• Industrial Engineering and Management Systems
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• 제7권1호
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• pp.9-22
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• 2008

As an extension of a previous work by the authors (Song and Esogbue, 2006), a new algorithm for automated modeling of nonstationary seasonal time series is presented in this paper. Issues relative to the methodology for building automatically seasonal time series models and periodic time series models are addressed. This is achieved by inspecting the trend, estimating the seasonality, determining the orders of the model, and estimating the parameters. As in our previous work, the major instruments used in the model identification process are correlograms of the modeling errors while the least square method is used for parameter estimation. We provide numerical illustrations of the performance of the new algorithms with respect to building both seasonal time series and periodic time series models. Additionally, we consider forecasting and exercise the models on some sample time series problems found in the literature as well as real life problems drawn from the retail industry. In each instance, the models are built automatically avoiding the necessity of any human intervention.

• 환경위생공학
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• 제15권2호
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• pp.65-74
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• 2000

The purpose of this study is to develop the stochastic stream water quality model for the intake station of Chung-Ju city waterworks in the Han river system. This model was based on the theory of Box-Jenkins Multiplicative ARIMA(SARIMA) and the state space model to simulate changes of water qualities. Variable of water qualities included in the model are temperature and dissolved oxygen(DO). The models development were based on the data obtained from Jan. 1990 to Dec. 1997 and followed the typical procedures of the Box-Jenkins method including identification and estimation. The seasonality of DO and temperature data to formulate for the SARIMA model are conspicuous and the period of revolution was twelve months. Both models had seasonality of twelve months and were formulates as SARIMA {TEX}$(2,1,1)(1,1,1)_{12}${/TEX} for DO and temperature. The models were validated by testing normality and independency of the residuals. The prediction ability of SARIMA model and state space model were tested using the data collected from Jan. 1998 to Oct. 1999. There were good agreements between the model predictions and the field measurements. The performance of the SARIMA model and state space model were examined through comparisons between the historical and generated monthly dissolved oxygen series. The result reveal that the state space model lead to the improved accuracy.

• 대한토목학회논문집
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• 제12권1호
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• pp.115-122
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• 1992

실시간 유출예측에서 주로 쓰이는 추계학적 강우-유출 과정모형은 모형구조가 간단하고 상태 공간 모형으로 수식화하기에 용이한 TF모형이다. 이 모형을 이용하여 실시간 유출예측을 효율적으로 수행하기 위해서는 정확한 모형구조의 결정이 선행되어야 하며, 특히 예측초기의 오차를 줄일 수 있는 방법이 요구된다. 본 연구에서는 이를 위하여 유역의 초기습윤상태를 나타낼 수 있는 5일 선행강우지수를 threshold개념으로 도입하고, 각각의 TF모형을 Box-Jenkins 방법으로 등정하여 비교 검토하여 보았다.

• 동아시아경상학회지
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• 제1권1호
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• pp.17-21
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• 2013

Purpose: Forecasting of petroleum consumption is useful in planning and management of petroleum production and control of air pollution. Research Design, Data and Methodology: ARMA models, sometimes called Box-Jenkins models after the iterative Box-Jenkins methodology usually used to estimate them, are typically applied to auto correlated time series data. Results: Petroleum consumption modeling plays a role key in big urban air pollution planning and management. In this study three models as, MLFF, MLFF with GARCH (1,1) and ARMA(1,1), have been investigated to model the petroleum consumption forecasts. Certain standard statistical parameters were used to evaluate the performance of the models developed in this study. Based upon the results obtained in this study and the consequent comparative analysis, it has been found that the MLFF with GARCH (1,1) have better forecasting results.. Conclusions: Survey of data reveals that deposit of government policies in recent yeas, petroleum consumption rises in Tehran and unfortunately more petroleum use causes to air pollution and bad environmental problems.

