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

• Journal of the Korean Institute of Intelligent Systems
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• v.17 no.7
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• pp.957-963
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• 2007

In this paper, Nonlinear Autoregressive (NAR) method based on Least Square-Support Vector Regression (LS-SVR) is introduced and tested for nonlinear sustained vowel modeling. In the database of total 43 sustained vowel of Benign Vocal Fold Lesions having aperiodic waveform, this nonlinear synthesizer near perfectly reproduced chaotic sustained vowels, and also conserved the naturalness of sound such as jitter, compared to Linear Predictive Coding does not keep these naturalness. However, the results of some phonation are quite different from the original sounds. These results are assumed that single-band model can not afford to control and decompose the high frequency components. Therefore multi-band model with wavelet filterbank is adopted for substituting single band model. As a results, multi-band model results in improved stability. Finally, nonlinear sustained vowel modeling using NAR based on LS-SVR can successfully reconstruct synthesized sounds nearly similar to original voiced sounds.

• Smart Structures and Systems
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• v.26 no.1
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• pp.23-33
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• 2020

Majority of the damage in engineering structures is nonlinear. Damage sensitive features (DSFs) extracted by traditional methods from linear time series models cannot effectively handle nonlinearity induced by structural damage. A new DSF is proposed based on vector space cosine similarity (VSCS), which combines K-means cluster analysis and Bayesian discrimination to detect nonlinear structural damage. A reference autoregressive moving average (ARMA) model is built based on measured acceleration data. This study first considers an existing DSF, residual standard deviation (RSD). The DSF is further advanced using the VSCS, and then the advanced VSCS is classified using K-means cluster analysis and Bayes discriminant analysis, respectively. The performance of the proposed approach is then verified using experimental data from a three-story shear building structure, and compared with the results of existing RSD. It is demonstrated that combining the linear ARMA model and the advanced VSCS, with cluster analysis and Bayes discriminant analysis, respectively, is an effective approach for detection of nonlinear damage. This approach improves the reliability and accuracy of the nonlinear damage detection using the linear model and significantly reduces the computational cost. The results indicate that the proposed approach is potential to be a promising damage detection technique.

• Communications for Statistical Applications and Methods
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• v.8 no.2
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• pp.565-572
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• 2001

This article explores the problem of ergodicity for the nonlinear autoregressive processes with ARCH structure in a very general setting. A sufficient condition for the geometric ergodicity of the model is developed along the lines of Feigin and Tweedie(1985), thereby extending classical results for specific nonlinear time series. The condition suggested is in turn applied to some specific nonlinear time series illustrating that our results extend those in the literature.

• Speech Sciences
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• v.11 no.4
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• pp.53-66
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• 2004

The nonlinear speech enhancement method with interactive parallel-extended Kalman filter is applied to speech contaminated by additive white noise. To represent the nonlinear and nonstationary nature of speech. we assume that speech is the output of a nonlinear prediction HMM (NPHMM) combining both neural network and HMM. The NPHMM is a nonlinear autoregressive process whose time-varying parameters are controlled by a hidden Markov chain. The simulation results shows that the proposed method offers better performance gains relative to the previous results [6] with slightly increased complexity.

• Environmental and Resource Economics Review
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• v.15 no.3
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• pp.405-423
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• 2006

This paper develops theoretical model between economic growth and pollution as follows: First, emissions are generated from final good production process and technology accumulation. Second, pollution is directly connected with increase in final good production or in consumption, Third, no pollution abatement activity would be undertaken. Fourth, reproducible factors associated with labor and capital input are used in production function. We also test the existence of nonlinear Dynamics between economic growth and pollution using an exponential smooth transition autoregressive model(ESTAR). We find the presence of nonlinear dynamics between economic growth and pollution with a time series data for Seoul. This result shows indirectly that an inverted U relationship between air pollution and economic growth exists.

• Proceedings of the Korea Information Processing Society Conference
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• 2007.11a
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• pp.113-116
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• 2007

In this paper, our proposed Nonlinear Autoregressive Exogenous (NARX) based on Least Square-Support Vector Regression (LS-SVR) is introduced and tested for producing natural sounds. This nonlinear synthesizer perfectly reproduce voiced sounds, and also conserve the naturalness such as jitter and shimmer, compared to LPC does not keep these naturalness. However, the results of some phonation are quite different from the original sounds. These results are assumed that single-band model can not afford to control and decompose the high frequency components. Therefore multi-band model with wavelet filterbank is adopted for substituting single band model. As a results, multi-band model results in improved stability. Finally, nonlinear speech modeling using NARX based on LS-SVR can successfully reconstruct synthesized sounds nearly similar to original voiced sounds.

• Journal of the Korean Mathematical Society
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• v.37 no.1
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• pp.45-53
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• 2000

Existence of a unique invariant probability is considered for a class of Markov processes which may not be irreducible and a functional central limit theorem for a class of nonlinear irreducible uniformly ergodic processes is derived as well.

• Communications for Statistical Applications and Methods
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• v.7 no.1
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• pp.87-96
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• 2000

Nonlinear time series prediction is derived and compared between statistic of modeling and neural network method. In particular mean squared errors of predication are obtained in generalized random coefficient model and generalized autoregressive conditional heteroscedastic model and compared with them by neural network forecasting.

• Journal of the Korean Statistical Society
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• v.30 no.1
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• pp.31-39
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• 2001

For estimating parameters of possibly nonlinear and/or non-stationary seasonal autoregressive(AR) processes, we introduce a new instrumental variable method which use the direction vector of the regressors in the same period as an instrument. On the basis of the new estimator, we propose new seasonal random walk tests whose limiting null distributions are standard normal regardless of the period of seasonality and types of mean adjustments. Monte-Carlo simulation shows that he powers of he proposed tests are better than those of the tests based on ordinary least squares estimator(OLSE).