• 한국수학교육학회지시리즈B:순수및응용수학
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• 제11권4호
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• pp.275-285
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• 2004

In this paper, the time series models for the number of reported death claims of compulsory automobile liability insurance in Korea are studied. We found that IMA${(0, 1, 1)}\;{\times}\;{(0, 1, 1)}_{12}$ would the most appropriate model for the number of reported claims by the Box-Jenkins method.

• 한국통신학회:학술대회논문집
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• 한국통신학회 1991년도 추계종합학술발표회논문집
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• pp.167-173
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• 1991

현재까지 가입자 트래픽 예측방법은 계량학적 방법중 추세분석 방법을 이용하고 있는데, 이 방법은 급변하는 시장상황이나 지역여건을 고려하지 못하고 하나의 통계적 기술에 의한 획일화된 예측방법으로서 트래픽예측치가 실제 운용트래픽값과는 다소 차이가 있어왔다. 이러한 원인을 제거할 수 있는 하나의 방법으로서 Box-Jenkins 시계열 분석에 의한 트래픽 예측방법을 제안하고자 한다. 이 방법에 대한 이론을 살펴보고, 시뮬레이션을 통하여 얻은 결과를 각각 분석하여 문제점을 파악하고 실측치와 비교분석함으로서 본 논문에서 제안한 방법이 기존방법보다 타당함을 입증하려 하였다.

• 대한산업공학회지
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• 제10권1호
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• pp.17-25
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• 1984

The use of Box-Jenkins technique is still very limited due to the high level of knowledge required in comprehending the technique and the cumbersome iterative procedure which requires a large amount of cost and time. This paper proposes a method of automating the univariate Box-Jekins modelling to overcome the limitations of subjective identification in iterative procedure by using Variate Difference method, D-statistic and Pattern Recognition algorithm combined with Akaike's Information Criterion. The results of the application to real data show that the average performance of automatic modelling procedure is better or not worse, at least, than those of the existing models which have been manually set up and reported in the literature.

• 응용통계연구
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• 제30권2호
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• pp.271-280
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• 2017

우리나라 뉴스에서 매일 빠지지 않는 내용은 아마도 부동산 경제에 관한 것이라고 생각된다. 많은 사람들은 부동산 가격의 변동에 관한 전문가들의 예측에 관심을 갖고 있다. 매매가격 혹은 전세가격을 예측하기위해 일반적으로 많이 사용되는 방법은 박스-젠킨스에 기반을 둔 자기회귀이동평균모형이다. 본 논문에서는 자기회귀모형과 다변량 자료분석에서 사용하는 독립성분분석을 결합하여 예측하는 방법을 시도하여 보았다. 매매가격과 전세가격을 두 개의 독립성분으로 재설정하고 독립성분들을 이용하여 예측한 후 역변환을 통해 매매가격과 전세가격을 예측하는 방법을 시도하였다. 그 결과 일반적인 자기회귀이동평균모형을 사용할 때 보다 독립성분을 활용한 예측이 실제 지수에 더 유사한 값들을 얻을 수 있음을 보였다.

• 대한전기학회논문지:시스템및제어부문D
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• 제54권7호
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• pp.462-467
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• 2005

In this paper, we analyzed normal gait acceleration signal by time series analysis methods. Accelerations were measured during walking using a biaxial accelerometer. Acceleration data were acquired from normal subjects(23 men and one woman) walking on a level corridor of 20m in length with three different walking speeds. Acceleration signals were measured at a sampling frequency of 60Hz from a biaxial accelerometer mounted between L3 and L4 intervertebral area. Each step signal was analyzed using Box-Jenkins method. Most of the differenced normal step signals were modeled to AR(3) and the model didn't show difference for model's orders and coefficients with walking speed. But, tile model showed difference with acceleration signal direction - vertical and lateral. The above results suggested the proposed model could be applied to unit analysis.

• 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.

• 물과 미래
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• 제17권4호
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• pp.281-291
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• 1984

한국하천유역의 강우량관측자료는 풍부하나 하천유량측정자료가 많고 섬진강 유역내의 압록과 송정의 유량관측기록이 비교적장기간에 것이 있고, 유속측정을 많이 하고 있으므로 본유역자료를 가지고 월유출량계열의 모형식을 유도하였다. 본모형식은 월강우량기록으로서 월유출량 산출식을 Box & Jenkins의 대체함수모형식에다 ARIMA의 잔차모형식을 가하여 유도한 것이다. 또 기 강우량과 유출량 자료간에는 잔차시계열이 정상공분산을 갖는다는 가정하에 모형식을 작성하였다. 자기상관 함수의 특성으로부터 ARIMA모형을 유도함에도 먼저 계산식으로 각변수를 산출하고, 이 변수를 다소조정반복시켜 가장 정확한 융통성있는 Box & Jenkins 방식의 모형식을 작성하였다. 섬진강에서 가장 적정모형식을 다음과 같은 일반식으로 주어졌다. 여기서 $Y_t=($\omega$o-$\omega$_1B) C_iX_t+$\varepsilon$t$ $Y_t$ 월유출량, $X_t$: 월 강우량, $C_i$: 월유출률, $$\omega$o-$\omega$_1$ : 대체변수 $$\varepsilon$_t$ : 잔차(임의오차성분) 섬진강수위관측소의 기 월유출량 기록자료로서 월유출량게열의 만족할만한 모형을 비교검토 연구작성하였다.

• 산업경영시스템학회지
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• 제20권44호
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• pp.243-255
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• 1997

Forecasting the future values of an observed time series is an important problem in many areas, including economics, traffic engineering, production planning, sales forecasting, and stock control. The purpose of this paper is aimed to discover the more efficient forecasting model through the parameter estimation and residual analysis among the quantitative method such as Winters' exponential smoothing model, Box-Jenkins' model, and Kalman filtering model. The mean of the time series is assumed to be a linear combination of known functions. For a parameter estimation and residual analysis, Winters', Box-Jenkins' model use Statgrap and Timeslab software, and Kalman filtering utilizes Fortran language. Therefore, this paper can be used in real fields to obtain the most effective forecasting model.

• 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.

• 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.