• Communications for Statistical Applications and Methods
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• v.24 no.1
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• pp.81-96
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• 2017

Cumulative logit random effects models are typically used to analyze longitudinal ordinal data. The random effects covariance matrix is used in the models to demonstrate both subject-specific and time variations. The covariance matrix may also be homogeneous; however, the structure of the covariance matrix is assumed to be homoscedastic and restricted because the matrix is high-dimensional and should be positive definite. To satisfy these restrictions two Cholesky decomposition methods were proposed in linear (mixed) models for the random effects precision matrix and the random effects covariance matrix, respectively: modified Cholesky and moving average Cholesky decompositions. In this paper, we use these two methods to model the random effects precision matrix and the random effects covariance matrix in cumulative logit random effects models for longitudinal ordinal data. The methods are illustrated by a lung cancer data set.

• Communications for Statistical Applications and Methods
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• v.22 no.5
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• pp.507-518
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• 2015

It is not easy to select a linear mixed model since the main interest for model building could be different and the number of parameters in the model could not be clearly defined. In this paper, performance of conditional Akaike Information Criteria and its bias-corrected version are compared with marginal Bayesian and Akaike Information Criteria through a simulation study. The results from the simulation study indicate that bias-corrected conditional Akaike Information Criteria shows promising performance when candidate models exclude large models containing the true model, but bias-corrected one prefers over-parametrized models more intensively when a set of candidate models increases. Marginal Bayesian and Akaike Information Criteria also have some difficulty to select the true model when the design for random effects is nested.

• Communications for Statistical Applications and Methods
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• v.31 no.1
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• pp.143-154
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• 2024

This paper considers a combined model of exponential smoothing (ETS) and autoregressive integrated moving average (ARIMA) models that are commonly used to forecast time series data. The combined model is constructed through an innovational state space model based on the level variable instead of the differenced variable, and the identifiability of the model is investigated. We consider the maximum likelihood estimation for the model parameters and suggest the model selection steps. The forecasting performance of the model is evaluated by two real time series data. We consider the three competing models; ETS, ARIMA and the trigonometric Box-Cox autoregressive and moving average trend seasonal (TBATS) models, and compare and evaluate their root mean squared errors and mean absolute percentage errors for accuracy. The results show that the combined model outperforms the competing models.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.1-12
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• 2016

Contrasted with the standard linear ARMA models, financial time series exhibits non-standard features such as fat-tails, non-normality, volatility clustering and asymmetries which are usually referred to as "stylized facts" in financial time series context (Terasvirta, 2009). We are accordingly led to ad hoc models (apart from ARMA) to accommodate stylized facts (Andersen et al., 2009). The paper aims to give a contemporary overview on financial and special time series models based on the recent literature and on the author's publications. Various models are illustrated including asymmetric models, integer valued models, multivariate models and high frequency models. Selected statistical issues on the models are discussed, bringing some perspectives to the future works in this area.

• International Journal of Concrete Structures and Materials
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• v.9 no.2
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• pp.185-206
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• 2015

This paper presents statistical models developed to study the influence of key mix design parameters on the properties of lightweight self-consolidating concrete (LWSCC) with expanded shale (ESH) aggregates. Twenty LWSCC mixtures are designed and tested, where responses (properties) are evaluated to analyze influence of mix design parameters and develop the models. Such responses included slump flow diameter, V-funnel flow time, J-ring flow diameter, J-ring height difference, L-box ratio, filling capacity, sieve segregation, unit weight and compressive strength. The developed models are valid for mixes with 0.30-0.40 water-to-binder ratio, high range water reducing admixture of 0.3-1.2 % (by total content of binder) and total binder content of $410-550kg/m^3$. The models are able to identify the influential mix design parameters and their interactions which can be useful to reduce the test protocol needed for proportioning of LWSCCs. Three industrial class ESH-LWSCC mixtures are developed using statistical models and their performance is validated through test results with good agreement. The developed ESH-LWSCC mixtures are able to satisfy the European EFNARC criteria for self-consolidating concrete.

