• Communications for Statistical Applications and Methods
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• v.16 no.1
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• pp.115-125
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• 2009

Simultaneous equation models, which are widely used in business and economic areas, generally consist of endogenous variables determined within models and exogenous variables externally determined and in the simultaneous equations model framework there are rank and order conditions for the model identification and the existence of unique solutions. By contrast, their estimating results have less efficiencies and furthermore do not exist, since the most estimating procedures are performed under the assumptions for rank and order conditions. We propose the new statistical test for sufficiency of the rank condition under the order condition, and show the asymptotic properties for the test. The Monte Carlo simulation studies are achieved in order to evaluate its power and to suggest the baseline for satisfying the rank conditions.

• Journal of Environmental Science International
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• v.20 no.3
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• pp.321-327
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• 2011

Bootstrap methods is the computer-based resampling method that estimates the standard errors and confidence intervals of summary statistics using the plug-in principle for assessing the accuracy or uncertainty of statistical estimates, and the BCa method among the Bootstrap methods is known much superior to other Bootstrap methods in respect of the standards of statistical validation. Therefore this study suggests the method of the representation and treatment of uncertainty in flood risk assessment and water resources planning from the construction and application of rainfall frequency analysis model considersing the uncertainty based on the nonparametric BCa method among the Bootstrap methods for the assessement of the estimation of probability rainfall and the effect of uncertainty considering the uncertainty of the parameter estimation of probability in the rainfall frequency analysis that is the most fundamental in flood risk assessement and water resources planning.

• Communications for Statistical Applications and Methods
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• v.31 no.1
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• pp.105-127
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• 2024

We propose recurrent neural network (RNN) methods for forecasting realized volatility (RV). The data are RVs of ten major stock price indices, four from the US, and six from the EU. Forecasts are made for relative ratio of adjacent RVs instead of the RV itself in order to avoid the out-of-scale issue. Forecasts of RV ratios distribution are first constructed from which those of RVs are computed which are shown to be better than forecasts constructed directly from RV. The apparent asymmetry of RV ratio is addressed by the Piecewise Min-max (PM) normalization. The serial dependence of the ratio data renders us to consider two architectures, long short-term memory (LSTM) and gated recurrent unit (GRU). The hyperparameters of LSTM and GRU are tuned by the nested cross validation. The RNN forecast with the PM normalization and ratio transformation is shown to outperform other forecasts by other RNN models and by benchmarking models of the AR model, the support vector machine (SVM), the deep neural network (DNN), and the convolutional neural network (CNN).

• Structural Engineering and Mechanics
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• v.84 no.2
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• pp.143-154
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• 2022

Corrosion of steel reinforcement is considered as the main cause of concrete structures deterioration, especially those under humid environmental conditions. Hence, fiber reinforced polymer (FRP) bars are being increasingly used as a replacement for conventional steel owing to their non-corrodible characteristics. However, predicting the shear strength of beams reinforced with FRP bars still challenging due to the lack of robust shear theory. Thus, this paper aims to develop an explicit data driven based model to predict the shear strength of FRP reinforced beams using multi-objective evolutionary polynomial regression analysis (MOGA-EPR) as data driven models learn the behavior from the input data without the need to employee a theory that aid the derivation, and thus they have an enhanced accuracy. This study also evaluates the accuracy of predictive models of shear strength of FRP reinforced concrete beams employed by different design codes by calculating and comparing the values of the mean absolute error (MAE), root mean square error (RMSE), mean (𝜇), standard deviation of the mean (𝜎), coefficient of determination (R²), and percentage of prediction within error range of ±20% (a20-index). Experimental database has been developed and employed in the model learning, validation, and accuracy examination. The statistical analysis illustrated the robustness of the developed model with MAE, RMSE, 𝜇, 𝜎, R², and a20-index of 14.6, 20.8, 1.05, 0.27, 0.85, and 0.61, respectively for training data and 10.4, 14.1, 0.98, 0.25, 0.94, and 0.60, respectively for validation data. Furthermore, the developed model achieved much better predictions than the standard predictive models as it scored lower MAE, RMSE, and 𝜎, and higher R² and a20-index. The new model can be used in future with confidence in optimized designs as its accuracy is higher than standard predictive models.