• 산업경영시스템학회지
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• 제41권3호
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• pp.90-96
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• 2018

This paper proposed data driven techniques to forecast the time point of water management of the water reservoir without measuring manganese concentration with the empirical data as Juam Dam of years of 2015 and 2016. When the manganese concentration near the surface of water goes over the criteria of 0.3mg/l, the water management should be taken. But, it is economically inefficient to measure manganese concentration frequently and regularly. The water turnover by the difference of water temperature make manganese on the floor of water reservoir rise up to surface and increase the manganese concentration near the surface. Manganese concentration and water temperature from the surface to depth of 20m by 5m have been time plotted and exploratory analyzed to show that the water turnover could be used instead of measuring manganese concentration to know the time point of water management. Two models for forecasting the time point of water turnover were proposed and compared as follow: The regression model of CR20, the consistency ratio of water temperature, between the surface and the depth of 20m on the lagged variables of CR20 and the first lag variable of max temperature. And, the Box-Jenkins model of CR20 as ARIMA (2, 1, 2).

• 농업생명과학연구
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• 제45권5호
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• pp.115-126
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• 2011

이 논문은 국내 한육우 사육두수를 시계열 모형인 ARIMA 모형을 이용하여 추정하였다. 소의 생리학적 특성을 반영하기 위하여 한육우 사육두수를 총 여섯 개의 범주(4개의 도축률과 2개의 출생률)로 나누었다. 이 여섯 가지 범주에 대해 ARIMA 모형을 적용하여 Box-Jenkins 절차에 따라 그 값들을 추정하고 예측하였다. 큰암소도축률과 큰수소도축률은 단위근을 갖는 불안정시계열로 나타나 차분하여 안정화시키고 나머지 4개의 변수들은 안정시계열로 나타나 그대로 모형의 식별, 추정 그리고 예측에 사용하였다. 분석결과, 한육우 사육두수는 2012년을 최고점으로 점점 감소하다가 2018년을 최저점으로 다시 증가할 것으로 분석되었다.

• 산업경영시스템학회지
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• 제17권31호
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• pp.1-10
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• 1994

The purpose of this study is to search for the most effective forecasting model for condenser with independent demand among the quantitative methods such as Brown's exponential smoothing method, Box-Jenkins method, and multiple regression analysis method. The criterion for the comparison of the above models is mean squared error(MSE). The fitting results of these three methods are as follows. 1) Brown's exponential smoothing method is the simplest one, which means the method is easy to understand compared to others. But the precision is inferior to other ones. 2) Box-Jenkins method requires much historic data and takes time to get to the final model, although the precision is superior to that of Brown's exponential smoothing method. 3) Regression method explains the correlation between parts with similiar demand pattern, and the precision is the best out of three methods. Therefore, it is suggested that the multiple regression method is fairly good in precision for forecasting our item and that the method is easily applicable to practice.

• Journal of the Korean Statistical Society
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• 제31권2호
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• pp.199-212
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• 2002

This article introduces transfer function model (TFM) with conditional heteroscedasticity where ARCH concept is built into the traditional TFM of Box and Jenkins (1976). Model building strategies such as identification, estimation and diagnostics of the model are discussed and are illustrated via empirical study including simulated data and real data as well. Comparisons with the classical TFM are also made.

• Journal of the Korean Data and Information Science Society
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• 제15권4호
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• pp.783-791
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• 2004

In this paper we review recent developments in nonlinear time series modeling on both conditional mean and conditional variance. Traditional linear model in conditional mean is referred to as ARMA(autoregressive moving average) process investigated by Box and Jenkins(1976). Nonlinear mean models such as threshold, exponential and random coefficient models are reviewed and their characteristics are explained. In terms of conditional variances, ARCH(autoregressive conditional heteroscedasticity) class is considered as typical linear models. As nonlinear variants of ARCH, diverse nonlinear models appearing in recent literature including threshold ARCH, beta-ARCH and Box-Cox ARCH models are remarked. Also, a class of unified nonlinear models are considered and parameter estimation for that class is briefly discussed.

• 응용통계연구
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• 제10권1호
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• pp.121-136
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• 1997

공간자료는 공간 위치의 변화에 따라 관찰되는 자료이다. 본 논문에서는 공간자료를 가지고 행 방향, 열 방향, 대각선 방향으로 나누어 시계열의 모형 식별에서 사용되는 Box-Jenkins 방법과 식별통계량, 행태인식법을 공간 자기회귀모형에 적용하여 모형을 식별해 보고 모의실험을 통하여 식별 방법들을 비교해 보았다.