• Journal of Information Processing Systems
• /
• 제15권5호
• /
• pp.1201-1210
• /
• 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.

• 한국통계학회:학술대회논문집
• /
• 한국통계학회 2005년도 추계 학술발표회 논문집
• /
• pp.55-58
• /
• 2005

This paper discusses the asymptotic efficiency of estimators for optimal portfolios when returns are vector-valued non-Gaussian stationary processes. We give the asymptotic distribution of portfolio estimators ${\hat{g}}$ for non-Gaussian dependent return processes. Next we address the problem of asymptotic efficiency for the class of estimators ${\hat{g}}$ First, it is shown that there are some cases when the asymptotic variance of ${\hat{g}}$ under non-Gaussianity can be smaller than that under Gaussianity. The result shows that non-Gaussianity of X(t) does not always affect worse. Second, we give a necessary and sufficient condition for ${\hat{g}}$ to be asymptotically efficient when the return process is Gaussian, which shows that ${\hat{g}}$ is not asymptotically efficient generally. From this point of view we propose to use maximum likelihood type estimators for g, which are asymptotically efficient. We examine our approach numerically.

• 응용통계연구
• /
• 제26권2호
• /
• pp.335-347
• /
• 2013

다양한 분야에서 시그널(signal) 형태로 자료들이 표현된다. 예를 들면 심전도(electrocardiogram)는 심근에서 발생하는 활동 전류를 나타내는데, 심장의 박동에 따라 수축과 이완을 반복하는 과정을 시간에 따른 활동 전류량의 변동으로 나타낸다. 현실세계에서 측정하거나 관찰되는 시그널에는 다양한 형태의 시그널들이 혼합되어 있는 경우가 흔하다. 예를 들어 오케스트라 연주의 아름다운 선율은 고유한 주파수(frequency)를 지닌 악기들의 다양한 소리로 구성되어 있으며, 각기 다른 음조(note)가 하나로 모여 완벽한 하모니를 형성하게 된다. 시그널이 정상인(stationary) 경우에 혼합된 시그널들을 분해하여 분석하는 방법에 대해 현재까지 다양하게 연구되어 왔다. 자료가 비정상(non-stationary)일 경우에는 기존의 방법론들을 적용시키기에는 한계가 있다. 비정상성 자료를 다루기 위해 Huang 등 (1998)은 경험적 모드분해법(empirical mode decomposition)이라는 방법을 제안하였다. 자료에 내포되어 있는 국소적인 파동(oscillation)을 국소 극값들(local extrema)을 식별하여 자료 적응적으로 추출한다. 경험적 모드분해법은 잡음(error)에 의해 자료가 오염되어 있는 경우에는 국소 극값들을 통하여 국소적인 파동을 추정하기 어려우며, 자료의 크기가 커짐에 따라 계산량도 크게 늘어나는 단점 등이 있다. 본 연구에서는 이차 미분을 이용하여 국소적인 파동을 식별하고 추정하는 새로운 방법론을 제시하고자 한다.

• Structural Engineering and Mechanics
• /
• 제32권1호
• /
• pp.179-191
• /
• 2009

A stochastic response spectrum method is proposed for simple evaluation of the structural response of an actively controlled aseismic structure. The response spectrum is constructed assuming a linear structure with an active mass damper (AMD) system, and an earthquake wave model given by the product of a non-stationary envelope function and a stationary Gaussian random process with Kanai-Tajimi power spectral density. The control design is executed using a linear quadratic Gaussian control strategy for an enlarged state space system, and the response amplification factor is given by the combination of the obtained statistical response values and extreme value theory. The response spectrum thus produced can be used for simple dynamical analyses. The response factors obtained by this method for a multi-degree-of-freedom structure are shown to be comparable with those determined by numerical simulations, demonstrating the validity and utility of the proposed technique as a simple design tool. This method is expected to be useful for engineers in the initial design stage for structures with active aseismic control.

• Structural Engineering and Mechanics
• /
• 제2권3호
• /
• pp.285-294
• /
• 1994

Based on a fast and accurate method for the stationary random seismic response analysis for discretized structures(Lin 1992, Lin et al. 1992), a Ritz method for dealing with such responses of continuous systems in developed. This method is studied quantitatively, using cantilever shear beams for simplicity and clarity. The process can be naturally extended to deal with various boundary conditions as well as non-uniform Bernoulli-Euler beams, or even Timoshenko beams. Algorithms for both proportionally and non-proportionally damped responses are described. For all of such damping cases, it is not necessary to solve for the natural vibrations of the beams. The solution procedure is very simple, and equally efficient for a white or a non-white ground excitation spectrum. Two examples are given where various power spectral density functions, variances, covariances and second spectral moments of displacement, internal force response, and their derivatives are calculated and analyses. Some Ritz solutions are compared with "exact" CQC solutions.

