• Journal of the Korean Statistical Society
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• v.22 no.2
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• pp.259-269
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• 1993

A moving average model, LMA(q) and an autoregressive-moving average model, NLARMA(p, q), with Laplacian marginal distribution are constructed and their properties are discussed; Their autocorrelation structures are completely analogus to those of Gaussian process and they are partially time reversible in the third order moments. Finally, we study the mixing property of NLARMA process.

• Journal of Communications and Networks
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• v.13 no.6
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• pp.621-624
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• 2011

With the rapid growth of internet traffic, accurate and reliable prediction of internet traffic has been a key issue in network management and planning. This paper proposes an autoregressive-generalized autoregressive conditional heteroscedasticity (AR-GARCH) error model for forecasting internet traffic and evaluates its performance by comparing it with seasonal autoregressive integrated moving average (ARIMA) models in terms of root mean square error (RMSE) criterion. The results indicated that the seasonal AR-GARCH models outperformed the seasonal ARIMA models in terms of forecasting accuracy with respect to the RMSE criterion.

• Journal of Electrical Engineering and Technology
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• v.11 no.6
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• pp.1548-1555
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• 2016

This paper presents an application of time series analysis in hourly wind speed simulation and forecast in Jeju Island, Korea. Autoregressive - moving average (ARMA) model, which is well in description of random data characteristics, is used to analyze historical wind speed data (from year of 2010 to 2012). The ARMA model requires stationary variables of data is satisfied by power law transformation and standardization. In this study, the autocorrelation analysis, Bayesian information criterion and general least squares algorithm is implemented to identify and estimate parameters of wind speed model. The ARMA (2,1) models, fitted to the wind speed data, simulate reference year and forecast hourly wind speed in Jeju Island.

• Communications for Statistical Applications and Methods
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• v.18 no.3
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• pp.319-331
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• 2011

In this paper, we propose automatic procedures for the model selection of various univariate time series data. Automatic model selection is important, especially in data mining with large number of time series, for example, the number (in thousands) of signals accessing a web server during a specific time period. Several methods have been proposed for automatic model selection of time series. However, most existing methods focus on linear time series models such as exponential smoothing and autoregressive integrated moving average(ARIMA) models. The key feature that distinguishes the proposed procedures from previous approaches is that the former can be used for both linear time series models and nonlinear time series models such as threshold autoregressive(TAR) models and autoregressive moving average-generalized autoregressive conditional heteroscedasticity(ARMA-GARCH) models. The proposed methods select a model from among the various models in the prediction error sense. We also provide an R package autots that implements the proposed automatic model selection procedures. In this paper, we illustrate these algorithms with the artificial and real data, and describe the implementation of the autots package for R.

• The Korean Journal of Applied Statistics
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• v.36 no.1
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• pp.21-32
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• 2023

The amount of money processed in medicine from the Korea Consumer Agency was studied by the various time series models. The medical data set from the Korea Consumer Agency were consisted of counseling, damage relief and conciliation. For the analysis of time series, autoregressive moving average model, vector autoregressive model and the transfer function model were used. We considered the stationarity and cross correlation function for the identification and fitting. As a result, the transfer function model showed a better prediction. Whereas, the vector autoregressive model also provided good information for the degree and duration of the influence of variables.

• Journal of the Korean Statistical Society
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• v.23 no.2
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• pp.325-340
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• 1994

Effects of temporal aggregation on estimation for ARMA models are studied by investigating the Hannan & Rissanen (1982)'s procedure. The temporal aggregation of autoregressive process has a representation of an autoregressive moving average. The characteristic polynomials associated with autoregressive part and moving average part tend to have roots close to zero or almost identical. This caused a numerical problem in the Hannan & Rissanen procedure for identifying and estimating the temporally aggregated autoregressive model. A Monte-Carlo simulation is conducted to show the effects of temporal aggregation in predicting one period ahead realization.

• ETRI Journal
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• v.46 no.3
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• pp.461-472
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• 2024

We propose a network traffic prediction model based on linear and nonlinear model combination. Network traffic is modeled by an autoregressive moving average model, and the error between the measured and predicted network traffic values is obtained. Then, an echo state network is used to fit the prediction error with nonlinear components. In addition, an improved slime mold algorithm is proposed for reservoir parameter optimization of the echo state network, further improving the regression performance. The predictions of the linear (autoregressive moving average) and nonlinear (echo state network) models are added to obtain the final prediction. Compared with other prediction models, test results on two network traffic datasets from mobile and fixed networks show that the proposed prediction model has a smaller error and difference measures. In addition, the coefficient of determination and index of agreement is close to 1, indicating a better data fitting performance. Although the proposed prediction model has a slight increase in time complexity for training and prediction compared with some models, it shows practical applicability.

• Communications for Statistical Applications and Methods
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• v.31 no.1
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• pp.143-154
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• 2024

This paper considers a combined model of exponential smoothing (ETS) and autoregressive integrated moving average (ARIMA) models that are commonly used to forecast time series data. The combined model is constructed through an innovational state space model based on the level variable instead of the differenced variable, and the identifiability of the model is investigated. We consider the maximum likelihood estimation for the model parameters and suggest the model selection steps. The forecasting performance of the model is evaluated by two real time series data. We consider the three competing models; ETS, ARIMA and the trigonometric Box-Cox autoregressive and moving average trend seasonal (TBATS) models, and compare and evaluate their root mean squared errors and mean absolute percentage errors for accuracy. The results show that the combined model outperforms the competing models.

• 한국태양에너지학회:학술대회논문집
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• 2008.11a
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• pp.288-293
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• 2008

A predictive model of wind speed in the wind farm has very important meanings. This paper presents an estimation model of wind speed based on time series analysis using the observed wind data at Hangyeong Wind Farm in Jeju island, and verification of the predictive model. In case of Hangyeong Wind Farm and Haengwon Wind Farm, The ARIMA(Autoregressive Integrated Moving Average) predictive model was appropriate, and the wind speed estimation model was developed by means of parametric estimation using Maximum likelihood Estimation.

• Journal of Institute of Control, Robotics and Systems
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• v.22 no.8
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• pp.650-655
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• 2016

In this paper, a novel RLS-based DOB (Recursive Least Squares Disturbance Observer) scheme is proposed to improve the performance of DOB for nominal model identification. A nominal model can be generally assumed to be a second order system in the form of a proper transfer function of an ARMA (Autoregressive Moving Average) model. The RLS algorithm for the model identification is proposed in association with DOB. Experimental studies of the balancing control of a one-wheel robot are conducted to demonstrate the feasibility of the proposed method. The performances between the conventional DOB scheme and the proposed scheme are compared.