• 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.

• Communications for Statistical Applications and Methods
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• v.17 no.2
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• pp.183-191
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• 2010

Support vector quantile regression(SVQR) is capable of providing more complete description of the linear and nonlinear relationships among random variables. In this paper we propose an iterative reweighted least squares(IRWLS) procedure to solve the problem of SVQR with a weighted quadratic loss function. Furthermore, we introduce the generalized approximate cross validation function to select the hyperparameters which affect the performance of SVQR. Experimental results are then presented which illustrate the performance of the IRWLS procedure for SVQR.

• Journal of the Korean Data and Information Science Society
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• v.20 no.6
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• pp.1093-1101
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• 2009

Quantile regression has become a more widely used technique to describe the distribution of a response variable given a set of explanatory variables. This paper proposes a novel modelfor quantile regression using doubly penalized kernel machine with support vector machine iteratively reweighted least squares (SVM-IRWLS). To make inference about the shape of a population distribution, the widely popularregression, would be inadequate, if the distribution is not approximately Gaussian. We present a likelihood-based approach to the estimation of the regression quantiles that uses the asymmetric Laplace density.

• Communications for Statistical Applications and Methods
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• v.16 no.5
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• pp.791-801
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• 2009

Value-at-Risk(VaR) has been used as an important tool to measure the market risk. However, the selection of the VaR models is controversial. This paper proposes VaR forecast combinations using support vector machine quantile regression instead of selecting a single model out of historical simulation and GARCH.

• Proceedings of the Korean Society for Bioinformatics Conference
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• 2005.09a
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• pp.51-56
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• 2005

There are many sources of systematic variations in cDNA microarray experiments which affect the measured gene expression levels like differences in labeling efficiency between the two fluorescent dyes. Print-tip lowess normalization is used in situations where dye biases can depend on spot overall intensity and/or spatial location within the array. However, print-tip lowess normalization performs poorly in situation where error variability for each gene is heterogeneous over intensity ranges. We proposed the new print-tip normalization methods based on support vector machine regression(SVMR) and support vector machine quantile regression(SVMQR). SVMQR was derived by employing the basic principle of support vector machine (SVM) for the estimation of the linear and nonlinear quantile regressions. We applied our proposed methods to previous cDNA micro array data of apolipoprotein-AI-knockout (apoAI-KO) mice, diet-induced obese mice, and genistein-fed obese mice. From our statistical analysis, we found that the proposed methods perform better than the existing print-tip lowess normalization method.

• Journal of the Korean Data and Information Science Society
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• v.23 no.4
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• pp.749-756
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• 2012

An approach widely used for small area estimation is based on linear mixed models. However, when the functional form of the relationship between the response and the input variables is not linear, it may lead to biased estimators of the small area parameters. In this paper we propose M-quantile kernel regression for small area mean estimation allowing nonlinearities in the relationship between the response and the input variables. Numerical studies are presented that show the sample properties of the proposed estimation method.

• Communications for Statistical Applications and Methods
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• v.31 no.2
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• pp.235-246
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• 2024

In high-dimensional data analysis, sufficient dimension reduction (SDR) has been considered as an attractive tool for reducing the dimensionality of predictors while preserving regression information. The principal support vector machine (PSVM) (Li et al., 2011) offers a unified approach for both linear and nonlinear SDR. This article comprehensively explores a variety of SDR methods based on the PSVM, which we call principal machines (PM) for SDR. The PM achieves SDR by solving a sequence of convex optimizations akin to popular supervised learning methods, such as the support vector machine, logistic regression, and quantile regression, to name a few. This makes the PM straightforward to handle and extend in both theoretical and computational aspects, as we will see throughout this article.

• Journal of the Korean Data and Information Science Society
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• v.26 no.6
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• pp.1537-1545
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• 2015

Support vector quantile regression (SVQR) can be obtained by applying support vector machine with a check function instead of an e-insensitive loss function into the quantile regression, which still requires to solve a quadratic program (QP) problem which is time and memory expensive. In this paper we propose an SVQR whose objective function is composed of an asymmetric quadratic loss function. The proposed method overcomes the weak point of the SVQR with the check function. We use the iterative procedure to solve the objective problem. Furthermore, we introduce the generalized cross validation function to select the hyper-parameters which affect the performance of SVQR. Experimental results are then presented, which illustrate the performance of proposed SVQR.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.44 no.3
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• pp.117-124
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• 2021

The development of IOT technology and artificial intelligence technology is promoting the smartization of manufacturing system. In this study, data extracted from acceleration sensor and current sensor were obtained through experiments in the cutting process of SKD11, which is widely used as a material for special mold steel, and the amount of tool wear and product surface roughness were measured. SVR (Support Vector Regression) is applied to predict the roughness of the product surface in real time using the obtained data. SVR, a machine learning technique, is widely used for linear and non-linear prediction using the concept of kernel. In particular, by applying GSVQR (Generalized Support Vector Quantile Regression), overestimation, underestimation, and neutral estimation of product surface roughness are performed and compared. Furthermore, surface roughness is predicted using the linear kernel and the RBF kernel. In terms of accuracy, the results of the RBF kernel are better than those of the linear kernel. Since it is difficult to predict the amount of tool wear in real time, the product surface roughness is predicted with acceleration and current data excluding the amount of tool wear. In terms of accuracy, the results of excluding the amount of tool wear were not significantly different from those including the amount of tool wear.

• Journal of the Korean Data and Information Science Society
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• v.25 no.4
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• pp.931-939
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• 2014

In this paper we propose the iteratively reweighted least squares procedure to solve the quadratic programming problem of support vector expectile regression with an asymmetrically weighted squares loss function. The proposed procedure enables us to select the appropriate hyperparameters easily by using the generalized cross validation function. Through numerical studies on the artificial and the real data sets we show the effectiveness of the proposed method on the estimation performances.