• Management Science and Financial Engineering
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• v.14 no.2
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• pp.89-104
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• 2008

Growth curves including Bass, Logistic and Gompertz functions are widely used in forecasting the market demand. Nonlinear least square method is often adopted for estimating the model parameters but it is difficult to set up the starting value for each parameter. If a wrong starting point is selected, the result may lead to erroneous forecasts. This paper proposes a method of selecting starting values for model parameters in estimating some growth curves by nonlinear least square method through grid search and transformation into linear regression model. Resealing the market data using the national economic index makes it possible to figure out the range of parameters and to utilize the grid search method. Application to some real data is also included, where the performance of our method is demonstrated.

• East Asian Journal of Business Economics (EAJBE)
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• v.1 no.1
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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.

• Journal of Environmental Science International
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• v.7 no.6
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• pp.827-831
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• 1998

Statistical $SO_2$ forecasting technique by multiple regression analysis was designed and developed to predict $SO_2$ concentration in Wonju City. $SO_2$ concentration data measured from air pollution monitoring system and meteorological factors data such as : wind speed, atmospheric stability, surface temperature, relative humidity and precipitation were used in Wonju City during the 1996~1997. As the results, correlation model for forecasting was well fitted with some parameters including minimum temperature, wind speed and the $SO_2$ concentration of the previous day.

• Journal of Institute of Control, Robotics and Systems
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• v.15 no.10
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• pp.1056-1061
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• 2009

This paper proposes a short-term water demand forecasting algorithm based on kalman filtering with data mining for sustainable water supply and effective energy saving. The proposed algorithm utilizes a mining method of water supply data and a decision tree method with special days like Chuseok. And the parameters of MLAR (Multi Linear Auto Regression) model are estimated by Kalman filtering algorithm. Thus, we can achieve the practicality of the proposed forecasting algorithm through the good results applied to actual operation data.

• Proceedings of the Korea Water Resources Association Conference
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• 2004.05b
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• pp.1285-1289
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• 2004

Elman Discrete Recurrent Neural Networks Model(EDRNNM) was used to be a suitable short-term hydrological forecasting tool yielding a very high degree of flood stage forecasting accuracy at Musung station of Wi-stream one of IHP representative basins in South Korea. A relative new approach method has recurrent feedback nodes and virtual small memory in the structure. EDRNNM was trained by using two algorithms, namely, LMBP and RBP The model parameters, optimal connection weights and biases, were estimated during training procedure. They were applied to evaluate model validation. Sensitivity analysis test was also performed to account for the uncertainty of input nodes information. The sensitivity analysis approach could suggest a reduction of one from five initially chosen input nodes. Because the uncertainty of input nodes information always result in uncertainty in model results, it can help to reduce the uncertainty of EDRNNM application and management in small catchment.

• Proceedings of the Korean Society of Agricultural Engineers Conference
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• 2000.10a
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• pp.390-396
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• 2000

The basic concept of the model is minimizing the error range between forecasted flood inflow and actual flood inflow, and accurately forecasting the flood discharge some hours in advance depending on the concentration time(Tc) and soil moisture retention storage(Sa). Simplex method that is a multi-level optimization technique was used to search for the determination of the best parameters of RETFLO (REal-Time FLOod forecasting)model. The flood forecasting model developed was applied to several strom events of Yedang reservoir during past 10 years. Model perfomance was very good with relative errors of 10% for comparison of total runoff volume and with one hour delayed peak time.

• The Transactions of the Korean Institute of Electrical Engineers A
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• v.55 no.7
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• pp.306-312
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• 2006

Support Vector Machine(SVM), of which the foundations have been developed by Vapnik (1995), is gaining popularity thanks to many attractive features and promising empirical performance. In this paper, we propose a new short-term load forecasting technique based on SVM. We discuss the input vector selection of SVM for load forecasting and analyze the prediction performance for various SVM parameters such as kernel function, cost coefficient C, and $\varepsilon$ (the width of 8 $\varepsilon-tube$). The computer simulation shows that the prediction performance of the proposed method is superior to that of the conventional neural networks.

• Proceedings of the Korea Inteligent Information System Society Conference
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• 2000.11a
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• pp.489-497
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• 2000

After IMF situation, the money market environment is changing rapidly. Therefore, many companies including financial institutions and many individual investors are concerned about forecasting the money market, and they make an effort to insure the various profit and hedge methods using derivatives like option, futures and swap. In this research, we developed a prototype of forecasting system for KOSPI 200 option, especially call option, trading using artificial neural networks(ANN), To avoid the overfitting problem and the problem involved int the choice of ANN structure and parameters, we employed the ANN ensemble approach. We conducted two types of simulation. One is conducted with the hold signals taken into account, and the other is conducted without hold signals. Even though our models show low accuracy for the sample set extracted from the data collected in the early stage of IMF situation, they perform better in terms of profit and stability than the model that uses only the theoretical price.

• Communications for Statistical Applications and Methods
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• v.25 no.1
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• pp.29-42
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• 2018

We combine the integer-valued GARCH(1, 1) model with a generalized regime-switching model to propose a dynamic count time series model. Our model adopts Markov-chains with time-varying dependent transition probabilities to model dynamic count time series called the generalized regime-switching integer-valued GARCH(1, 1) (GRS-INGARCH(1, 1)) models. We derive a recursive formula of the conditional probability of the regime in the Markov-chain given the past information, in terms of transition probabilities of the Markov-chain and the Poisson parameters of the INGARCH(1, 1) process. In addition, we also study the forecasting of the Poisson parameter as well as the cumulative impulse response function of the model, which is a measure for the persistence of volatility. A Monte-Carlo simulation is conducted to see the performances of volatility forecasting and behaviors of cumulative impulse response coefficients as well as conditional maximum likelihood estimation; consequently, a real data application is given.

• Asia pacific journal of information systems
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• v.11 no.4
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• pp.99-111
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• 2001

The prediction of stock price index is a very difficult problem because of the complexity of stock market data. It has been studied by a number of researchers since they strongly affect other economic and financial parameters. The movement of stock price index has a series of change points due to the strategies of institutional investors. This study presents a two-stage forecasting model of stock price index using change-point detection and artificial neural networks. The basic concept of this proposed model is to obtain intervals divided by change points, to identify them as change-point groups, and to use them in stock price index forecasting. First, the proposed model tries to detect successive change points in stock price index. Then, the model forecasts the change-point group with the backpropagation neural network(BPN). Finally, the model forecasts the output with BPN. This study then examines the predictability of the integrated neural network model for stock price index forecasting using change-point detection.