• Economic Analysis
• /
• 제26권1호
• /
• pp.84-132
• /
• 2020

A central bank infers market expectations of future yields based on yield curves. The central bank needs to precisely understand the changes in market expectations of future yields in order to have a more effective monetary policy. This need explains why a range of models have attempted to produce yield curves and market expectations that are as accurate as possible. Alongside the development of bond markets, the interconnectedness between them and macroeconomic factors has deepened, and this has rendered understanding of what macroeconomic variables affect yield curves even more important. However, the existence of various theories about determinants of yields inevitably means that previous studies have applied different macroeconomics variables when estimating yield curves. This indicates model uncertainties and naturally poses a question: Which model better estimates yield curves? Put differently, which variables should be applied to better estimate yield curves? This study employs the Dynamic Nelson-Siegel Model and takes the Bayesian approach to variable selection in order to ensure precision in estimating yield curves and market expectations of future yields. Bayesian variable selection may be an effective estimation method because it is expected to alleviate problems arising from a priori selection of the key variables comprising a model, and because it is a comprehensive approach that efficiently reflects model uncertainties in estimations. A comparison of Bayesian variable selection with the models of previous studies finds that the question of which macroeconomic variables are applied to a model has considerable impact on market expectations of future yields. This shows that model uncertainties exert great influence on the resultant estimates, and that it is reasonable to reflect model uncertainties in the estimation. Those implications are underscored by the superior forecasting performance of Bayesian variable selection models over those models used in previous studies. Therefore, the use of a Bayesian variable selection model is advisable in estimating yield curves and market expectations of yield curves with greater exactitude in consideration of the impact of model uncertainties on the estimation.

• Proceedings of the Korean Institute of Information and Commucation Sciences Conference
• /
• 한국정보통신학회 2016년도 춘계학술대회
• /
• pp.89-90
• /
• 2016

Anomalous propagation echo is a kind of abnormal radar signal occurred by irregularly refracted radar beam caused by temperature or humidity. The echo frequently appears in ground-based weather radar. In order to improve accuracy of weather forecasting, it is important to analyze radar data precisely. Therefore, there are several ongoing researches about identifying the anomalous propagation echo all over the world. This paper conducts researches about a classification method which can distinguish anomalous propagation echo in the radar data using naive Bayes classifier and unique attributes of the echo such as reflectivity, altitude, and so on. It is confirmed that the fine classification results are derived by verifying the suggested naive Bayes classifier using actual appearance cases of the echo.

• Journal of Korea Water Resources Association
• /
• 제54권8호
• /
• pp.617-628
• /
• 2021

Drought is a major natural disaster that causes serious social and economic losses. Local drought forecasts can provide important information for drought preparedness. In this study, we propose a new machine learning model that predicts drought by using historical drought indices and meteorological data from 10 sites from 1981 to 2020 in the southeastern part of the Korean Peninsula, Busan-Ulsan-Gyeongnam. Using Bayesian optimization techniques, a hyper-parameter-tuned Random Forest, XGBoost, and Light GBM model were constructed to predict the evaporative demand drought index on a 6-month time scale after 1-month. The model performance was compared by constructing a single site model and a regional model, respectively. In addition, the possibility of improving the model performance was examined by constructing a fine-tuned model using data from a individual site based on the regional model.

• Journal of the Korean Operations Research and Management Science Society
• /
• 제12권1호
• /
• pp.19-26
• /
• 1987

In analyzing time series, estimating the level or the current mean of the process plays an important role in understanding its structure and in being able to make forecasts. The studies the class of time series models where the level of the process is assumed to follow a random walk and the deviation from the level follow an ARMA process. The estimation and forecasting problem in a Bayesian framework and uses the Kalman filter to obtain forecasts based on estimates of level. In the analysis of time series, we usually make the assumption that the time series is generated by one model. However, in many situations the time series undergoes a structural change at one point in time. For example there may be a change in the distribution of random variables or in parameter values. Another example occurs when the level of the process changes abruptly at one period. In order to study such problems, the assumption that level follows a random walk process is relaxed to include a major level change at a particular point in time. The major level change is detected by examining the likelihood raio under a null hypothesis of no change and an alternative hypothesis of a major level change. The author proposes a method for estimation the size of the level change by adding one state variable to the state space model of the original Kalman filter. Detailed theoretical and numerical results are obtained for th first order autoregressive process wirth level changes.

• International Journal of Highway Engineering
• /
• 제19권5호
• /
• pp.1-11
• /
• 2017

PURPOSES : This study is aimed at development of a stochastic pavement deterioration forecasting model using National Highway Pavement Condition Index (NHPCI) to support infrastructure asset management. Using this model, the deterioration process regarding life expectancy, deterioration speed change, and reliability were estimated. METHODS : Eight years of Long-Term Pavement Performance (LTPP) data fused with traffic loads (Equivalent Single Axle Loads; ESAL) and structural capacity (Structural Number of Pavement; SNP) were used for the deterioration modeling. As an ideal stochastic model for asset management, Bayesian Markov multi-state exponential hazard model was introduced. RESULTS:The interval of NHPCI was empirically distributed from 8 to 2, and the estimation functions of individual condition indices (crack, rutting, and IRI) in conjunction with the NHPCI index were suggested. The derived deterioration curve shows that life expectancies for the preventive maintenance level was 8.34 years. The general life expectancy was 12.77 years and located in the statistical interval of 11.10-15.58 years at a 95.5% reliability level. CONCLUSIONS : This study originates and contributes to suggesting a simple way to develop a pavement deterioration model using the total condition index that considers road user satisfaction. A definition for level of service system and the corresponding life expectancies are useful for building long-term maintenance plan, especially in Life Cycle Cost Analysis (LCCA) work.