• The Korean Journal of Applied Statistics
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• v.22 no.3
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• pp.515-530
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• 2009

Evaporation from surface water bodies is influenced by a number of meteorological parameters. The rate of evaporation is primarily controlled by incoming solar radiation, air and water temperature and wind speed and relative humidity. In the present study, influence of weekly meteorological variables such as air temperature, relative humidity, bright sunshine hours, wind speed, wind velocity, rainfall on rate of evaporation has been examined using 35 years(1971-2005) of meteorological data. Statistical analysis was carried out employing linear regression models. The developed regression models were tested for goodness of fit, multicollinearity along with normality test and constant variance test. These regression models were subsequently validated using the observed and predicted parameter estimates with the meteorological data of the year 2005. Further these models were checked with time order sequence of residual plots to identify the trend of the scatter plot and then new standardized regression models were developed using standardized equations. The highest significant positive correlation was observed between pan evaporation and maximum air temperature. Mean air temperature and wind velocity have highly significant influence on pan evaporation whereas minimum air temperature, relative humidity and wind direction have no such significant influence.

• Proceedings of the Korea Water Resources Association Conference
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• 2018.05a
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• pp.150-150
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• 2018

The Numerical Weather Prediction (NWP) models provide information for weather forecasts. The highly nonlinear and complex interactions in the atmosphere are simplified in meteorological models through approximations and parameterization. Therefore, the simplifications may lead to biases and errors in model results. Although the models have improved over time, the biased outputs of these models are still a matter of concern in meteorological and hydrological studies. Thus, bias removal is an essential step prior to using outputs of atmospheric models. The main idea of statistical bias correction methods is to develop a statistical relationship between modeled and observed variables over the same historical period. The Model Output Statistics (MOS) would be desirable to better match the real time forecast data with observation records. Statistical post-processing methods relate model outputs to the observed values at the sites of interest. In this study three methods are used to remove the possible biases of the real-time outputs of the Weather Research and Forecast (WRF) model in Imjin basin (North and South Korea). The post-processing techniques include the Linear Regression (LR), Linear Scaling (LS) and Power Scaling (PS) methods. The MOS techniques used in this study include three main steps: preprocessing of the historical data in training set, development of the equations, and application of the equations for the validation set. The expected results show the accuracy improvement of the real-time forecast data before and after bias correction. The comparison of the different methods will clarify the best method for the purpose of the forecast skill enhancement in a real-time case study.

• Communications for Statistical Applications and Methods
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• v.18 no.3
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• pp.319-331
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• 2011

In this paper, we propose automatic procedures for the model selection of various univariate time series data. Automatic model selection is important, especially in data mining with large number of time series, for example, the number (in thousands) of signals accessing a web server during a specific time period. Several methods have been proposed for automatic model selection of time series. However, most existing methods focus on linear time series models such as exponential smoothing and autoregressive integrated moving average(ARIMA) models. The key feature that distinguishes the proposed procedures from previous approaches is that the former can be used for both linear time series models and nonlinear time series models such as threshold autoregressive(TAR) models and autoregressive moving average-generalized autoregressive conditional heteroscedasticity(ARMA-GARCH) models. The proposed methods select a model from among the various models in the prediction error sense. We also provide an R package autots that implements the proposed automatic model selection procedures. In this paper, we illustrate these algorithms with the artificial and real data, and describe the implementation of the autots package for R.

• Communications for Statistical Applications and Methods
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• v.6 no.3
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• pp.861-870
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• 1999

An HMM statistical package with graphic user interface is constructed with C++ classes for HMM operations. An isolated word speech recognition experiment is conducted with nine English words.

• Journal of the Korean Statistical Society
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• v.2 no.1
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• pp.37-45
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• 1973

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