• Communications for Statistical Applications and Methods
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• v.17 no.1
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• pp.27-37
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• 2010

This article concerns the forecasting in binomial AR(p) models which is proposed by Wei$\ss$ (2009b) for time series of binomial counts. Our method extends to binomial AR(p) models a recent result by Jung and Tremayne (2006) for integer-valued autoregressive model of second order, INAR(2), with simple Poisson innovations. Forecasts are produced by conditional median which gives 'coherent' forecasts, and we estimate the forecast distributions of future values of binomial AR(p) models by means of a Monte Carlo method allowing for parameter uncertainty. Model parameters are estimated by the method of moments and estimated standard errors are calculated by means of block of block bootstrap. The method is fitted to log data set used in Wei$\ss$ (2009b).

• Proceedings of the KIEE Conference
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• 1998.07c
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• pp.1073-1075
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• 1998

This paper presents the method of parameter estimation of diffusion model for monitoring Demand-Side Management Program. Bass diffusion model was applied in this paper, which has different values according to parameters ; coefficients of innovation, imitation and potential adopters. Though it is very important to estimate three parameter, there are no empirical results in practice. Thus, this paper presents the method of parameter estimation in case of few data with constraints to reduce the possibility of bad estimation. The constraints are empirical results or expert's decision. Case studies show the diffusion curves of high-efficient lighting and also forecasting of the peak value for power demand considering diffusion of high-efficient lighting, the feedback and least-square parameter estimation method used in this paper enable us to evaluate the status and forecasting of the effect of DSM program.

• Journal of Korean Institute of Industrial Engineers
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• v.13 no.1
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• pp.25-29
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• 1987

When the historical data are available, the diffusion model, which describes the time pattern of the adoption process of a new product or technology or service, has been used as a reasonable predictor in the telecommunication demand forecasting area. This paper shows that the diffusion model is applicable when the historical data are not available. The model used is in the form of a "logistic" function. The parameters of the function are estimated using the questionnaire and the historical data of reference products. From the questionnaire, an initial and an upper limit long run value of the market share are estimated, and the diffusion time to the upper limit value is determined by the relation between the investment and the utility.

• Industrial Engineering and Management Systems
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• v.7 no.1
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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.

• Asian Journal of Innovation and Policy
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• v.8 no.1
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• pp.141-161
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• 2019

A considerable amount of research has been directed at subsistence markets in the recent past with the belief that these markets can be tapped profitably by marketers. Consequently, such markets have seen the launch of a number of innovative products. However, marketers of such forecasts need timely and accurate forecasts regarding the diffusion of their products. The Bass model has been widely used in marketing management to forecast diffusion of innovative products. Given the idiosyncrasies of subsistence markets, such forecasting requires an understanding of effective estimation techniques of the Bass model and their use in subsistence markets. This article reviews the literature to achieve this objective and find out gaps in research. A finding is that there is a lack of timely estimates of Bass model parameters for marketers to act on. Consequently, this article sets a research agenda that calls for timely forecasts at the takeoff stage using appropriate estimation techniques for the Bass model in the context of subsistence markets.

• Communications for Statistical Applications and Methods
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• v.30 no.3
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• pp.273-289
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• 2023

In this paper, we develop a new time series model for predicting IPO (initial public offering) data with non-negative integer value. The proposed model is based on integer-valued autoregressive (INAR) model with a Poisson thinning operator. Just as the heterogeneous autoregressive (HAR) model with daily, weekly and monthly averages in a form of cascade, the integer-valued heterogeneous autoregressive (INHAR) model is considered to reflect efficiently the long memory. The parameters of the INHAR model are estimated using the conditional least squares estimate and Yule-Walker estimate. Through simulations, bias and standard error are calculated to compare the performance of the estimates. Effects of model fitting to the Korea's IPO are evaluated using performance measures such as mean square error (MAE), root mean square error (RMSE), mean absolute percentage error (MAPE) etc. The results show that INHAR model provides better performance than traditional INAR model. The empirical analysis of the Korea's IPO indicates that our proposed model is efficient in forecasting monthly IPO volumes.

• Journal of Intelligence and Information Systems
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• v.17 no.4
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• pp.241-254
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• 2011