• Proceedings of the Korea Water Resources Association Conference
• /
• 한국수자원학회 2011년도 학술발표회
• /
• pp.401-401
• /
• 2011

본 연구는 Bayesian MCMC(Markov Chain Monte Carlo)를 이용한 비정상성 빈도해석 모형에 외부기상인자를 결합하여 계절단위의 강수량을 예측하는데 목적을 두고 있으며, 그 중에서도 홍수 위험도와 관련하여 유용하게 이용될 수 있는 여름강수량을 예측 대상으로 하였다. 비정상성 빈도해석 모형을 기반으로 외부 기상인자에 의한 변동성을 고려하기 위해서는 대상 수문량을 한정할 필요가 있으며 극대치강수량과 연관성이 높은 장마전선, 태풍 등의 기상인자는 공간적 변동성 및 복합적인 특성들로 인해 예측인자를 구성하는 기상인자로 사용하기에는 무리가 있다. 따라서 본 연구에서는 계절단위의 수문량으로 여름강수량을 대상으로 하였으며, 이에 영향을 미치는 외부 기상인자로서 SST(sea surface temperature)와 OLR(outgoing longwave radiation)을 도입하였으며, 낙동강유역 여름강수량과의 공간 상관성이 높은 지역의 이전 겨울 SST와 6월 OLR을 예측인자로 활용한 7~9월 여름강수량 예측모형을 구성하였다. 모형의 검증은 결과를 알고 있는 2010년 여름 강수량을 대상으로 수행하였으며, 모형의 적용은 현재시점에서 관측된 2010년 겨울 SST와, 과거 관측 자료를 토대로 가정된 2011년 6월 OLR을 이용하여 2011년 여름 강수량을 예측하였다. 결과적으로 모형 매개변수들의 사후분포로부터 불확실성 구간을 포함한 예측결과를 구할 수 있었다.

• The Journal of the Korea institute of electronic communication sciences
• /
• 제14권4호
• /
• pp.775-780
• /
• 2019

Techniques for predicting the future can be categorized into statistics-based and deep-run-based techniques. Among them, statistic-based techniques are widely used because simple and highly accurate. However, working-level officials have difficulty using many analytical techniques correctly. In this study, we compared the accuracy of prediction by applying multinomial logistic regression, decision tree, random forest, support vector machine, and Bayesian inference to marketing related data. The same marketing data was used, and analysis was conducted by using R. The prediction results of various techniques reflecting the data characteristics of the marketing field will be a good reference for practitioners.

• Korea Trade Review
• /
• 제44권2호
• /
• pp.127-141
• /
• 2019

In this study, the relationship between Baltic Dry Index(BDI) and maritime trade volume in the dry cargo market was verified using the vector autoregressive (VAR) model. Data was analyzed from 1992 to 2018 for iron ore, steam coal, coking coal, grain, and minor bulks of maritime trade volume and BDI. Granger causality analysis showed that the BDI affects the trade volume of coking coal and minor bulks but the trade volume of iron ore, steam coal and grain do not correlate with the BDI freight index. Impulse response analysis showed that the shock of BDI had the greatest impact on coking coal at the two years lag and the impact was negligible at the ten years lag. In addition, the shock of BDI on minor cargoes was strongest at the three years lag, and were negligible at the ten years lag. This study examined the relationship between maritime trade volume and BDI in the dry bulk shipping market in which uncertainty is high. As a result of this study, there is an economic aspect of sustainability that has helped the risk management of shipping companies. In addition, it is significant from an academic point of view that the long-term relationship between the two time series was analyzed through the causality test between variables. However, it is necessary to develop a forecasting model that will help decision makers in maritime markets using more sophisticated methods such as the Bayesian VAR model.

• Geomechanics and Engineering
• /
• 제28권4호
• /
• pp.359-374
• /
• 2022

Geology conditions are crucial in decision-making during the planning and design phase of a tunnel project. Estimation of the geology conditions of road tunnels is subject to significant uncertainties. In this work, the effectiveness of a novel regression method in estimating geological or geotechnical parameters of road tunnel projects was explored. This method, called Gaussian process regression (GPR), formulates the learning of the regressor within a Bayesian framework. The GPR model was trained with data of old tunnel projects. To verify its feasibility, the GPR technique was applied to a road tunnel to predict the state of three geological/geomechanical parameters of Rock Mass Rating (RMR), Rock Structure Rating (RSR) and Q-value. Finally, in order to validate the GPR approach, the forecasted results were compared to the field-observed results. From this comparison, it was concluded that, the GPR is presented very good predictions. The R-squared values between the predicted results of the GPR vs. field-observed results for the RMR, RSR and Q-value were obtained equal to 0.8581, 0.8148 and 0.8788, respectively.

• Journal of Korean Society of Industrial and Systems Engineering
• /
• 제47권1호
• /
• pp.1-8
• /
• 2024

This study analyzed the impact of Higher-order resources on profit sustainability for domestic companies using a mathematical statistical model. Higher-order resources refer to resources that do not directly affect profits but influence other resources that directly contribute to profits. As a result of analysis using 30 years of actual data from more than 650 domestic companies, the average duration of competitive advantage including high-order resources was found to be about twice as long as the period suggested by the autoregressive model excluding high-order resources. Through this, if companies want to earn more profits over a long period of time than their competitors, they must not only possess resources that are more valuable, rare, difficult to imitate, and non-substitutable compared to their competitors, but also that higher-order resources can contribute to changes in these resources over time. It was confirmed that it must lead the long-term profit difference. High-level resources include strategic planning, mergers and acquisitions (M&A) capabilities, and good forecasting.