• 응용통계연구
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• 제26권3호
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• pp.521-529
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• 2013

패널 시계열자료 분석에서 모수축약의 원칙에 충실하기 위해서 동질성 검정을 수행한다. 본 논문에서는 독립적인 중선형 시계열 패널 자료의 동질성 검정을 수행하기 위하여 먼저 중선형 시계열 모형의 정상성 조건을 구하고 최우추정량과 동질성 검정통계량과 극한 분포를 이끌어내며, 실증분석으로 우리나라 8도의 Mumps 패널자료를 이용해 8개 지역의 발병 추이에 대한 동질성 검정을 수행한다.

• Journal of the Korean Statistical Society
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• 제19권2호
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• pp.139-144
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• 1990

For the first-order bilinear time series model $X_t = aX_{t-1} + e_i + be_{t-1}X_{t-1}$ where ${e_i}$ is a sequence of independent normal random variables with mean 0 and variance $\sigma^2$, the asymptotic distribution of sample autocarrelation function is obtained and shown to follow a normal distribution. The variance of the asymptotic distribution is of a complicated form and hence a bootstrap estimate of the variance is proposed for large sample inference. This result can be used to distinguish between different bilinear models.

• Journal of the Korean Statistical Society
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• 제35권1호
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• pp.79-90
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• 2006

We consider the subdiagonal bilinear model and ARMA model with subdiagonal bilinear errors. Sufficient conditions for geometric ergodicity of associated Markov chains are derived by using results on generalized random coefficient autoregressive models and then strict stationarity and ,a-mixing property with exponential decay rates for given processes are obtained.

• 응용통계연구
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• 제25권4호
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• pp.641-650
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• 2012

Spatial time series data can be viewed as a set of time series simultaneously collected at a number of spatial locations. This paper studies Bayesian inferences in a spatial time bilinear model with a Gibbs sampling algorithm to overcome problems in the numerical analysis techniques of a spatial time series model. For illustration, the data set of mumps cases reported from the Korea Center for Disease Control and Prevention monthly over the years 2001~2009 are selected for analysis.

• 응용통계연구
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• 제27권1호
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• pp.159-168
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• 2014

Engle과 Ng (1993)가 제안한 뉴스 임팩트 커브(NIC)는 표준적인 GARCH 모형에 적용되는 대칭 커브이다. 최근들어 금융시계열의 변동성이 비대칭 성질을 가지는 경향이 있으며 이에 따라 분계점(threshlod) GARCH, 이중선형(bilinear) GARCH 등의 비대칭 모형이 연구되고 있다. 본 논문은 비대칭 모형의 변동성 커브에 대해 연구하고 있으며 LASSO를 통한 방법론을 제안하고 있다. 제시된 방법론을 국내 KOSDAQ 자료분석을 통해 예시해 보았다.

• 대한수학회보
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• 제47권5호
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• pp.889-905
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• 2010

In this paper, a distribution free approach to the parameter estimation of a simple bilinear model with periodic coefficients is presented. The proposed method relies on minimum distance estimator based on the autocovariances of the squared process. Consistency and asymptotic normality of the estimator, as well as hypotheses testing, are derived. Numerical experiments on simulated data sets are presented to highlight the theoretical results.

• Journal of the Korean Statistical Society
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• 제21권1호
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• pp.47-58
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• 1992

The autocorrelation function structures of bilinear time series model BL(p, q, r, s), $r \geq s$ are obtained and shown to be analogous to those of ARMA(p, l), l=max(q, s). Simulation studies are performed to investigate the adequacy of Akaike information criteria for identification between ARMA(p, l) and BL(p, q, r, s) models and for determination of orders of BL(p, q, r, s) models. It is suggested that the model of having minimum Akaike information criteria is selected for a suitable model.

• 한국통신학회논문지
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• 제25권3A호
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• pp.375-382
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• 2000

Equalization of satellite communication using Complex-Bilinear Recurrent Neural Network(C-BLRNN) is proposed in this pater. Since the BLRNN is based on the bilinear polynomial and it has been more effectively used in modeling highly nonlinear systems with time-series characteristics than multi-layer perception type neural networks(MLPNN) , it can be applied to satellite equalizer. the proposed C-BLRNN based equalizer for M-PSK with a channel model is compared with Volterra filter Equalizer, DFE, and conventional Complex MLPNN Equlizer. The results show that the proposed C-BLRNN based equalizer gives very favorable results in both of MSE and BER criteria over other equalizers.

• Journal of the Korean Data and Information Science Society
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• 제18권1호
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• pp.17-29
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• 2007

The major purpose of this article is the comparison of estimation method with Newton-Raphson, Kalman-filter, and prediction method with Kalman prediction. Conditional expectation in space time bilinear(STBL) model, which is a very powerful and parsimonious nonlinear time-series model for the space time series data can be viewed as a set of time series collected simultaneously at a number of spatial locations and time points, and which have appeared in a important applications areas: geography, geology, natural resources, ecology, epidemiology, etc.

• Communications for Statistical Applications and Methods
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• 제10권3호
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• pp.931-954
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• 2003

It is widely recognized that economic time series involved not only the linearities but also the non-linearities. In this paper, when the economic time series data have the nonlinear characteristics we propose the forecasts method using combinations of both forecasts from linear and nonlinear models. In empirical study, we compare the forecasting performance of 4 exchange rates models(AR, GARCH, AR+GARCH, Bilinear model) and combination of these forecasts for dairly Won/Dollar exchange rates returns. The combination method is selected by the estimated individual forecast errors using Monte Carlo simulations. And this study shows that the combined forecasts using unrestricted least squares method is performed substantially better than any other combined forecasts or individual forecasts.