Financial time-series forecasting is one of the most important issues because it is essential for the risk management of financial institutions. Therefore, researchers have tried to forecast financial time-series using various data mining techniques such as regression, artificial neural networks, decision trees, k-nearest neighbor etc. Recently, support vector machines (SVMs) are popularly applied to this research area because they have advantages that they don't require huge training data and have low possibility of overfitting. However, a user must determine several design factors by heuristics in order to use SVM. For example, the selection of appropriate kernel function and its parameters and proper feature subset selection are major design factors of SVM. Other than these factors, the proper selection of instance subset may also improve the forecasting performance of SVM by eliminating irrelevant and distorting training instances. Nonetheless, there have been few studies that have applied instance selection to SVM, especially in the domain of stock market prediction. Instance selection tries to choose proper instance subsets from original training data. It may be considered as a method of knowledge refinement and it maintains the instance-base. This study proposes the novel instance selection algorithm for SVMs. The proposed technique in this study uses genetic algorithm (GA) to optimize instance selection process with parameter optimization simultaneously. We call the model as ISVM (SVM with Instance selection) in this study. Experiments on stock market data are implemented using ISVM. In this study, the GA searches for optimal or near-optimal values of kernel parameters and relevant instances for SVMs. This study needs two sets of parameters in chromosomes in GA setting : The codes for kernel parameters and for instance selection. For the controlling parameters of the GA search, the population size is set at 50 organisms and the value of the crossover rate is set at 0.7 while the mutation rate is 0.1. As the stopping condition, 50 generations are permitted. The application data used in this study consists of technical indicators and the direction of change in the daily Korea stock price index (KOSPI). The total number of samples is 2218 trading days. We separate the whole data into three subsets as training, test, hold-out data set. The number of data in each subset is 1056, 581, 581 respectively. This study compares ISVM to several comparative models including logistic regression (logit), backpropagation neural networks (ANN), nearest neighbor (1-NN), conventional SVM (SVM) and SVM with the optimized parameters (PSVM). In especial, PSVM uses optimized kernel parameters by the genetic algorithm. The experimental results show that ISVM outperforms 1-NN by 15.32%, ANN by 6.89%, Logit and SVM by 5.34%, and PSVM by 4.82% for the holdout data. For ISVM, only 556 data from 1056 original training data are used to produce the result. In addition, the two-sample test for proportions is used to examine whether ISVM significantly outperforms other comparative models. The results indicate that ISVM outperforms ANN and 1-NN at the 1% statistical significance level. In addition, ISVM performs better than Logit, SVM and PSVM at the 5% statistical significance level.

• The Journal of Society for e-Business Studies
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• v.17 no.2
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• pp.63-72
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• 2012

The Korean telecommunications market has been expanding swiftly, these days, to be saturated. In this environment, the upcoming mobile telecommunication market, where 4G service was introduced this year, is becoming more substitutive and competitive. Thus, the demand forecasting of 4G service is very difficult, while it is critical to market success. This paper adopts a multi-generation diffusion model to capture the diffusion and substitution patterns for two successive generation of technological services, i.e., 3G and 4G mobile telecommunications services. The three parameters, i.e., the coefficient of innovation, the coefficient of imitation, and the coefficient of market potential, used in the multi-generation diffusion model based on Norton and Bass[11] are obtained by inference from similar substitutive relations between older and newer telecommunication services to 3G and 4G services. The simulation results show that the Bass type multi-generation model can be successfully applied to the demand forecasting of newly introduced 4G mobile telecommunication service.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.38 no.5
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• pp.655-669
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• 2018

In this study, we developed a hybrid forecasting model based on a four-parameter distribution which allows a simultaneous season-ahead forecasting for both seasonal rainfall and sub-daily rainfall in Han-River and Geum-River basins. The proposed model is mainly utilized a set of time-varying predictors and the associated model parameters were estimated within a Bayesian nonstationary rainfall frequency framework. The hybrid forecasting model was validated through an cross-validatory experiment using the recent rainfall events during 2014~2017 in both basins. The seasonal precipitation results showed a good agreement with the observations, which is about 86.3% and 98.9% in Han-River basin and Geum-River basin, respectively. Similarly, for the extreme rainfalls at sub-daily scale, the results showed a good correspondence between the observed and simulated rainfalls with a range of 65.9~99.7%. Therefore, it can be concluded that the proposed model could be used to better consider climate variability at multiple time scales.

• Journal of Environmental Health Sciences
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• v.44 no.6
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• pp.539-547
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• 2018

Objectives: Ozone ($O_3$) advisories are issued by provincial/prefectural and city governments in Korea and Japan when oxidant concentrations exceed the criteria of the related country. Advisories issued only after exposure to high $O_3$ concentrations cannot be considered ideal measures. Forecasts of $O_3$ would be more beneficial to citizens' health and daily life than real-time advisories. The present study was undertaken to present a simplified forecasting model that can predict surface $O_3$ concentrations for the afternoon of the day of the forecast. Methods: For the construction of a simple and practical model, a multivariate regression model was applied. The monitored data on gases and climate variables from Japan's air quality networks that were recorded over nearly one year starting from April 2016 were applied as the subject for our model. Results: A well-known inverse correlation between $NO_2$ and $O_3$ was confirmed by the monitored data for Iksan, Korea and Fukuoka, Japan. Typical time fluctuations for $O_3$ and $NO_x$ were also found. Our model suggests that insolation is the most influential factor in determining the concentration of $O_3$. $CH_4$ also plays a major role in our model. It was possible to visually check for the fit of a theoretical distribution to the observed data by examining the probability-probability (P-P) scatter plot. The goodness of fit of the model in this study was also successfully validated through a comparison (r=0.8, p<0.05) of the measured and predicted $O_3$ concentrations. Conclusions: The advantage of our model is that it is capable of immediate forecasting of surface $O_3$ for the afternoon of the day from the routinely measured values of the precursor and meteorological parameters. Although a comparison to other approaches for $O_3$ forecasting was not carried out, the model suggested in this study would be very helpful for the citizens of Korea and Japan, especially during the $O_3$ season from May to June.