• 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 Data and Information Science Society
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• v.20 no.5
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• pp.879-886
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• 2009

The purpose of this article is to present the application of Least Squares Support Vector Machine in analyzing the existing structure of brand. We estimate the parameters of the Market Share Attraction Model using a non-parametric technique for function estimation called Least Squares Support Vector Machine, which allows us to perform even nonlinear regression by constructing a linear regression function in a high dimensional feature space. Estimation by Least Squares Support Vector Machine technique makes it a good candidate for solving the Market Share Attraction Model. To illustrate the performance of the proposed method, we use the car sales data in South Korea's car market.

• The KIPS Transactions:PartD
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• v.16D no.5
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• pp.729-736
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• 2009

The accurate estimation of software development cost is important to a successful development in software engineering. Until recent days, the model using regression analysis based on statistical algorithm and machine learning method have been used. However, this paper estimates the software cost using support vector regression, a sort of machine learning technique. Also, it finds the best set of optimized parameters applying genetic algorithm. The proposed GA-SVR model outperform some recent results reported in the literature.

• Journal of the Korean Data and Information Science Society
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• v.25 no.3
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• pp.513-522
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• 2014

Using the assumption that the price of a stock follows a geometric Brownian motion with constant volatility, Black and Scholes (BS) derived a formula that gives the price of a European call option on the stock as a function of the stock price, the strike price, the time to maturity, the risk-free interest rate, the dividend rate paid by the stock, and the volatility of the stock's return. However, implied volatilities of BS method tend to depend on the stock prices and the time to maturity in practice. To address this shortcoming, we estimate the implied volatility function as a function of the strike priceand the time to maturity for data consisting of the daily prices for KOSPI200 call options from January 2007 to May 2009 using support vector regression (SVR), the multiple additive regression trees (MART) algorithm, and ordinary least squaress (OLS) regression. In conclusion, use of MART or SVR in the BS pricing model reduced both RMSE and MAE, compared to the OLS-based BS pricing model.

• Journal of the Korean Institute of Intelligent Systems
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• v.25 no.1
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• pp.15-21
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• 2015

In support vector machine, the values of parameters included in kernels affect strongly generalization ability. It is often difficult to determine appropriate values of those parameters in advance. It has been observed through our studies that the burden for deciding the values of those parameters in support vector regression can be reduced by utilizing ensemble learning. However, the straightforward application of the method to large scale problems is too time consuming. In this paper, we propose a method in which the original data set is decomposed into a certain number of sub data set in order to reduce the burden for parameter tuning in support vector regression with large scale data sets and imbalanced data set, particularly.

• Proceedings of the KSME Conference
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• 2005.11a
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• pp.146.1-146.1
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• 2005

• Communications for Statistical Applications and Methods
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• v.18 no.2
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• pp.171-177
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• 2011

In order to construct approximation functions for real data, it is necessary to remove the outliers from the measured raw data before constructing the model. Conventionally, visualization and maximum residual error have been used for outlier detection, but they often fail to detect outliers for nonlinear functions with multidimensional input. Although the standard support vector regression based outlier detection methods for nonlinear function with multidimensional input have achieved good performance, they have practical issues in computational cost and parameter adjustments. In this paper we propose a practical approach to outlier detection using support vector regression that reduces computational time and defines outlier threshold suitably. We apply this approach to real data examples for validity.

• Journal of the Korean Data and Information Science Society
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• v.20 no.6
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• pp.1093-1101
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• 2009

Quantile regression has become a more widely used technique to describe the distribution of a response variable given a set of explanatory variables. This paper proposes a novel modelfor quantile regression using doubly penalized kernel machine with support vector machine iteratively reweighted least squares (SVM-IRWLS). To make inference about the shape of a population distribution, the widely popularregression, would be inadequate, if the distribution is not approximately Gaussian. We present a likelihood-based approach to the estimation of the regression quantiles that uses the asymmetric Laplace density.

• Korean Journal of Construction Engineering and Management
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• v.15 no.4
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• pp.68-76
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• 2014

The accurate estimation of construction cost is important to a successful development in construction projects. In previous studies, the construction cost are estimated by statistical methods. Among the statistical methods, support vector regression (SVR) has attracted a lot of attentions because of the generalization ability in the field of cost estimation. However, despite the simplicity of the parameter to be adjusted, it is not easy to find optimal parameters. Therefore, to build an effective SVR model, SVR's parameters must be set properly without additional data handling loads. So this study proposes a novel approach, known as genetic algorithm (GA), which searches SVR's optimal parameters, then adopt the parameters to the SVR model for estimating cost in the early stage of apartment housing projects. The aim of this study is to propose a GA-SVR model and examine the feasibility in cost estimation by comparing with multiple regression analysis (MRA). The experimental results demonstrate the estimating performance based on the percentage of estimations within 25% and find it can effectively do the accurate estimation without through the trial and error process.

• Proceedings of the Korea Water Resources Association Conference
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• 2022.05a
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• pp.25-25
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• 2022

하천의 개발 및 보전 계획을 수립하는 데에 있어 자연하천의 부유사량 및 총유사량을 계측하는 것은 매우 중요하다. 우리나라에서는 매년 국내 자연하천을 대상으로 부유사량을 실측하고 실측 부유사량을 바탕으로 수정 아인슈타인 방법을 적용해 총유사량을 산정하고 있으나 이 또한 홍수기에 국한되어 있다. 가장 일반적인 유사량 계측 방법인 시료 채집에 의한 방법은 많은 노력과 비용을 수반하기 때문에 유사량 관측소와 관측 빈도를 늘릴 수 없는 실정이다. 최근에는 ADCP 음파 신호의 후방산란도가 부유사 농도에 따라 증가한다는 성질을 이용해 부유사 농도 계측에 ADCP를 이용하고자 하는 노력이 계속되고 있다. 이러한 특성을 이용해 본 연구에서는 전라남도 나주시에 위치한 남평교 자동유량관측소에 설치된 횡방향 ADCP (H-ADCP)를 대상으로 서포트 벡터 회귀(SVR)를 적용한 실시간 유사량 모니터링 모형을 제안하였다. 여기서 제시하는 유사량산정 모형은 크게 유량과 초음파 산란도를 입력 변수로 해 부유사 농도를 산정하는 서포트 벡터 회귀 모형과 첫 번째 모형으로부터 산정된 부유사 농도와 흐름 정보를 이용해 총유사량을 산정하는 모형으로 구성되어 있다. 개발된 SVR 부유사량 및 총유사량 산정 모형의 정확도가 결정계수(R²) 기준으로 각각 0.82, 0.90 으로 나타났다. 주목할 점은, 본 연구에서 제시하는 SVR 모형을 이용해 멱함수 기반 유사량 관계식으로는 예측할 수 없는 유사량의 이력현상을 재현해낼 수 있다는 것이다. 본 연구에서 제시하는 H-ADCP 기반 총유사량 모니터링 방법은 기존 자동 유량 관측소 시설을 그대로 이용할 수 있다는 장점이 있다. 따라서 실무 적용 시 낮은 추가비용으로 양질의 유사량 모니터링이 가능할 것으로 기대된다.