• 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.

• Industrial Engineering and Management Systems
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• v.13 no.4
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• pp.357-368
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• 2014

Since its birth in 1993, fuzzy time series have seen different classes of models designed and applied, such as fuzzy logic relation and rule-based models. These models have both advantages and disadvantages. The major drawbacks with these two classes of models are the difficulties encountered in identification and analysis of the model. Therefore, there is a strong need to explore new alternatives and this is the objective of this paper. By transforming a fuzzy number to a real number via integrating the inverse of the membership function, new autoregressive models can be developed to fit the observation values of a fuzzy time series. With the new models, the issues of model identification and parameter estimation can be addressed; and trends, seasonalities and multivariate fuzzy time series could also be modeled with ease. In addition, asymptotic behaviors of fuzzy time series can be inspected by means of characteristic equations.

• 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 the Korean Statistical Society
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• v.30 no.3
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• pp.387-406
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• 2001

Adaptive estimators for a class of nonlinear time series models has been proposed by several authors. Koul and Schick(1997) proposed the adaptive estimators without sample splitting for location-type time series models. They also showed by simulation that the adaptive estimators without sample splitting have smaller mean squared errors than those of the adaptive estimators with sample splitting. the present paper generalized the result in a case of location-scale type nonlinear time series models by simulation.

• The Korean Journal of Applied Statistics
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• v.20 no.2
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• pp.219-227
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• 2007

The time series models have been used to analyze and predict the network traffic. In this paper, we compare the performance of the time series models for prediction of network traffic. The feasibility study showed that a class of nonlinear time series models can be outperformed than the linear time series models to predict the network traffic.

• Journal of Korea Water Resources Association
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• v.35 no.5
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• pp.631-638
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• 2002

Stochastic model has been widely used for the forecasting of time series. However, this study tries to perform the precipitation forecasting by fuzzy time series model using fuzzy concept. The published fuzzy based models are used for the forecasting of time series and also we suggest that the combination of fuzzy time series models and neuro-fuzzy system can increase the forecastibility of the models. The precipitation time series in illinois, USA is analyzed for the forecasting by the known fuzzy time series models and the suggested methodology in this study. As a result, we know that the suggested methodology shows more exact results than the known models.

• Korean Security Journal
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• no.30
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• pp.139-169
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• 2012

The purpose of this study is to contribute to establishing the scientific policing policies through deriving the time series models that can forecast the occurrence of major crimes such as murder, robbery, burglary, rape, violence and identifying the occurrence of major crimes using the models. In order to achieve this purpose, there were performed the statistical methods such as Generation of Time Series Model(C) for identifying the forecasting models of time series, Generation of Time Series Model(C) and Sequential Chart of Time Series(N) for identifying the accuracy of the forecasting models of time series on the monthly incidence of major crimes from 2002 to 2010 using IBM PASW(SPSS) 19.0. The following is the result of the study. First, murder, robbery, rape, theft and violence crime's forecasting models of time series are Simple Season, Winters Multiplicative, ARIMA(0,1,1)(0,1,1), ARIMA(1,1,0 )(0,1,1) and Simple Season. Second, it is possible to forecast the short-term's occurrence of major crimes such as murder, robbery, burglary, rape, violence using the forecasting models of time series. Based on the result of this study, we have to suggest various forecasting models of time series continuously, and have to concern the long-term forecasting models of time series which is based on the quarterly, yearly incidence of major crimes.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.1-12
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• 2016

Contrasted with the standard linear ARMA models, financial time series exhibits non-standard features such as fat-tails, non-normality, volatility clustering and asymmetries which are usually referred to as "stylized facts" in financial time series context (Terasvirta, 2009). We are accordingly led to ad hoc models (apart from ARMA) to accommodate stylized facts (Andersen et al., 2009). The paper aims to give a contemporary overview on financial and special time series models based on the recent literature and on the author's publications. Various models are illustrated including asymmetric models, integer valued models, multivariate models and high frequency models. Selected statistical issues on the models are discussed, bringing some perspectives to the future works in this area.

• Communications for Statistical Applications and Methods
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• v.28 no.1
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• pp.39-57
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• 2021

Time series prediction is an area of great interest to many people. Algorithms for time series prediction are widely used in many fields such as stock price, temperature, energy and weather forecast; in addtion, classical models as well as recurrent neural networks (RNNs) have been actively developed. After introducing the attention mechanism to neural network models, many new models with improved performance have been developed; in addition, models using attention twice have also recently been proposed, resulting in further performance improvements. In this paper, we consider time series prediction by introducing attention twice to an RNN model. The proposed model is a method that introduces H-attention and T-attention for output value and time step information to select useful information. We conduct experiments on stock price, temperature and energy data and confirm that the proposed model outperforms existing models.

• Korea Trade Review
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• v.46 no.6
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• pp.191-209
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• 2021

In this paper, various time series analysis models and machine learning models are presented for long-term prediction of export growth rate, and the prediction performance is compared and reviewed by RMSE and MAE. Export growth rate is one of the major economic indicators to evaluate the economic status. And It is also used to predict economic forecast. The export growth rate may have a negative (-) value as well as a positive (+) value. Therefore, Instead of using the ReLU function, which is often used for time series prediction of deep learning models, the PReLU function, which can have a negative (-) value as an output value, was used as the activation function of deep learning models. The time series prediction performance of each model for three types of data was compared and reviewed. The forecast data of long-term prediction of export growth rate was deduced by three forecast methods such as a fixed forecast method, a recursive forecast method and a rolling forecast method. As a result of the forecast, the traditional time series analysis model, ARDL, showed excellent performance, but as the time period of learning data increases, the performance of machine learning models including LSTM was relatively improved.