• Communications for Statistical Applications and Methods
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• v.16 no.5
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• pp.791-801
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• 2009

Value-at-Risk(VaR) has been used as an important tool to measure the market risk. However, the selection of the VaR models is controversial. This paper proposes VaR forecast combinations using support vector machine quantile regression instead of selecting a single model out of historical simulation and GARCH.

• 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.

• The Korean Journal of Applied Statistics
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• v.18 no.2
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• pp.421-434
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• 2005

Machine learning has been extensively studied in recent years as effective tools in pattern classification problem. Although there have been several approaches to machine learning, we focus on the mathematical programming (in particular, multi-objective and goal programming; MOP/GP) approaches in this paper. Among them, Support Vector Machine (SVM) is gaining much popularity recently. In pattern classification problem with two class sets, the idea is to find a maximal margin separating hyperplane which gives the greatest separation between the classes in a high dimensional feature space. However, the idea of maximal margin separation is not quite new: in 1960's the multi-surface method (MSM) was suggested by Mangasarian. In 1980's, linear classifiers using goal programming were developed extensively. This paper proposes a new family of SVM using MOP/GP techniques, and discusses its effectiveness throughout several numerical experiments.

• The Korean Journal of Applied Statistics
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• v.16 no.2
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• pp.261-271
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• 2003

Support Vector Machines (SVMs) provide a powerful performance of the learning system. Generally, SVMs tend to make overfitting. For the purpose of overcoming this difficulty, the definition of soft margin has been introduced. In this case, it causes another difficulty to decide the weight for slack variables reflecting soft margin classifiers. Especially, the error of soft margin algorithm can be bounded by a target margin and some norms of the slack vector. In this paper, we formulate a new soft margin algorithm considering the bound of corruption by noise in data directly. Additionally, through a numerical example, we compare the proposed method with a conventional soft margin algorithm.

• The Korean Journal of Applied Statistics
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• v.21 no.1
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• pp.159-168
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• 2008

Since the term structure of interest rates (TSIR) has longitudinal data, we should consider as input variables both time left to maturity and time simultaneously to get a more useful and more efficient function estimation. However, since the resulting data set becomes very large, we need to develop a fast and reliable estimation method for large data set. Furthermore, it tends to overestimate TSIR because data are correlated. To solve these problems we propose a mixture of weighted least squares support vector machines. We recognize that the estimate is well smoothed and well explains effects of the third stock market crash in USA through applying the proposed method to the US Treasury bonds data.

• 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 Korea Convergence Society
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• v.10 no.4
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• pp.17-23
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• 2019

In this paper, quality control (QC) is applied to each meteorological element of weather data collected from seven IoT sensors such as temperature. In addition, we propose a method for estimating the data regarded as error by means of machine learning. The collected meteorological data was linearly interpolated based on the basic QC results, and then machine learning-based QC was performed. Support vector regression, decision table, and multilayer perceptron were used as machine learning techniques. We confirmed that the mean absolute error (MAE) of the machine learning models through the basic QC is 21% lower than that of models without basic QC. In addition, when the support vector regression model was compared with other machine learning methods, it was found that the MAE is 24% lower than that of the multilayer neural network and 58% lower than that of the decision table on average.

• Journal of the Korean Data and Information Science Society
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• v.24 no.3
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• pp.495-504
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• 2013

Evolutionary algorithms have been applied to multi-objective optimization problems by approximation methods using computational intelligence. Those methods have been improved gradually in order to generate more exactly many approximate Pareto optimal solutions. The paper introduces a new method using support vector machine to find an approximate Pareto frontier in multi-objective optimization problems. Moreover, this paper applies an evolutionary algorithm to the proposed method in order to generate more exactly approximate Pareto frontiers. Then a decision making with two or three objective functions can be easily performed on the basis of visualized Pareto frontiers by the proposed method. Finally, a few examples will be demonstrated for the effectiveness of the proposed method.

• The Journal of the Korea institute of electronic communication sciences
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• v.15 no.3
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• pp.513-520
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• 2020

Recently, the development of a vision inspection system using machine learning has become more active. This study seeks to develop a defect inspection model using machine learning. Defect detection problems for images correspond to classification problems, which are the method of supervised learning in machine learning. In this study, defect detection models are developed based on algorithms that automatically extract features and algorithms that do not extract features. One-dimensional CNN and two-dimensional CNN are used as algorithms for automatic extraction of features, and MLP and SVM are used as algorithms for non-extracting features. A defect detection model is developed based on four models and their accuracy and AUC compare based on AUC. Although image classification is common in the development of models using CNN, high accuracy and AUC is achieved when developing SVM models by converting pixels from images into RGB values in this study.

• Journal of the Korean Data and Information Science Society
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• v.21 no.3
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• pp.419-425
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• 2010

Kernel machine learning is gaining a lot of popularities in analyzing large or high dimensional nonlinear data. We use this technique to estimate a GARCH model for predicting the conditional volatility of stock market returns. GARCH models are usually estimated using maximum likelihood (ML) procedures, assuming that the data are normally distributed. In this paper, we show that GARCH models can be estimated using kernel machine learning and that kernel machine has a higher predicting ability than ML methods and support vector machine, when estimating volatility of financial time series data with fat tail.