• Journal of the Korean Data and Information Science Society
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• v.24 no.3
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• pp.625-636
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• 2013

In this paper we study four kernel machines for estimating expected shortfall, which are constructed through combinations of support vector quantile regression (SVQR), restricted SVQR (RSVQR), least squares support vector machine (LS-SVM) and support vector expectile regression (SVER). These kernel machines have obvious advantages such that they achieve nonlinear model but they do not require the explicit form of nonlinear mapping function. Moreover they need no assumption about the underlying probability distribution of errors. Through numerical studies on two artificial an two real data sets we show their effectiveness on the estimation performance at various confidence levels.

• International Journal of Fuzzy Logic and Intelligent Systems
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• v.8 no.3
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• pp.196-201
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• 2008

Statistical learning theory has three analytical tools which are support vector machine, support vector regression, and support vector clustering for classification, regression, and clustering respectively. In general, their performances are good because they are constructed by convex optimization. But, there are some problems in the methods. One of the problems is the subjective determination of the parameters for kernel function and regularization by the arts of researchers. Also, the results of the learning machines are depended on the selected parameters. In this paper, we propose an efficient method for objective determination of the parameters of support vector clustering which is the clustering method of statistical learning theory. Using evolutionary algorithm and bootstrap method, we select the parameters of kernel function and regularization constant objectively. To verify improved performances of proposed research, we compare our method with established learning algorithms using the data sets form ucr machine learning repository and synthetic data.

• Journal of Information Processing Systems
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• v.15 no.2
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• pp.422-432
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• 2019

A hybrid kernel function of support vector machine is proposed to improve the classification performance of power quality disturbances. The kernel function mathematical model of support vector machine directly affects the classification performance. Different types of kernel functions have different generalization ability and learning ability. The single kernel function cannot have better ability both in learning and generalization. To overcome this problem, we propose a hybrid kernel function that is composed of two single kernel functions to improve both the ability in generation and learning. In simulations, we respectively used the single and multiple power quality disturbances to test classification performance of support vector machine algorithm with the proposed hybrid kernel function. Compared with other support vector machine algorithms, the improved support vector machine algorithm has better performance for the classification of power quality signals with single and multiple disturbances.

• Journal of Industrial Convergence
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• v.16 no.4
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• pp.33-46
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• 2018

Personal credit scoring is an effective tool for banks to properly guide decision profitably on granting loans. Recently, many classification algorithms and models are used in personal credit scoring. Personal credit scoring technology is usually divided into statistical method and non-statistical method. Statistical method includes linear regression, discriminate analysis, logistic regression, and decision tree, etc. Non-statistical method includes linear programming, neural network, genetic algorithm and support vector machine, etc. But for the development of the credit scoring model, there is no consistent conclusion to be drawn regarding which method is the best. In this paper, we will compare the performance of the most common scoring techniques such as logistic regression, neural network, and support vector machines using personal credit data of the financial institution in China. Specifically, we build three models respectively, classify the customers and compare analysis results. According to the results, support vector machine has better performance than logistic regression and neural networks.

• Communications for Statistical Applications and Methods
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• v.19 no.4
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• pp.517-526
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• 2012

In this paper a support vector method is proposed for use when the sample observations are contaminated by a normally distributed measurement error. The performance of deconvolution density estimators based on the support vector method is explored and compared with kernel density estimators by means of a simulation study. An interesting result was that for the estimation of kurtotic density, the support vector deconvolution estimator with a Gaussian kernel showed a better performance than the classical deconvolution kernel estimator.

• Communications for Statistical Applications and Methods
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• v.14 no.1
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• pp.133-140
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• 2007

The support vector machine has been well developed as a powerful tool for solving classification problems. In many real world applications, each training point has a different effect on constructing classification rule. Lin and Wang (2002) proposed fuzzy support vector machines for this kind of classification problems, which assign fuzzy memberships to the input data and reformulate the support vector classification. In this paper another intuitive approach is proposed by using the fuzzy ${\alpha}-cut$ set. It will show us the trend of classification functions as ${\alpha}$ changes.

• Communications for Statistical Applications and Methods
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• v.14 no.1
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• pp.195-203
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• 2007

In this paper we propose support vector quantile regression (SVQR) for randomly right censored data. The proposed procedure basically utilizes iterative method based on the empirical distribution functions of the censored times and the sample quantiles of the observed variables, and applies support vector regression for the estimation of the quantile function. Experimental results we then presented to indicate the performance of the proposed procedure.

• Journal of the Korean Data and Information Science Society
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• v.17 no.2
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• pp.467-474
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• 2006

In this paper we present a weighted support vector machine(SVM) and a weighted least squares support vector machine(LS-SVM) for the prediction in the heteroscedastic regression model. By adding weights to standard SVM and LS-SVM the better fitting ability can be achieved when errors are heteroscedastic. In the numerical studies, we illustrate the prediction performance of the proposed procedure by comparing with the procedure which combines standard SVM and LS-SVM and wild bootstrap for the prediction.

• Journal of the Korea Institute of Information and Communication Engineering
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• v.9 no.7
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• pp.1569-1574
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• 2005

In this paper, I propose an intelligent credit rating system using a bankruptcy prediction model based on support vector machines (SVMs). SVMs are promising methods because they use a risk function consisting of the empirical error and a regularized term which is derived from the structural risk minimization principle. This study examines the feasibility of applying SVM in Predicting corporate bankruptcies by comparing it with other data mining techniques. In addition. this study presents architecture and prototype of intelligeht credit rating systems based on SVM models.

• Proceedings of the IEEK Conference
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• 2009.05a
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• pp.320-322
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• 2009

Support vector learning attracts great interests in the areas of pattern classification, function approximation, and abnormality detection. In this pater, we design the controller using support vector regression which has good properties in comparison with multi-layer perceptron or radial basis function. The applicability of the presented method is illustrated via an example simulation.