• The Korean Journal of Applied Statistics
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• v.17 no.2
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• pp.219-228
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• 2004

In this paper we construct prediction intervals for nonlinear time series models using the bootstrap. We compare these prediction intervals to traditional asymptotic prediction intervals using quasi-score estimation function and M-quasi-score estimating function comprising bounded functions. Simulation results show that the bootstrap method leads to improved accuracy. The accuracy of the bootstrap is empirically demonstrated with the consumer price index.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2006.05a
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• pp.1221-1226
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• 2006

The use of Artificial Neural Networks (ANN) has received increasing attention in the analysis and prediction of financial time series. Stationarity of the observed financial time series is the basic underlying assumption in the practical application of ANN on financial time series. In this paper, we will investigate whether it is feasible to relax the stationarity condition to non-stationary time series. Our result discusses the range of complexities caused by non-stationary behavior and finds that overfitting by ANN could be useful in the analysis of such non-stationary complex financial time series.

• Journal of the Korean GEO-environmental Society
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• v.20 no.10
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• pp.29-38
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• 2019

In stability and settlement management of soft ground, the settlement prediction technology has been continuously developed and used to reduce construction cost and confirm the exact land use time. However, the preexistence prediction methods such as hyperbolic method, Asaoka method and Hoshino method are difficult to predict the settlement accurately at the beginning of consolidation because the accurate settlement prediction is possible only after many measurement periods have passed. It is judged as the reason for estimating the future settlement through the proportionality assumption of the slope which the preexistence prediction method computes from the settlement curve. In this study, ARIMA technique is introduced among time series analysis techniques and compared with preexistence prediction methods. ARIMA method was predictable without any distinction of ground conditions, and the results similar to the existing method are predicted early (final settlement).

• Communications for Statistical Applications and Methods
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• v.13 no.2
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• pp.343-358
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• 2006

The distributional properties of forecasts in an integer-valued time series model have not been discovered yet mainly because of the complexity arising from the binomial thinning operator. We propose two bootstrap methods to obtain nonparametric prediction intervals for an integer-valued autoregressive model : one accommodates the variation of estimating parameters and the other does not. Contrary to the results of the continuous ARMA model, we show that the latter is better than the former in forecasting the future values of the integer-valued autoregressive model.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.11 no.6
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• pp.3029-3045
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• 2017

The main processes of a cognitive radio system include spectrum sensing, spectrum decision, spectrum sharing, and spectrum conversion. Experimental results show that these stages introduce a time delay that affects the spectrum sensing accuracy, reducing its efficiency. To reduce the time delay, the frequency spectrum prediction was proposed to alleviate the burden on the spectrum sensing. In this paper, the deep recurrent neural network (DRNN) was proposed to predict the spectrum of multiple time slots, since the existing methods only predict the spectrum of one time slot. The continuous state of a channel is divided into a many time slots, forming a time series of the channel state. Since there are more hidden layers in the DRNN than in the RNN, the DRNN has fading memory in its bottom layer as well as in the past input. In addition, the extended Kalman filter was used to train the DRNN, which overcomes the problem of slow convergence and the vanishing gradient of the gradient descent method. The spectrum prediction based on the DRNN was verified with a WiFi signal, and the error of the prediction was analyzed. The simulation results proved that the multiple slot spectrum prediction improved the spectrum efficiency and reduced the energy consumption of spectrum sensing.

• Journal of the Korea Society of Computer and Information
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• v.14 no.5
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• pp.19-28
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• 2009

Prediction problem of the time-series data has been a research issue for a long time among many researchers and a number of methods have been proposed in the literatures. In this paper, a method is proposed that similarities among time-series data are examined by use of Hidden Markov Model and Likelihood and future direction of the data movement is determined. Query sequence is modeled by Hidden Markov Modeling and then the model is examined over the pre-recorded time-series to find the subsequence which has the greatest similarity between the model and the extracted subsequence. The similarity is evaluated by likelihood. When the best subsequence is chosen, the next portion of the subsequence is used to predict the next phase of the data movement. A number of experiments with different parameters have been conducted to confirm the validity of the method. We used KOSPI to verify suggested method.

