• Journal of the Korean Society for Railway
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• v.14 no.5
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• pp.470-476
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• 2011

This study proposed the intervention ARIMA model as a way to forecast the KTX passenger demand. The second phase of the Gyeongbu high-speed rail project and the financial crisis in 2008 were analyzed in order to determine the effect of time series on the opening of a new line and economic impact. As a result, the financial crisis showed that there is no statistically significant impact, but the second phase of the Gyeongbu high-speed rail project showed that the weekday trips increased about 17,000 trips/day and the weekend trips increased about 26,000 trips/day. This study is meaningful in that the intervention explained the phenomena affecting the time series of KTX trip and analyzed the impact on intervention of time series quantitatively. The developed model can be used to forecast the outline of the overall KTX demand and to validate the KTX O/D forecasting demand.

• Journal of Distribution Science
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• v.14 no.11
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• pp.83-90
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• 2016

Purpose - During the last two years, convenient stores (CS) are emerging as one of the most fast-growing retail trades in Korea. The goal of this work is to forecast and to analyze sales at CS using ARIMA-Intervention model (IM) and exponential smoothing method (ESM), together with sales at supermarkets in South Korea. Considering that two retail trades above are homogeneous and comparable in size and purchasing items on off-line distribution channel, individual behavior and characteristic can be detected and also relative superiority of future growth can be forecasted. In particular, the rapid growth of sales at CS is regarded as an everlasting external event, or step intervention, so that IM with season variation can be examined. At the same time, Winters ESM can be investigated as an alternative to seasonal ARIMA-IM, on the assumption that the underlying series shows exponentially decreasing weights over time. In case of sales at supermarkets, the marked intervention could not be found over the underlying periods, so that only Winters ESM is considered. Research Design, Data, and Methodology - The dataset of this research is obtained from Korean Statistical Information Service (1/2010~7/2016) and Survey of Service Trend of Korea Statistics Administration. This work is exploited time series analyses such as IM, ESM and model-fitting statistics by using TSPLOT, TSMODEL, EXSMOOTH, ARIMA and MODELFIT procedures in SPSS 23.0. Results - By applying seasonal ARIMA-Intervention model to sales at CS, the steep and persisting increase can be expected over the next one year. On the other hand, we expect the rate of sales growth of supermarkets to be lagging and tied up constantly in the next 2016 year. Conclusions - Based on 2017 one-year sales forecasts for CS and supermarkets, we can yield the useful information for the development of CS and also for all retail trades. Future study is needed to analyze sales of popular items individually such as tobacco, banana milk, soju and so on and to get segmented results. Furthermore, we can expand sales forecasts to other retail trades such as department stores, hypermarkets, non-store retailing, so that comprehensive diagnostics can be delivered in the future.

• The Korean Journal of Applied Statistics
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• v.11 no.2
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• pp.335-350
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• 1998

X11ARIMA is established on the basis of X11 which is one of smoothing approach in time series area and this procedure was introduced by Bureau of Census of United States and developed by Dagum(1975). This procedure had been updated and adjusted by Dagum(1988) with 174 economic index of North America and has been used until nowadays. Recently, X12ARIMA procedure has been studied by William Bell et.al. (1995) and Chen. & Findly(1995) whose approaches adapt adjusting outliers, Trend-change effects, seasonal effect, arid Calender effect. However, both of these procedures were implemented for correct adjusting the economic index of North America. This article starts with providing some appropriate and effective ARIMA model for 102 indexes produced by national statistical office in Korea; which consists of production(21), shipping(27), stock(27), and operating rate index(21). And a reasonable smoothing method will be proposed to reflect the specificity of Korean economy using several moving average model. In addition, Sulnal(lunar happy new year) and Chusuk effects will be extracted from the indexes above and both of effects reflect contribution of lunar calender effect. Finally, we will discuss an alternative way to estimate holiday effect which is similar to X12ARIMA procedure in concept of using both of ARIMA model and Regression model for the best fitness.

• The Korean Journal of Applied Statistics
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• v.26 no.2
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• pp.237-252
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• 2013

An estimation model for premiums and components is essential to determine reasonable insurance premiums. In this study, we introduce diverse models for the estimation of property damage premiums(premium, depth and frequency) that include a regression model using a dummy variable, additive independent variable model, autoregressive error model, seasonal ARIMA model and intervention model. In addition, the actual property damage premium data was used to estimate the premium, depth and frequency for each model. The estimation results of the models are comparatively examined by comparing the RMSE(Root Mean Squared Errors) of estimates and actual data. Based on real data analysis, we found that the autoregressive error model showed the best performance.

• Communications for Statistical Applications and Methods
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• v.19 no.3
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• pp.507-516
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• 2012

We study time series models for seasonal time series data with a covariance structure that depends on time and the periodic autocorrelation at various lags $k$. In this paper, we introduce an ARMA model with periodically varying coefficients(PARMA) and analyze Arosa ozone data with a periodic correlation in the practical case study. Finally, we use a PARMA model and a seasonal ARIMA model for data analysis and show the performance of a PARMA model with a comparison to the SARIMA model.

• KDI Journal of Economic Policy
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• v.14 no.1
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• pp.121-145
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• 1992

This paper examines characteristics of time series data related to the construction investment(stationarity and time series components such as secular trend, cyclical fluctuation, seasonal variation, and random change) and surveys predictibility, fitness, and explicability of independent variables of various models to build a short-term construction investment forecasting model suitable for current economic circumstances. Unit root test, autocorrelation coefficient and spectral density function analysis show that related time series data do not have unit roots, fluctuate cyclically, and are largely explicated by lagged variables. Moreover it is very important for the short-term construction investment forecasting to grasp time lag relation between construction investment series and leading indicators such as building construction permits and value of construction orders received. In chapter 3, we explicate 7 forecasting models; Univariate time series model (ARIMA and multiplicative linear trend model), multivariate time series model using leading indicators (1st order autoregressive model, vector autoregressive model and error correction model) and multivariate time series model using National Accounts data (simple reduced form model disconnected from simultaneous macroeconomic model and VAR model). These models are examined by 4 statistical tools that are average absolute error, root mean square error, adjusted coefficient of determination, and Durbin-Watson statistic. This analysis proves two facts. First, multivariate models are more suitable than univariate models in the point that forecasting error of multivariate models tend to decrease in contrast to the case of latter. Second, VAR model is superior than any other multivariate models; average absolute prediction error and root mean square error of VAR model are quitely low and adjusted coefficient of determination is higher. This conclusion is reasonable when we consider current construction investment has sustained overheating growth more than secular trend.