• Journal of Communications and Networks
• /
• 제11권2호
• /
• pp.134-147
• /
• 2009

Tracking and exploiting instantaneous spectrum opportunities are fundamental challenges in opportunistic spectrum access (OSA) in presence of the bursty traffic of primary users and the limited spectrum sensing capability of secondary users. In order to take advantage of the history of spectrum sensing and access decisions, a sequential decision framework is widely used to design optimal policies. However, many existing schemes, based on a partially observed Markov decision process (POMDP) framework, reveal that optimal policies are non-stationary in nature which renders them difficult to calculate and implement. Therefore, this work pursues stationary OSA policies, which are thereby efficient yet low-complexity, while still incorporating many practical factors, such as spectrum sensing errors and a priori unknown statistical spectrum knowledge. First, with an approximation on channel evolution, OSA is formulated in a multi-armed bandit (MAB) framework. As a result, the optimal policy is specified by the wellknown Gittins index rule, where the channel with the largest Gittins index is always selected. Then, closed-form formulas are derived for the Gittins indices with tunable approximation, and the design of a reinforcement learning algorithm is presented for calculating the Gittins indices, depending on whether the Markovian channel parameters are available a priori or not. Finally, the superiority of the scheme is presented via extensive experiments compared to other existing schemes in terms of the quality of policies and optimality.

• Journal of the Korean Statistical Society
• /
• 제30권1호
• /
• pp.31-39
• /
• 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).

• Journal of applied mathematics & informatics
• /
• 제27권5_6호
• /
• pp.1033-1047
• /
• 2009

In this paper, we consider a m-type risk model with Markov-modulated premium rate. A integral equation for the conditional ruin probability is obtained. A recursive inequality for the ruin probability with the stationary initial distribution and the upper bound for the ruin probability with no initial reserve are given. A system of Laplace transforms of non-ruin probabilities, given the initial environment state, is established from a system of integro-differential equations. In the two-state model, explicit formulas for non-ruin probabilities are obtained when the initial reserve is zero or when both claim size distributions belong to the $K_n$-family, n $\in$ $N^+$ One example is given with claim sizes that have exponential distributions.

• 한국시뮬레이션학회논문지
• /
• 제19권3호
• /
• pp.109-117
• /
• 2010

본 연구에서는 3개의 단일서버 노드(기계 1, 기계 2, 조립기계)로 구성된 단순 조립형 대기행렬 망의 안정대기시간에 대해 분석한다. 하나의 재생도착과정을 가정하며, 각 기계의 서비스시간은 서로 독립이며 상수 또는 겹침이 없는 시간으로 가정한다. 기계 1과 기계 2는 무한크기의 버퍼를 가지며, 조립기계는 각 기계로부터의 이송되는 부품을 위해 2개의 유한버퍼를 가진다. 각 기계는 FIFO 규칙과 통신차단규칙에 따라 서비스를 제공한다. 단순 조립형 대기행렬 망의 안정대기시간에 대한 간결한 표현식을 (max,+)-대수를 활용하여 유한버퍼의 크기에 대한 함수의 형태로 도출하였다. 이러한 표현식으로부터 평균, 고차평균, 꼬리확률과 같은 다양한 성능 특성치들의 값을 구할 수 있다.

• 한국정보과학회논문지:정보통신
• /
• 제34권3호
• /
• pp.156-167
• /
• 2007

본 논문에서는 VBR(Variable-Bit-Rate) 트래픽의 비선형적이고 버스티한 특성을 모델화 한 GOP ARIMA(ARIMA for Group Of Pictures) 모델을 칼만 필터 알고리즘을 이용하여 실시간으로 예측하는 기법을 제안한다. 칼만 필터를 이용한 예측 기법은 GOP ARIMA의 상태공간 모델링 과정과 향후 N초 간의 트래픽을 예측하는 과정으로 구성된다. 실험을 위해 GOP의 크기가 각각 15인 세 가지 종류의 MPEG VBR 트래픽(뉴스, 드라마, 스포츠)을 제작하였고, 칼만 필터를 이용한 세 가지 종류의 트래픽의 예측 결과를 선형 예측법과 이중 지수 평활법을 이용해 예측한 결과와 비교해 예측 성능이 상대적으로 우수함을 확인할 수 있었다. 또한 예측값에 신뢰 구간을 설정하는 신뢰 구간 분석법을 통해 트래픽 관점에서 장면 변화를 예측하는 방법을 제시하였다. 본 논문의 칼만 필터 기반의 예측 알고리즘은 MPEG 기반 VBR 트래픽을 비롯한 기타 인터넷 트래픽을 실시간으로 예측하는 방법과 이를 이용해 인터넷 서버의 설계 및 자원 할당 정책 등을 위한 트래픽 엔지니어링 연구에 기여할 수 있을 것이다.