• Communications for Statistical Applications and Methods
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• v.7 no.1
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• pp.87-96
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• 2000

Nonlinear time series prediction is derived and compared between statistic of modeling and neural network method. In particular mean squared errors of predication are obtained in generalized random coefficient model and generalized autoregressive conditional heteroscedastic model and compared with them by neural network forecasting.

• Journal of Korea Water Resources Association
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• v.45 no.11
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• pp.1187-1199
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• 2012

A hybrid forecasting scheme based on wavelet decomposition coupled to a support vector machine model is presented for water demand series that exhibit nonlinear behavior. The use of wavelet transform followed by the SVM model of each leading component is explored as a model for water demand data. The proposed forecasting model yields better results than a traditional ARIMA time series forecasting model in terms of self-prediction problem as well as reproducing the properties of the observed water demand data by making use of the advantages of wavelet transform and SVM model. The proposed model can be used to substantially and significantly improve the water demand forecasting and utilized in a real operation.

• The Journal of shipping and logistics
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• v.35 no.1
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• pp.93-109
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• 2019

This study applied the statistically significant factors to the short-run model in the existing nonlinear long-run equilibrium relation analysis for the forecasting of maritime economy using the mixed cycle model. The most common univariate AR(1) model and out-of-sample forecasting are compared with the root mean squared forecasting error from the mixed-frequency model, and the prediction power of the mixed-frequency approach is confirmed to be better than the AR(1) model. The empirical results from the analysis suggest that the new approach of high-level mixed frequency model is a useful for forecasting marine industry. It is consistent that the inclusion of more information, such as higher frequency, in the analysis of long-run equilibrium framework is likely to improve the forecasting power of short-run models in multivariate time series analysis.

• 한국데이터정보과학회:학술대회논문집
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• 2005.04a
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• pp.155-163
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• 2005

This paper applies Support Vector Regression (SVR) to estimate and forecast nonlinear autoregressive integrated (ARI) model of the daily exchange rates of four currencies (Swiss Francs, Indian Rupees, South Korean Won and Philippines Pesos) against U.S. dollar. The forecasting abilities of SVR are compared with linear ARI model which is estimated by OLS. Sensitivity of SVR results are also examined to kernel type and other free parameters. Empirical findings are in favor of SVR. SVR method forecasts exchange rate level better than linear ARI model and also has superior ability in forecasting the exchange rates direction in short test phase but has similar performance with OLS when forecasting the turning points in long test phase.

• Management Science and Financial Engineering
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• v.14 no.2
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• pp.89-104
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• 2008

Growth curves including Bass, Logistic and Gompertz functions are widely used in forecasting the market demand. Nonlinear least square method is often adopted for estimating the model parameters but it is difficult to set up the starting value for each parameter. If a wrong starting point is selected, the result may lead to erroneous forecasts. This paper proposes a method of selecting starting values for model parameters in estimating some growth curves by nonlinear least square method through grid search and transformation into linear regression model. Resealing the market data using the national economic index makes it possible to figure out the range of parameters and to utilize the grid search method. Application to some real data is also included, where the performance of our method is demonstrated.

• Proceedings of the Korea Water Resources Association Conference
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• 2001.05a
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• pp.45-51
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• 2001

The daily inflow is apparently one of nonlinear and complicated phenomena. The nonlinear and complexity make it difficult to model the prediction of daily flow, but attractive to try the neural networks approach which contains inherently nonlinear schemes. The study focuses on developing the forecasting models of daily inflows to a large dam site using neural networks. In order to reduce the error caused by high or low outliers, the back propagation algorithm which is one of neural network structures is modified by combining a regression algorithm. The study indicates that continuous forecasting of a reservoir inflow in real time is possible through the use of modified neural network models. The positive effect of the modification using tole regression scheme in BP algorithm is showed in the low and high ends of inflows.

