• Communications for Statistical Applications and Methods
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• v.18 no.3
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• pp.319-331
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• 2011

In this paper, we propose automatic procedures for the model selection of various univariate time series data. Automatic model selection is important, especially in data mining with large number of time series, for example, the number (in thousands) of signals accessing a web server during a specific time period. Several methods have been proposed for automatic model selection of time series. However, most existing methods focus on linear time series models such as exponential smoothing and autoregressive integrated moving average(ARIMA) models. The key feature that distinguishes the proposed procedures from previous approaches is that the former can be used for both linear time series models and nonlinear time series models such as threshold autoregressive(TAR) models and autoregressive moving average-generalized autoregressive conditional heteroscedasticity(ARMA-GARCH) models. The proposed methods select a model from among the various models in the prediction error sense. We also provide an R package autots that implements the proposed automatic model selection procedures. In this paper, we illustrate these algorithms with the artificial and real data, and describe the implementation of the autots package for R.

• Journal of applied mathematics & informatics
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• v.14 no.1_2
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• pp.193-212
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• 2004

A new model of generalized thermoelasticity equations for isotropic media with temperature-dependent mechanical properties is established. The modulus of elasticity is taken as a linear function of reference temperature. The present model is described both generalizations, Lord Shulman (L-S) theory with one relaxation time and Green-Lindsay (G-L) with two relaxation times, as well as the coupled theory, instantaneously. The method of the matrix exponential, which constitutes the basis of the state space approach of modern control theory, applied to two-dimensional equations. Laplace and Fourier integral transforms are used. The resulting formulation is applied to a problem of a thick plate subject to heating on parts of the upper and lower surfaces of the plate that varies exponentially with time. Numerical results are given and illustrated graphically for the problem considered. A comparison was made with the results obtained in case of temperature-independent modulus of elasticity in each theory.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.7
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• pp.1-15
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• 2022

Combining the strength of both Mixed Data Sampling (MIDAS) Regression and realized variance measures, this paper seeks to investigate two objectives: (1) evaluate the post-sample performance of the proposed weekly Realized Variance-MIDAS (RVar-MIDAS) in one-week ahead volatility forecasting against the established Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model and the less explored but robust STES (Smooth Transition Exponential Smoothing) methods. (2) comparing forecast error performance between realized variance and squared residuals measures as a proxy for actual volatility. Data of seven private equity mutual fund indices (generated from 57 individual funds) from two different time periods (with and without financial crisis) are applied to 21 models. Robustness of the post-sample volatility forecasting of all models is validated by the Model Confidence Set (MCS) Procedures and revealed: (1) The weekly RVar-MIDAS model emerged as the best model, outperformed the robust DAILY-STES methods, and the weekly DAILY-GARCH models, particularly during a volatile period. (2) models with realized variance measured in estimation and as a proxy for actual volatility outperformed those using squared residual. This study contributes an empirical approach to one-week ahead volatility forecasting of mutual funds return, which is less explored in past literature on financial volatility forecasting compared to stocks volatility.

• Geophysics and Geophysical Exploration
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• v.13 no.4
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• pp.315-322
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• 2010

The phase-screen and the split-step Fourier migrations, which are implemented in both the frequency-wavenumber and frequency-space domains by using one-way scalar wave equation, allow imaging in laterally heterogeneous media with less computing time and efficiency. The generalized-screen migration employs the series expansion of the exponential, unlike the phase-screen and the split-step Fourier migrations which assume the vertical propagation in frequency-wavenumber domain. In addition, since the generalized-screen migration generalizes the series expansion of the vertical slowness, it can utilize higher-order terms of that series expansion. As a result, the generalized-screen migration has higher accuracy in computing the propagation with wide angles than the phase-screen and split-step Fourier migrations for media with large and rapid lateral velocity variations. In this study, we developed a 2D prestack generalized-screen migration module for imaging a complex subsurface efficiently, which includes various dips and large lateral variations. We compared the generalized-screen propagator with the phase-screen propagator for a constant perturbation model and the SEG/EAGE salt dome model. The generalized-screen propagator was more accurate than the phase-screen propagator in computing the propagation with wide angles. Furthermore, the more the higher-order terms were added for the generalized-screen propagator, the more the accuracy was increased. Finally, we compared the results of the generalizedscreen migration with those of the phase-screen migration for a model which included various dips and large lateral velocity variations and the synthetic data of the SEG/EAGE salt dome model. In the generalized-screen migration section, reflectors were positioned more accurately than in the phase-screen migration section.