• 제어로봇시스템학회:학술대회논문집
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• 2000.10a
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• pp.523-523
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• 2000

We have developed a method to build time series prediction models by Genetic Programming (GP). Our proposed CP includes two new techniques. One is the parameter optimization algorithm, and the other is the new mutation operator. In this paper, the sunspot prediction experiment by our proposed CP was performed. The sunspot prediction is good benchmark, because many researchers have predicted them with various kinds of models. We make three experiments. The first is to compare our proposed method with the conventional methods. The second is to investigate about the relation between a model-building period and prediction precision. In the first and the second experiments, the long-term data of annual sunspots are used. The third is to try the prediction using monthly sunspots. The annual sunspots are a mean of the monthly sunspots. The behaviors of the monthly sunspot cycles in tile annual sunspot data become invisible. In the long-term data of the monthly sunspots, the behavior appears and is complicated. We estimate that the monthly sunspot prediction is more difficult than the annual sunspot prediction. The usefulness of our method in time series prediction is verified by these experiments.

• Structural Engineering and Mechanics
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• v.67 no.2
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• pp.105-113
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• 2018

To improve the prediction accuracy of the strong-unloading rock slope performance and obtain the range of variation in the slope displacement, a new displacement time-series prediction model is proposed, called the fuzzy information granulation (FIG)-genetic algorithm (GA)-back propagation neural network (BPNN) model. Initially, a displacement time series is selected as the training samples of the prediction model on the basis of an analysis of the causes of the change in the slope behavior. Then, FIG is executed to partition the series and obtain the characteristic parameters of every partition. Furthermore, the later characteristic parameters are predicted by inputting the earlier characteristic parameters into the GA-BPNN model, where a GA is used to optimize the initial weights and thresholds of the BPNN; in the process, the numbers of input layer nodes, hidden layer nodes, and output layer nodes are determined by a trial method. Finally, the prediction model is evaluated by comparing the measured and predicted values. The model is applied to predict the displacement time series of a strong-unloading rock slope in a hydropower station. The engineering case shows that the FIG-GA-BPNN model can obtain more accurate predicted results and has high engineering application value.

• The Journal of Bigdata
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• v.7 no.2
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• pp.217-224
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• 2022

Since online shopping has become common, people can easily buy fashion goods anytime, anywhere. Therefore, consumers quickly respond to various environmental variables such as weather and sales prices. Therefore, utilizing big data for efficient inventory management has become very important in the fashion industry. In this paper, the changes in sales volume of fashion goods due to changes in temperature is analyzed via the proposed big data analysis algorithm by utilizing actual big data from Korean fashion company 'A'. According to the simulation results, it was confirmed that Bidirectional-LSTM(Bi-LSTM) compared to LSTM(Long Short-Term Memory) takes more simulation time about more than 50%, but the prediction accuracy of non-periodic time series data such as clothing product sales data is the same.

• Journal of Soil and Groundwater Environment
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• v.20 no.3
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• pp.74-82
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• 2015

A method to filter out the effect of river stage fluctuations on groundwater level was designed using an artificial neural network-based time series model of groundwater level prediction. The designed method was applied to daily groundwater level data near the Gangjeong-Koryeong Barrage in the Nakdong river. Direct prediction time series models were successfully developed for both cases of before and after the barrage construction using past measurement data of rainfall, river stage, and groundwater level as inputs. The correlation coefficient values between observed and predicted data were over 0.97. Using the time series models the effect of river stage on groundwater level data was filtered out by setting a constant value for river stage inputs. The filtered data were applied to the hybrid water table fluctuation method in order to estimate the groundwater recharge. The calculated ratios of groundwater recharge to precipitation before and after the barrage construction were 11.0% and 4.3%, respectively. It is expected that the proposed method can be a useful tool for groundwater level prediction and recharge estimation in the riverside area.