• Industrial Engineering and Management Systems
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• v.12 no.3
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• pp.244-253
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• 2013

In industries, shipping is an important issue in improving the forecasting accuracy of sales. This paper introduces a hybrid method and plural methods are compared. Focusing the equation of exponential smoothing method (ESM) that is equivalent to (1, 1) order autoregressive-moving-average (ARMA) model equation, a new method of estimating the smoothing constant in ESM had been proposed previously by us which satisfies minimum variance of forecasting error. Generally, the smoothing constant is selected arbitrarily. However, this paper utilizes the above stated theoretical solution. Firstly, we make estimation of ARMA model parameter and then estimate the smoothing constant. Thus, theoretical solution is derived in a simple way and it may be utilized in various fields. Furthermore, combining the trend removing method with this method, we aim to improve forecasting accuracy. This method is executed in the following method. Trend removing by the combination of linear and 2nd order nonlinear function and 3rd order nonlinear function is executed to the original production data of two kinds of bread. Genetic algorithm is utilized to search the optimal weight for the weighting parameters of linear and nonlinear function. For comparison, the monthly trend is removed after that. Theoretical solution of smoothing constant of ESM is calculated for both of the monthly trend removing data and the non-monthly trend removing data. Then forecasting is executed on these data. The new method shows that it is useful for the time series that has various trend characteristics and has rather strong seasonal trend. The effectiveness of this method should be examined in various cases.

• Journal of Navigation and Port Research
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• v.35 no.1
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• pp.83-91
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• 2011

The accuracy of forecasting is remarkably important to reduce total cost or to increase customer services, so it has been studied by many researchers. In this paper, the artificial neural network (ANN), one of the most popular nonlinear forecasting methods, is compared with autoregressive integrated moving average(ARIMA) model through performing a prediction of container traffic. It uses a hybrid methodology that combines both the linear ARIAM and the nonlinear ANN model to improve forecasting performance. Also, it compares the methodology with other models in performance for prediction. In designing network structure, this work specially applies the genetic algorithm which is known as the effectively optimal algorithm in the huge and complex sample space. It includes the time delayed neural network (TDNN) as well as multi-layer perceptron (MLP) which is the most popular neural network model. Experimental results indicate that both ANN and Hybrid models outperform ARIMA model.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.11 no.10
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• pp.4887-4907
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• 2017

Accurate traffic flow forecasting is critical to the development and implementation of city intelligent transportation systems. Therefore, it is one of the most important components in the research of urban traffic scheduling. However, traffic flow forecasting involves a rather complex nonlinear data pattern, particularly during workday peak periods, and a lot of research has shown that traffic flow data reveals a seasonal trend. This paper proposes a new traffic flow forecasting model that combines seasonal relevance vector regression with the hybrid chaotic simulated annealing method (SRVRCSA). Additionally, a numerical example of traffic flow data from The Transportation Data Research Laboratory is used to elucidate the forecasting performance of the proposed SRVRCSA model. The forecasting results indicate that the proposed model yields more accurate forecasting results than the seasonal auto regressive integrated moving average (SARIMA), the double seasonal Holt-Winters exponential smoothing (DSHWES), and the relevance vector regression with hybrid Chaotic Simulated Annealing method (RVRCSA) models. The forecasting performance of RVRCSA with different kernel functions is also studied.

• Journal of Korean Society of Water and Wastewater
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• v.28 no.4
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• pp.377-389
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• 2014

In recent years, Smart Water Grid (SWG) concept has globally emerged over the last decade and also gained significant recognition in South Korea. Especially, there has been growing interest in water demand forecast and this has led to various studies regarding energy saving and improvement of water supply reliability. In this regard, this study aims to develop a nonlinear ensemble model for hourly water demand forecasting which allow us to estimate uncertainties across different model classes. The concepts was demonstrated through application to observed from water plant (A) in the South Korea. Various statistics (e.g. the efficiency coefficient, the correlation coefficient, the root mean square error, and a maximum error rate) were evaluated to investigate model efficiency. The ensemble based model with an cross-validate prediction procedure showed better predictability for water demand forecasting at different temporal resolutions. In particular, the performance of the ensemble model on hourly water demand data showed promising results against other individual prediction schemes.