• Journal of the Korean Data and Information Science Society
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• v.5 no.2
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• pp.87-94
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• 1994

In this paper, we consider optimum plan to determine stress change times under the three-step stress PALTs, assuming that each test units follows an exponential distribution. The tampered random variable(TRV) model for the three-step stress PALTs setup are introduced, and maximum likelihood estimators(MLEs) of the failure rate and the acceleration factors are obtained. The change times to minimize the generalized asymptotic variance(GAVR) of MLEs of the failure rate and the acceleration factors are proposed for the three-step stress PALTs.

• Journal of Applied Reliability
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• v.2 no.2
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• pp.85-97
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• 2002

In this paper, partially repairable concurrent spare parts requirement determination problem of newly procured equipment systems is considered. “partially repairable” means that a portion of damaged parts can be recover their function and reused after repairs. A mathematical model is derived for making an CSP requirement determination subject to the constraint of satisfying any given operational availability limitation. We assume that the failure of a part follows a Poisson process and the repair time has an exponential distribution. Using the generalized Lagrange multipliers method, the solution procedure is derived.

• The Journal of Asian Finance, Economics and Business
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• v.2 no.3
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• pp.17-22
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• 2015

This paper examines the effect of impulsiveness of euro on Indian stock market. In order to examine the problem, we select rupee-euro exchange rates and S&P CNX NIFTY and BSE30 SENSEX to represent stock price. We select euro as it considered as second most widely used currency at the international level after dollar. The data are collected a daily basis over a period of 3-Apr-2007 to 30-Mar-2012. The statistical and time series properties of each and every variable have examined using the conventional unit root such as ADF and PP test. Adopting a generalized autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) model, the study suggests a negative relationship between exchange rate and stock prices in India. Even though India is a major trade partner of European Union, the study couldn't find any significant statistical effect of fluctuations in Euro-rupee exchange rates on stock prices. The study also reveals that shocks to exchange rate have symmetric effect on stock prices and exchange rate fluctuations have permanent effects on stock price volatility in India.

• Journal of the Korean Data and Information Science Society
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• v.8 no.2
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• pp.247-260
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• 1997

The quasi-likelihood models which greatly widened the scope of generalized linear models are widely used in data analysis where a likelihood is not available. Since a quasi-likelihood may not appear to be an ordinary likelihood for any known distribution in the natural exponential family, to fit the quasi-likelihood models the standard statistical packages such as GLIM, GENSTAT, S-PLUS and so on may not directly applied. SAS/IML is very useful for fitting of such models. In this paper, we present simple SAS/IML(version 6.11) program which helps to fit and analyze the quasi-likelihood models applied to the leaf-blotch data introduced by Wedderburn(1974), and the problem with deviance useful generally to model checking is pointed out, and then its solution method is mention through the data analysis based on this quasi-likelihood models checking.

• IE interfaces
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• v.17 no.spc
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• pp.152-159
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• 2004

The Purpose of this paper is to propose performance evaluation schemes of flexible manufacturing cell using a generalized stochastic Petri net. In the competitive and global manufacturing environment, to evaluate the feasibility and manufacturability of a product in the product design stage is highly required. Through this process, all the possible problems which may occur in the manufacturing stage can be fixed in early stage. The scheme of generalized stochastic Petri net utilizing both immediate and exponential distributed transitions are applied to model a manufacturing cell with flexible machines, material handler, transporter and buffers. Performance analyses are performed based on behavioral, structural and quantitative properties. A flexible manufacturing cell is evaluated using a Petri net simulator.

• Journal of the Korean Operations Research and Management Science Society
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• v.38 no.1
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• pp.1-13
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• 2013

Some systems such as missiles and ammunitions are used only one time in combat or emergency situation. Predicting correct storage reliability is very important for those systems which are inspected periodically. Many researches have been done for predicting the storage reliability using generally exponential or Weibull failure distribution. However, recent studies show the hazard functions follow various types of failure distributions. So in this paper, we proposed a generalized model that measures the storage reliability regardless of type of failure distributions. And this model reflects inspection error and failures that might be occurred during periodical check and within storage term as well.