analysis model and the recurrent neural network model, mainly used for time series prediction, did not show good performance in time series prediction reflecting various variables. Therefore, we design a foreign tourist demand prediction model that complements these limitations using a convolutional neural network. In this paper, we propose a model that predicts foreign tourists' demand by designing a one-dimensional convolutional neural network that reflects foreign tourist data for the past ten years provided by the Korea Tourism Organization and additionally collected external factors as input variables.

• The Journal of the Korea Contents Association
• /
• v.22 no.1
• /
• pp.58-73
• /
• 2022

The purpose of this study is to construct a predictable estimation model that reflects the relationship between the variables of mobile app performance and to verify how app reviews affect app performance. In study 1 and 2, the relationship between app performance indicators was derived using correlation analysis and random forest regression estimation of machine learning, and app performance estimation modeling was performed. In study 3, sentiment scores for app reviews were by using sentiment analysis of text mining, and it was found that app review sentiment scores have an effect one lag ahead of the number of daily installations of apps when using multivariate time series analysis. By analyzing the dissatisfaction and needs raised by app performance indicators and reviews of apps, companies can improve their apps in a timely manner and derive the timing and direction of marketing promotions.

• Journal of Navigation and Port Research
• /
• v.48 no.1
• /
• pp.34-48
• /
• 2024

As global supply chain risks proliferate unpredictably, the high interdependence of port and logistics industry intensifies the risk burden. This study conducted fundamental research to explore diverse safety issues in domestic ports. Utilizing news article data about Busan Port, we employed LDA topic modeling and time-series linear regression to understand key safety trends. Over the past 30 years, Busan Port faced nine major safety issues-maritime safety, import cargo inspection, labor strikes, and natural disasters emerged cyclically. Major port safety issues in Busan Port are primarily characterized by an unpredictable nature, falling under socio-environmental and natural phenomena types, indicating a significant impact of global uncertainty. Therefore, systematic policies need to be formulated based on identified port safety issues to enhance port safety in Busan Port. Additionally, there is a need to strengthen the resilience of port safety for unpredictable risk situations. In conclusion, advanced research activities are necessary to promote port safety enhancement in response to dynamically changing social conditions.

• Journal of the Korean Data and Information Science Society
• /
• v.21 no.5
• /
• pp.831-839
• /
• 2010

Least squares support vector machine (LS-SVM) is a kernel trick gaining a lot of popularities in the regression and classification problems. We use LS-SVM to propose a iterative algorithm for a nonlinear generalized autoregressive conditional heteroscedasticity model in the mean (GARCH-M) model to estimate the mean and the conditional volatility of stock market returns. The proposed method combines a weighted LS-SVM for the mean and unweighted LS-SVM for the conditional volatility. In this paper, we show that nonlinear GARCH-M models have a higher performance than the linear GARCH model and the linear GARCH-M model via real data estimations.

• The Korean Journal of Applied Statistics
• /
• v.27 no.6
• /
• pp.1049-1068
• /
• 2014

Autoregressive models are used to analyze an univariate time series data; however, these methods can be inappropriate when a structural break appears in a time series since they assume that a trend is consistent. Threshold autoregressive models (popular regime-switching models) have been proposed to address this problem. Recently, the models have been extended to two regime-switching models with delay parameter. We discuss two regime-switching threshold autoregressive models from a Bayesian point of view. For a Bayesian analysis, we consider a parametric threshold autoregressive model and a nonparametric threshold autoregressive model using Dirichlet process prior. The posterior distributions are derived and the posterior inferences is performed via Markov chain Monte Carlo method and based on two Bayesian threshold autoregressive models. We present a simulation study to compare the performance of the models. We also apply models to gross domestic product data of U.S.A and South Korea.

• Journal of Energy Engineering
• /
• v.20 no.4
• /
• pp.318-329
• /
• 2011

This study focuses on enhancing the accuracy of consumption function of Korean natural gas for city gas. It is using time-series model with time-varying coefficients taking into account the recent abnormal temperature phenomenon and the changing gross domestic product (GDP) as important variables. This study estimates the cointegrating regression model for the long-run estimation and the error correction model for the short-run estimation. The consumption function of Korean natural gas is estimated to be influenced by the time-varying coefficients of GDP and temperature. Using the estimated time-series model with time-varying coefficients, this study forecasts the consumption of natural gas for city gas from July 2011 to December 2012. The consumption in 2011 would be 18,303 thousand tons, which is little different from the imported 18,681 thousand tons. The consumption of natural gas for city gas in 2012 is forecast to be 19,213 thousand tons. The consumption model of this study is needed to extend by considering the relative prices between natural gas and its substitutes, the scale of consumers and others.

• Journal of the Korean Data and Information Science Society
• /
• v.25 no.1
• /
• pp.65-76
• /
• 2014

Housing prices are influenced by external shock factors such as real estate policy or economy. Thus, the intervention effect is important for the development of forecasting model for housing price index. In this paper, we examined the degree of effective power of external shock factors for forecasting housing price index and analyzed time series models for efficient forecasting of housing price index. It is shown that intervention models are better than other models in forecasting results using real data based on the accuracy criteria.

• Journal of Korea Water Resources Association
• /
• v.30 no.6
• /
• pp.641-648
• /
• 1997

Mutual information is useful for analyzing nonlinear dependence in time series in much the same way as correlation is used to characterize linear dependence. We use multivariate kernel density estimators for the estimation of mutual information at different time lags for single and multiple time series. This approach is tested on a variety of hydrologic data sets, and suggested an appropriate delay time $ au$ at which the mutual information is almost zerothen multi-dimensional phase portraits could be constructed from measurements of a single scalar time series.

• Proceedings of the Korea Information Processing Society Conference
• /
• 2017.04a
• /
• pp.920-923
• /
• 2017

본 연구는 기존의 수요 예측 등의 시계열 분석에서 주로 사용되는 ARIMA 모형의 어려움을 극복하고자 인공신경망(Artificial Neural Network) 모형을 이용하여 한국 프로 야구 관중 수를 예측하였다. 인공신경망의 가장 기본적인 종류인 전방향 신경망(Feedforward Neural Network)의 초모수(Hyperparameter) 선정에 그리드 탐색(Grid Search)을 적용하여 최적의 모형을 찾고자 하였다. 훈련 자료로는 2015년 3월부터 8월까지의 일별 KBO 관중 수 자료를 대상으로 하였고, 예측력 검증을 위해 2015년 9월 관중 수를 예측하여 실제 관측값과 비교하였다. 그 결과, 그리드 탐색법에서 최적 모형이라고 판단한 모형의 예측력은, 평균 절대 백분율 오차(MAPE) 기준으로 평균 27.14% 였다. 또한, 앙상블 기법에서 착안하여 오차율이 낮은 모형 5개의 예측값 평균의 MAPE는 평균 28.58% 였다. 이는 다중회귀와 비교해보았을 때, 평균적으로 각각 14%, 13.6% 높은 예측력을 보이고 있다.