• The Korean Journal of Applied Statistics
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• v.25 no.3
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• pp.485-501
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• 2012

This research is to find a design D that minimizes forecast variance in d dimensions over the candidate space ${\chi}$. We want a robust design since we may not know the specific covariance structure. We seek a design that minimizes a coverage criterion and hope that this design will provide a small forecast variance even if the covariance structure is unobservable. The details of an exchange or swapping algorithm and several properties of the parameters of coverage criterion with the unknown correlation structures are discussed.

• Journal of Technology Innovation
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• v.5 no.1
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• pp.223-248
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• 1997

In this study the comparative analysis of four nations' Delphi technological forecasts in information and communication industry was carried out. The nations were Korea, Japan, Germany and France. The reliability test of realization time forecast was also conducted. There were some technologies of which four nations forecast almost same realization time whereas other technologies which four nations showed large variance in forecasting realization time. This means that experts from different nations had different views and prospects on the same technology. It is expected that prospecting international technological trend from this study will contribute to formulating long-range plan for technological development in information and communication in Korea. The result of the comparative analysis of four nations' forecasts in information and communication technology can be summarized as follows. a)As for the realization time, most of the technologies were forecast by four nations to be similar, the differences ranging from one to three years. It was found that on the whole, the longer the time of the forecast, the bigger the variance. The German forecast showed the biggest variance. b)In reliability test Korean was found to be the most reliable and Japan, France and Germany were in descending order. The response of all panel members was found to be more reliable than that of the panel members with high expertise, which means that there were substantially different views among panel members with high expertise on the realization time of the same technology.

• Atmosphere
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• v.29 no.4
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• pp.451-461
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• 2019

Medium-range forecast is highly dependent on ensemble forecast data. However, operational weather forecasters have not enough time to digest all of detailed features revealed in ensemble forecast data. To utilize the ensemble data effectively in medium-range forecasting, representative weather patterns in East Asia in this study are defined. The k-means clustering analysis is applied for the objectivity of weather patterns. Input data used daily Mean Sea Level Pressure (MSLP) anomaly of the ECMWF ReAnalysis-Interim (ERA-Interim) during 1981~2010 (30 years) provided by the European Centre for Medium-Range Weather Forecasts (ECMWF). Using the Explained Variance (EV), the optimal study area is defined by 20~60°N, 100~150°E. The number of clusters defined by Explained Cluster Variance (ECV) is thirty (k = 30). 30 representative weather patterns with their frequencies are summarized. Weather pattern #1 occurred all seasons, but it was about 56% in summer (June~September). The relatively rare occurrence of weather pattern (#30) occurred mainly in winter. Additionally, we investigate the relationship between weather patterns and extreme weather events such as heat wave, cold wave, and heavy rainfall as well as snowfall. The weather patterns associated with heavy rainfall exceeding 110 mm day^-1 were #1, #4, and #9 with days (%) of more than 10%. Heavy snowfall events exceeding 24 cm day^-1 mainly occurred in weather pattern #28 (4%) and #29 (6%). High and low temperature events (> 34℃ and < -14℃) were associated with weather pattern #1~4 (14~18%) and #28~29 (27~29%), respectively. These results suggest that the classification of various weather patterns will be used as a reference for grouping all ensemble forecast data, which will be useful for the scenario-based medium-range ensemble forecast in the future.

• Atmosphere
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• v.16 no.4
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• pp.359-370
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• 2006

Terrain height variance spectra for the Korean mountain region are calculated in order to determine an adequate grid size required to resolve terrain forcing on mesoscale model simulation. One-dimensional spectral analysis is applied to specifically the central-eastern part of the Korean mountain region, where topographical-scale forcing has an important effect on mesoscale atmospheric flow. It is found that the terrain height variance spectra in this mountain region has a wavelength dependence with the power law exponents of 1.5 at the wavelength near 30 km, but this dependence is steeply changed to 2.5 at the wavelength less than 30 km. For the adequate horizontal grid size selection on mesoscale simulation two-dimensional terrain height spectral analysis is also performed. There is no directionality within 50% of spectral energy region, so one-dimensional spectral analysis can be reasonably applied to the Korea Peninsula. According to the spectral analysis of terrain height variance, the finer grid size which is higher than 6 km is required to resolve a 90% of terrain variance in this region. Numerical simulation using WRF (Weather Research and Forecasting Model) was performed to evaluate the effect of different terrain resolution in accordance with the result of spectral analysis. The simulated results were quantitatively compared to observations and there was a significant improvement in the wind prediction across the mountain region as the grid space decreased from 18 km to 2 km. The results will provide useful guidance of grid size selection on mesoscale topographical simulation over the Korean mountain region.

• Journal of Korea Water Resources Association
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• v.31 no.6
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• pp.855-862
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• 1998

This paper investigates the impact of the forecast error on performance of a reservoir system for hydropower production. Forecast error is measured as th Root Mean Square Error (RMSE) and parametrically varied within a Generalized Maintenance Of Variance Extension (GMOVE) procedure. A set of transition probabilities are calculated as a function of the RMSE of the GMOVE procedure and then incorporated into a Bayesian Stochastic Dynamic Programming model which derives monthly operating policies and assesses their performance. As a case study, the proposed methodology is applied to the Skagit Hydropower System (SHS) in Washington state. The results show that the system performance is a nonlinear function of RMSE and therefor suggested that continued improvements in the current forecast accuracy correspond to gradually greater increase in performance of the SHS.

