• Communications for Statistical Applications and Methods
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• v.18 no.1
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• pp.13-21
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• 2011

This paper studies the analysis of multivariate nonstationary time series with seasonality. Three types of multivariate time series models are considered: seasonal cointegration model, nonseasonal cointegration model with seasonal dummies, and vector autoregressive model in seasonal differences that are compared for forecasting performances using Korean macro-economic time series data. The cointegration models produce smaller forecast errors in short horizons; however, when longer forecasting periods are considered the vector autoregressive model appears preferable.

• Communications for Statistical Applications and Methods
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• v.24 no.1
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• pp.67-80
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• 2017

Over the last few decades, ensemble forecasts based on global climate models have become an important part of climate forecast due to the ability to reduce uncertainty in prediction. Moreover in ensemble forecast, assessing the prediction uncertainty is as important as estimating the optimal weights, and this is achieved through a probabilistic forecast which is based on the predictive distribution of future climate. The Bayesian model averaging has received much attention as a tool of probabilistic forecasting due to its simplicity and superior prediction. In this paper, we propose a new Bayesian model averaging method for probabilistic ensemble forecasting. The proposed method combines a deterministic ensemble forecast based on a multivariate regression approach with Bayesian model averaging. We demonstrate that the proposed method is better in prediction than the standard Bayesian model averaging approach by analyzing monthly average precipitations and temperatures for ten cities in Korea.

• Communications for Statistical Applications and Methods
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• v.10 no.1
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• pp.153-166
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• 2003

This study presents the time-divided forecasting model to integrate evolutionary optimization algorithm and change point detection based on artificial neural networks (ANN) for the prediction of (Korea) stock price index. The genetic algorithm(GA) is introduced as an evolutionary optimization method in this study. The basic concept of the proposed model is to obtain intervals divided by change points, to identify them as optimal or near-optimal change point groups, and to use them in the forecasting of the stock price index. The proposed model consists of three phases. The first phase detects successive change points. The second phase detects the change-point groups with the GA. Finally, the third phase forecasts the output with ANN using the GA. This study examines the predictability of the proposed model for the prediction of stock price index.

• Communications for Statistical Applications and Methods
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• v.31 no.3
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• pp.323-336
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• 2024

The accurate forecasting of insurance claims is a critical component for insurers' risk management decisions. Hierarchical Bayesian parametric (BP) models can be used for health insurance claims forecasting, but they are unsatisfactory to describe the claims distribution. Therefore, Bayesian nonparametric (BNP) models can be a more suitable alternative to deal with the complex characteristics of the health insurance claims distribution, including heavy tails, skewness, and multimodality. In this study, we apply both a BP model and a BNP model to predict group health claims using simulated and real-world data for a private life insurer in Indonesia. The findings show that the BNP model outperforms the BP model in terms of claims prediction accuracy. Furthermore, our analysis highlights the flexibility and robustness of BNP models in handling diverse data structures in health insurance claims.

• 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.

• Journal of Korean Society of Transportation
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• v.18 no.3
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• pp.55-76
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• 2000

We propose a general solution methodology for identifying the optimal aggregation interval sizes as a function of the traffic dynamics and frequency of observations for four cases : i) link travel time estimation, ii) corridor/route travel time estimation, iii) link travel time forecasting. and iv) corridor/route travel time forecasting. We first develop statistical models which define Mean Square Error (MSE) for four different cases and interpret the models from a traffic flow perspective. The emphasis is on i) the tradeoff between the Precision and bias, 2) the difference between estimation and forecasting, and 3) the implication of the correlation between links on the corridor/route travel time estimation and forecasting, We then demonstrate the Proposed models to the real-world travel time data from Houston, Texas which were collected as Part of the Automatic Vehicle Identification (AVI) system of the Houston Transtar system. The best aggregation interval sizes for the link travel time estimation and forecasting were different and the function of the traffic dynamics. For the best aggregation interval sizes for the corridor/route travel time estimation and forecasting, the covariance between links had an important effect.

• Korea journal of population studies
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• v.33 no.1
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• pp.161-189
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• 2010

Dealing with uncertainty has been a critical issue in demographic and population forecasting since 1980. This study reviews methodological developments in demographic and population forecasting over the last several decades. First, this study reviews the important issue of the uncertainty surrounding demographic forecasts. Several limitations of the traditional scenario approach to dealing with uncertainty are also discussed. Second, in forecasting demographic processes such as mortality, fertility, and migration, three approaches of stochastic forecasting are identified and discussed: expert judgment, statistical modeling, and analysis of historical forecast errors. Finally, this study discusses the current issues and directions for future research in stochastic demographic forecasting.

• Journal of Intelligence and Information Systems
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• v.4 no.1
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• pp.133-147
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• 1998

Recently, many researchers have been involved in finding deterministic equations which can accurately predict future event, based on chaotic theory, or fractal theory. The theory says that some events which seem very random but internally deterministic can be accurately predicted by fractal equations. In contrast to the conventional methods, such as AR model, MA, model, or ARIMA model, the fractal equation attempts to discover a deterministic order inherent in time series data set. In discovering deterministic order, researchers have found that neural networks are much more effective than the conventional statistical models. Even though prediction accuracy of the network can be different depending on the topological structure and modification of the algorithms, many researchers asserted that the neural network systems outperforms other systems, because of non-linear behaviour of the network models, mechanisms of massive parallel processing, generalization capability based on adaptive learning. However, recent survey shows that prediction accuracy of the forecasting models can be determined by the model structure and data structures. In the experiments based on actual economic data sets, it was found that the prediction accuracy of the neural network model is similar to the performance level of the conventional forecasting model. Especially, for the data set which is deterministically chaotic, the AR model, a conventional statistical model, was not significantly different from the MLP model, a neural network model. This result shows that the forecasting model. This result shows that the forecasting model a, pp.opriate to a prediction task should be selected based on characteristics of the time series data set. Analysis of the characteristics of the data set was performed by fractal analysis, measurement of Hurst index, and measurement of Lyapunov exponents. As a conclusion, a significant difference was not found in forecasting future events for the time series data which is deterministically chaotic, between a conventional forecasting model and a typical neural network model.

• Water for future
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• v.27 no.3
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• pp.55-69
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• 1994

In order to enhance the short-term flood forecasting accuracy of the water level of the In-do Brdg., three statistical flood forecasting models are presented models are presented and the forecasting accuracies and stabilities of the models are studied. The presented statistical models are as follows: The multi-input model by the multi-regression analysis between the water level of the In-do Brdg. and the influence parameters(Model MM). The two-level multi parameter model according to the water level tendency(Model 2MP). Among the three models, the Model MM showed the lowest forecasting accuracy, the model 2MP showed the highest forecasting accuracy, although this model sometimes became unstable and diverged. The model MMP forecasted the flood less accurately than model 2MP, but it gave more stable forecasting results.

• Proceedings of the Korean Statistical Society Conference
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• 2005.11a
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• pp.49-53
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• 2005