• Journal of Distribution Science
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• v.11 no.3
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• pp.5-11
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• 2013

Purpose - Going concern is one of fundamental concepts in accounting and auditing and sometimes the assessment of a company's going concern status that is a tough process. Various going concern prediction models' based on statistical and data mining methods help auditors and stakeholders suggested in the previous literature. Research design - This paper employs a data mining approach to prediction of going concern status of Iranian firms listed in Tehran Stock Exchange using Particle Swarm Optimization. To reach this goal, at the first step, we used the stepwise discriminant analysis it is selected the final variables from among of 42 variables and in the second stage; we applied a grid-search technique using 10-fold cross-validation to find out the optimal model. Results - The empirical tests show that the particle swarm optimization (PSO) model reached 99.92% and 99.28% accuracy rates for training and holdout data. Conclusions - The authors conclude that PSO model is applicable for prediction going concern of Iranian listed companies.

• Proceedings of the Korea Water Resources Association Conference
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• 2008.05a
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• pp.2193-2196
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• 2008

In this study, the new methodology such as support vector machines neural networks model (SVM-NNM) using the statistical learning theory is introduced to forecast flood stage in Nakdong river, Republic of Korea. The SVM-NNM in hydrologic time series forecasting is relatively new, and it is more problematic in comparison with classification. And, the multilayer perceptron neural networks model (MLP-NNM) is introduced as the reference neural networks model to compare the performance of SVM-NNM. And, for the performances of the neural networks models, they are composed of training, cross validation, and testing data, respectively. From this research, we evaluate the impact of the SVM-NNM and the MLP-NNM for the forecasting of the hydrologic time series in Nakdong river. Furthermore, we can suggest the new methodology to forecast the flood stage and construct the optimal forecasting system in Nakdong river, Republic of Korea.

• Journal of the Korean Data and Information Science Society
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• v.22 no.3
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• pp.589-596
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• 2011

The conditional autoregressive value at risk (CAViaR) model is useful for risk management, which does not require the assumption that the conditional distribution does not vary over time but the volatility does. But it does not provide volatility forecasts, which are needed for several important applications such as option pricing and portfolio management. For a variety of probability distributions, it is known that there is a constant relationship between the standard deviation and the distance between symmetric quantiles in the tails of the distribution. This inspires us to use a support vector quantile regression (SVQR) for volatility forecasts with the distance between CAViaR forecasts of symmetric quantiles. Simulated example and real example are provided to indicate the usefulness of proposed forecasting method for volatility.

• Journal of the Korean Chemical Society
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• v.58 no.6
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• pp.543-552
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• 2014

A quantitative structure activity relationship (QSAR) study is performed for modeling and prediction of oral bioavailabilities of 216 diverse set of drugs. After calculation and screening of molecular descriptors, linear and nonlinear models were developed by using multiple linear regression (MLR), artificial neural network (ANN), support vector machine (SVM) and random forest (RF) techniques. Comparison between statistical parameters of these models indicates the suitability of SVM over other models. The root mean square errors of SVM model were 5.933 and 4.934 for training and test sets, respectively. Robustness and reliability of the developed SVM model was evaluated by performing of leave many out cross validation test, which produces the statistic of $Q^2_{SVM}=0.603$ and SPRESS = 7.902. Moreover, the chemical applicability domains of model were determined via leverage approach. The results of this study revealed the applicability of QSAR approach by using SVM in prediction of oral bioavailability of drugs.

• International Journal of Aerospace System Engineering
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• v.7 no.1
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• pp.21-27
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• 2020

Quasi steady stall is a phenomenon to characterize the aerodynamic behavior of aircraft at high angle of attack region. Generally, it is exercised from a steady state level flight to stall and its recovery to the initial flight in a calm weather. For a theoretical study, such maneuver is demonstrated in the form of aerodynamic model which consists of aircraft's stability and control derivatives. The current research paper is focused on the appropriate selection of aerodynamic model for the maneuver and estimation of the unknown model coefficients using least-square method. The statistical accuracy of the estimated parameters is presented in terms of standard deviations. Finally, the validation has been presented by comparing the measured data to the simulated data from different models.

• Journal of Animal Science and Technology
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• v.52 no.6
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• pp.459-466
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• 2010

In this study, we suggest an objective standard in selection of candidate horse mates. Korea Racing Authority provided racing records and pedigree information of 44 sires and 954 dams. The datasets were used to predict Racing Indices represented by the averages of earnings earned by offspring for each dam and sire that indicate the racing performance of its domestic progeny. Proportion of wins and second places to the number of taken races and the mean of distances for the won races of a sire were significant factors in linear model with minimum prediction errors. For dam, those factors were the average of earned money per race, number of outstanding broodmares in pedigree, and the comparable index which indicates the relative affinity with its mate. We can use the resultant model for a horse mate by choosing one of the candidates with the largest predicted value for hypothetical offspring.