• Atmosphere
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• v.30 no.2
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• pp.103-113
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• 2020

In this study, we analyzed and developed the monitoring system in order to confirm the effect of observations on forecast sensitivity on ensemble-based data assimilation. For this purpose, we developed the Ensemble Forecast Sensitivity to observation (EFSO) monitoring system based on Local Ensemble Transform Kalman Filter (LETKF) system coupled with Korean Integrated Model (KIM). We calculated 24 h error variance of each of observations and then classified as beneficial or detrimental effects. In details, the relative rankings were according to their magnitude and analyzed the forecast sensitivity by region for north, south hemisphere and tropics. We performed cycle experiment in order to confirm the EFSO result whether reliable or not. According to the evaluation of the EFSO monitoring, GPSRO was classified as detrimental observation during the specified period and reanalyzed by data-denial experiment. Data-denial experiment means that we detect detrimental observation using the EFSO and then repeat the analysis and forecast without using the detrimental observations. The accuracy of forecast in the denial of detrimental GPSRO observation is better than that in the default experiment using all of the GPSRO observation. It means that forecast skill score can be improved by not assimilating observation classified as detrimental one by the EFSO monitoring system.

• Structural Monitoring and Maintenance
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• v.10 no.2
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• pp.175-190
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• 2023

This article aims to quantitatively predict the snowmelt in extreme cold regions, considering a combination of grayscale and neural models. The traditional non-equidistant GM(1,1) prediction model is optimized by adjusting the time-distance weight matrix, optimizing the background value of the differential equation and optimizing the initial value of the model, and using the BP neural network for the first. The adjusted ice forecast model has an accuracy of 0.984 and posterior variance and the average forecast error value is 1.46%. Compared with the GM(1,1) and BP network models, the accuracy of the prediction results has been significantly improved, and the quantitative prediction of the ice sheet is more accurate. The monitoring and maintenance of the structure by quantitative prediction model by gray models was clearly demonstrated in the model.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.7
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• pp.1-15
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• 2022

Combining the strength of both Mixed Data Sampling (MIDAS) Regression and realized variance measures, this paper seeks to investigate two objectives: (1) evaluate the post-sample performance of the proposed weekly Realized Variance-MIDAS (RVar-MIDAS) in one-week ahead volatility forecasting against the established Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model and the less explored but robust STES (Smooth Transition Exponential Smoothing) methods. (2) comparing forecast error performance between realized variance and squared residuals measures as a proxy for actual volatility. Data of seven private equity mutual fund indices (generated from 57 individual funds) from two different time periods (with and without financial crisis) are applied to 21 models. Robustness of the post-sample volatility forecasting of all models is validated by the Model Confidence Set (MCS) Procedures and revealed: (1) The weekly RVar-MIDAS model emerged as the best model, outperformed the robust DAILY-STES methods, and the weekly DAILY-GARCH models, particularly during a volatile period. (2) models with realized variance measured in estimation and as a proxy for actual volatility outperformed those using squared residual. This study contributes an empirical approach to one-week ahead volatility forecasting of mutual funds return, which is less explored in past literature on financial volatility forecasting compared to stocks volatility.

• The Journal of Fisheries Business Administration
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• v.46 no.1
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• pp.93-107
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• 2015

This study aims to analyze causalities among Hairtail prices by distribution channel using a vector autoregressive model. This study applies unit-root test for stability of data, uses Granger causality test to know interaction among Hairtail Prices by distribution channel, and employes the vector autoregressive model to estimate statistical impacts among t-2 period variables used in model. Analyzing results of this study are as follows. First, ADF, PP, and KPSS tests show that the change rate of Hairtail price by distribution channel differentiated by logarithm is stable. Second, a Granger causality test presents that the producer price of Hairtail leads the wholesale price and then the wholesale price leads the consumer price. Third, the vector autoregressive model suggests that the change rate of Hairtail producer price of t-2 period variables statistically, significantly impacts change rates of own, wholesale, and consumer prices at current period. Fourth, the impulse response analysis indicates that impulse responses of the structural shocks with a respectively distribution channel of the Hairtail prices are relatively more powerful in own distribution channel than in other distribution channels. Fifth, a forecast error variance decomposition of the Hairtail prices points out that the own price has relatively more powerful influence than other prices.

• The Korean Journal of Applied Statistics
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• v.28 no.3
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• pp.511-527
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• 2015

For time series analysis, power transformation (especially log-transformation) is widely used for variance stabilization or normalization for stationary ARMA(p, q) model. A simple and naive back transformed forecast is obtained by taking the inverse function of expectation. However, this back transformed forecast has a bias. Under the assumption that the log-transformed data is normally distributed. The unbiased back transformed forecast can be obtained by the expectation of log-normal distribution; consequently, the property of this back transformation was studied by Granger and Newbold (1976). We investigate the sensitivity of back transformed forecasts under several different underlying distributions using simulation studies.