• Communications for Statistical Applications and Methods
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• v.8 no.3
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• pp.633-641
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• 2001

The least squares method is usually applied when estimating the parameters in the regression models. However the least square estimator is not very efficient when the distribution of the error is skewed. In this paper, we propose the asymmetric least square estimator for a particular nonlinear time series regression model, and give the simple and practical sufficient conditions for the strong consistency of the estimators.

• Journal of the Korean Data and Information Science Society
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• v.16 no.4
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• pp.979-987
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• 2005

In this research we study conventional and new statistical methods to analyse and detect outliers in network traffic and we apply the nonlinear time series model to make better performance of detecting abnormal traffic rather the linear time series model to compare the performances of the two models.

• Journal of the Korean Statistical Society
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• v.32 no.4
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• pp.385-399
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• 2003

We first introduce the quasi-score estimating function and applied the quasi-score estimating function to nonlinear time series models. We proposed the M quasi-score estimating functions bounded functions for the quasi-score estimating functions. Also, we investigated the asymptotic properties of quasi-likelihood estimators and M quasi-likelihood estimators. Simulation results show that the M quasi-likelihood estimators work better than the least squares estimators under the heavy-tailed distributions

• Communications for Statistical Applications and Methods
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• v.20 no.3
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• pp.199-205
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• 2013

We employ sieve bootstraps for empirical likelihood tests in time series models because their null distributions are often vulnerable to the presence of serial dependence. We found a significant size refinement of the bootstrapped versions of a Lagrangian Multiplier type test statistic regardless of the bandwidth choice required by long-run variance estimations.

• International Journal of Fuzzy Logic and Intelligent Systems
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• v.13 no.3
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• pp.186-199
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• 2013

We pose pattern classification as a density estimation problem where we consider mixtures of generative models under partially labeled data setups. Unlike traditional approaches that estimate density everywhere in data space, we focus on the density along the decision boundary that can yield more discriminative models with superior classification performance. We extend our earlier work on the recursive estimation method for discriminative mixture models to semi-supervised learning setups where some of the data points lack class labels. Our model exploits the mixture structure in the functional gradient framework: it searches for the base mixture component model in a greedy fashion, maximizing the conditional class likelihoods for the labeled data and at the same time minimizing the uncertainty of class label prediction for unlabeled data points. The objective can be effectively imposed as individual mixture component learning on weighted data, hence our mixture learning typically becomes highly efficient for popular base generative models like Gaussians or hidden Markov models. Moreover, apart from the expectation-maximization algorithm, the proposed recursive estimation has several advantages including the lack of need for a pre-determined mixture order and robustness to the choice of initial parameters. We demonstrate the benefits of the proposed approach on a comprehensive set of evaluations consisting of diverse time-series classification problems in semi-supervised scenarios.

• Communications for Statistical Applications and Methods
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• v.22 no.3
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• pp.209-222
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• 2015

Time series are used in many studies for model building and analysis. We must be very careful to understand the kind of time series data used in the analysis. In this review article, we will begin with some issues related to the use of aggregate and systematic sampling time series. Since several time series are often used in a study of the relationship of variables, we will also consider vector time series modeling and analysis. Although the basic procedures of model building between univariate time series and vector time series are the same, there are some important phenomena which are unique to vector time series. Therefore, we will also discuss some issues related to vector time models. Understanding these issues is important when we use time series data in modeling and analysis, regardless of whether it is a univariate or multivariate time series.

• Communications for Statistical Applications and Methods
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• v.17 no.6
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• pp.829-843
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• 2010

To test for the serial dependence in time series of counts data, Jung and Tremayne (2003) evaluated the size and power of several tests under the class of INARMA models based on binomial thinning operations for Poisson marginal distributions. The overdispersion phenomenon(i.e., a variance greater than the expectation) is common in the real world. Overdispersed count data can be modeled by using alternative thinning operations such as random coefficient thinning, iterated thinning, and quasi-binomial thinning. Such thinning operations can lead to time series models of counts with negative binomial or generalized Poisson marginal distributions. This paper examines whether the test statistics used by Jung and Tremayne (2003) on serial dependence in time series of counts data are affected by overdispersion.

• Journal of the Korean Institute of Intelligent Systems
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• v.21 no.6
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• pp.730-736
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• 2011

In this paper, we designed the models for pattern classification which can reflect the latest trend in time series. It has been shown that fusion models based on statistical and AI methods are superior to traditional ones for the pattern classification model supporting decision making. Especially, the hit rates of pattern classification models combined with fuzzy theory are relatively increased. The statistical SVM models combined with fuzzy membership function, or the models combining neural network and FCM has shown good performance. BPN, PNN, FNN, FCM, SVM, FSVM, Decision Tree, Time Series Analysis, and Regression Analysis were used for pattern classification models in the experiments of this paper. The economical indices DB with time series properties of the financial market(Korea, KOSPI200 DB) and the electrocardiogram DB of arrhythmia patients in hospital emergencies(USA, MIT-BIH DB) were used for data base.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.10
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• pp.159-168
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• 2022

The time series of foreign trade turnover is complex and variable and contains linear and nonlinear information. This paper proposes preprocessing the dataset by the EMD algorithm and combining the linear prediction advantage of the SARIMA model with the nonlinear prediction advantage of the EMD-LSTM model to construct the SARIMA-EMD-LSTM hybrid model by the weight assignment method. The forecast performance of the single models is compared with that of the hybrid models by using MAPE and RMSE metrics. Furthermore, it is confirmed that the weight assignment approach can benefit from the hybrid models. The results show that the SARIMA model can capture the fluctuation pattern of the time series, but it cannot effectively predict the sudden drop in foreign trade turnover caused by special reasons and has the lowest accuracy in long-term forecasting. The EMD-LSTM model successfully resolves the hysteresis phenomenon and has the highest forecast accuracy of all models, with a MAPE of 7.4304%. Therefore, it can be effectively used to forecast the Sino-Russia foreign trade turnover time series post-epidemic. Hybrid models cannot take advantage of SARIMA linear and LSTM nonlinear forecasting, so weight assignment is not the best method to construct hybrid models.

• Journal of the Korean Data and Information Science Society
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• v.12 no.1
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• pp.71-78
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• 2001

Three test statistics are proposed for the presence of seasonality in multiplicative seasonal time series models. Further their common limiting distribution is derived under some assumptions.