• Journal of Information Processing Systems
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• v.15 no.5
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• pp.1201-1210
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• 2019

Stock price is characterized as being mutable, non-linear and stochastic. These key characteristics are known to have a direct influence on the stock markets globally. Given that the stock price data often contain both linear and non-linear patterns, no single model can be adequate in modelling and predicting time series data. The autoregressive integrated moving average (ARIMA) model cannot deal with non-linear relationships, however, it provides an accurate and effective way to process autocorrelation and non-stationary data in time series forecasting. On the other hand, the neural network provides an effective prediction of non-linear sequences. As a result, in this study, we used a hybrid ARIMA and neural network model to forecast the monthly closing price of the Shanghai composite index and Shenzhen component index.

• International Area Studies Review
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• v.18 no.3
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• pp.175-201
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• 2014

This paper analyses the effect of R&D investment on local economies. R&D investment contributes to the regional local economy by increasing employment and production activity of the investees. The investees may end up with increased productivity, sales and employment. At the regional R&D level, the central government R&D fund and firm self R&D budget will be the source of R&D investment. Further positive effects are inter-related with local industries. This study carried out an empirical analysis on the effect of R&D investment on local economies using Korean panel data after comparing international literatures. The dynamic panel estimator is used to estimate an autoregressive model with lagged dependent variable. Using the Da Silva method, mixed variance-component moving-average error process is estimated and selected. R&D investment is very important factor to improve the productivity of a region and the size of the effect is dependent on the time periods within the Korean economic history.

• Journal of Communications and Networks
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• v.14 no.3
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• pp.310-318
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• 2012

Detecting intrusion attacks accurately and rapidly in wireless networks is one of the most challenging security problems. Intrusion attacks of various types can be detected by the change in traffic flow that they induce. Wireless industrial networks based on the wireless networks for industrial automation-process automation (WIA-PA) standard use a superframe to schedule network communications. We propose an intrusion detection system for WIA-PA networks. After modeling and analyzing traffic flow data by time-sequence techniques, we propose a data traffic prediction model based on autoregressive moving average (ARMA) using the time series data. The model can quickly and precisely predict network traffic. We initialized the model with data traffic measurements taken by a 16-channel analyzer. Test results show that our scheme can effectively detect intrusion attacks, improve the overall network performance, and prolong the network lifetime.

• Proceedings of the KIEE Conference
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• 2003.07a
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• pp.83-85
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• 2003

This paper presents a correction technique of missing load data. In this paper, the ARIMA(Autoregressive Integrated Moving Average) model and Piecewise Cubic Interpolation are applied to seek the missing parameters. The new model has been tested under a variety of conditions and it is shown in this paper to produce excellent results. It is helpful for operators to designed the load duration curve.

• Proceedings of the IEEK Conference
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• 2000.07b
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• pp.1100-1102
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• 2000

Most systems in tile real world are non-linear and can be represented by the non-linear autoregressive moving average (NARMA) model. The extension of fuzzy system for modeling the system that is represented by NARMA model will be proposed in this paper. Here, fuzzy basis function (FBF) is used as fuzzy NARMA(p,q) model. Then, an approach to Identify fuzzy NARMA models based on fuzzy basis functions is proposed. The efficacy of the proposed approach is shown from experimental results.

• Asia pacific journal of information systems
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• v.1 no.1
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• pp.63-86
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• 1991

In this paper, our concern is the artificial neural network-based patten classification, when can resolve the difficulties in the Autoregressive Moving Average(ARMA) model identification problem To effectively classify a time series into an approriate ARMA model, we adopt the Multi-layered Backpropagation Network (MLBPN) as a pattern classifier, and Extended Sample Autocorrelation Function (ESACF) as a feature extractor. To improve the classification power of MLBPN's we suggest an integrated neural network system which consists of an AR Network and many small-sized MA Networks. The output of AR Network which will gives the MA order. A step-by-step training strategy is also suggested so that the learned MLBPN's can effectively ESACF patterns contaminated by the high level of noises. The experiment with the artificially generated test data and real world data showed the promising results. Our approach, combined with a statistical parameter estimation method, will provide a way to the automation of ARMA modeling.

• Language and Information
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• v.7 no.2
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• pp.103-115
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• 2003

In recent years, many organizations have been constructing their own large corpora to achieve corpus representativeness. However, there is no reliable guideline as to how large corpus resources should be compiled, especially for Korean corpora. In this study, we have contrived a new statistical model, ARIMA (Autoregressive Integrated Moving Average), for predicting the relationship between linguistic items (the number of types) and corpus size (the number of tokens), overcoming the major flaws of several previous researches on this issue. Finally, we shall illustrate that the ARIMA model presented is valid, accurate and very reliable. We are confident that this study can contribute to solving some inherent problems of corpus linguistics, such as corpus predictability, corpus representativeness and linguistic comprehensiveness.

• Korean Management Science Review
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• v.1
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• pp.68-80
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• 1984

Box-Jenkins 시계열 분석법은 변수에 관한 정보가 부족하거나 너무 많은 변수가 영향을 미치고 있는 경우에도 과학적인 예측치를 구할 수 있는 단기예측 방법이다. Box-Jenkins 모형은 자동회귀 모형(Autoregressive Model), 이동평균 모형 (Moving average Model), 계절적 시계열 모형을 통합한 일반적인 모형이기 때문에 특별한 불안정성을 보이지 않는 경우에는 모두 모형화 할 수 있으며, 모형에 관계된 계수의 수를 최소화 하면서 만족스러운 모형을 찾을 수 있다. Box-Jenkins예측방법은 모형선정, 매개변수추정, 적합성 검정의 3단계를 반복으로 수행함으로써 최적모형에 이르게 하게 하고 있기 때문에 최소의 가능한 모형으로부터 시작하여 부적당한 부분을 제거시켜 나감으로써 시행착오의 과정을 최소화 할 수 있다. 일반 사용자가 Box-Jenkins 시계열 분석법을 쉽게 사용할 수 있도록 Box-Jenkins Package가 개발되었으며 여기서는 KAIST 전산 개발 센터에 설치된 Package를 소개하고 그 사용예를 보였다.

• Journal of Environmental Science International
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• v.7 no.2
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• pp.191-194
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• 1998

In this research, two stochastic models are considered to detect and estimate the effect of air temperature change due to Industrialization In Ulsan area. Using the monthly mean minimum air temperature anomalies, the data are divided Into pre-Industrialization part and Industrialization one for analysis. The ARM(autoregressive moving-average) model and intervention model have been applied to the data for the analysis. The results show that the variability of minimum temperature anomalies are very significant In 1989, and also significant In 1971 when the Industrialization have started. Therefore, It Is stochastically possible to estimate the time when the affection of Increase of the temperature concerning Industrialization to climate change In Usm area has happened.

• Journal of the Korean Society for Precision Engineering
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• v.11 no.2
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• pp.85-94
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• 1994

The cutting mechanism of ultrasonic vibration machining is characterized as two phases, that is, an impact at the cutting edge and a reduction of cutting force due to non-contact interval between tool and workpiece. In this paper, in order to identify cutting dynamics of a system with ultrasonically vibrated cutting tool, an ARMA modeling is performed on experimental cutting force signals which have a dominant effect on cutting dynamics. The aim of this study is, through Dynamic Date System methodology, to find the inherent characteristics of an ultrasonic vibration cutting process by considering natural frequency and damping coefficient. Surface roughness and stability of cutting process under ultrasonic vibration are also considered