• The Korean Journal of Applied Statistics
• /
• v.33 no.2
• /
• pp.147-160
• /
• 2020

In this paper, we study an algorithm that automatically determines the orders of past observations and conditional mean values that play an important role in count time series models. Based on the orders of the ARIMA model, the algorithm constitutes the order candidates group for time series generalized linear models and selects the final model based on information criterion among the combinations of the order candidates group. To evaluate the proposed algorithm, we perform small simulations and empirical analysis according to underlying models and time series as well as compare forecasting performances with the ARIMA model. The results of the comparison confirm that the time series generalized linear model offers better performance than the ARIMA model for the count time series analysis. In addition, the empirical analysis shows better performance in mid and long term forecasting than the ARIMA model.

• Journal of the Korean Data and Information Science Society
• /
• v.23 no.6
• /
• pp.1309-1317
• /
• 2012

Stochastic weather generators are commonly used to simulate time series of daily weather, especially precipitation amount. Recently, a generalized linear model (GLM) has been proposed as a convenient approach to fitting these weather generators. In this paper, a stochastic weather generator is considered to model the time series of daily precipitation at Seoul in South Korea. As a covariate, global temperature is introduced to relate long-term temporal scale predictor to short-term temporal predictands. One of the limitations of stochastic weather generators is a marked tendency to underestimate the observed interannual variance of monthly, seasonal, or annual total precipitation. To reduce this phenomenon, we incorporate time series of seasonal total precipitation in the GLM weather generator as covariates. It is veri ed that the addition of these covariates does not distort the performance of the weather generator in other respects.

• Communications for Statistical Applications and Methods
• /
• v.18 no.3
• /
• pp.319-331
• /
• 2011

In this paper, we propose automatic procedures for the model selection of various univariate time series data. Automatic model selection is important, especially in data mining with large number of time series, for example, the number (in thousands) of signals accessing a web server during a specific time period. Several methods have been proposed for automatic model selection of time series. However, most existing methods focus on linear time series models such as exponential smoothing and autoregressive integrated moving average(ARIMA) models. The key feature that distinguishes the proposed procedures from previous approaches is that the former can be used for both linear time series models and nonlinear time series models such as threshold autoregressive(TAR) models and autoregressive moving average-generalized autoregressive conditional heteroscedasticity(ARMA-GARCH) models. The proposed methods select a model from among the various models in the prediction error sense. We also provide an R package autots that implements the proposed automatic model selection procedures. In this paper, we illustrate these algorithms with the artificial and real data, and describe the implementation of the autots package for R.

• Communications for Statistical Applications and Methods
• /
• v.4 no.1
• /
• pp.193-205
• /
• 1997

The multiprocess dynamic model provides a good framework for the modeling and analysis of the time series that contains outliers and is subject to abrupt changes in pattern. In this paper we consider the multiprocess discount generalized model with parameters having a dependent non-linear structure. This model has nice properties such as insensitivity to outliers and quick reaction to abrupt change of pattern in parameters.

• The Korean Journal of Applied Statistics
• /
• v.27 no.3
• /
• pp.475-485
• /
• 2014

A stochastic weather generator based on a generalized linear model (GLM) approach is a commonly used tools to simulate a time series of daily weather. In this paper, we propose a multi-site weather generator with applications to historical data in South Korea. The proposed method extends the approach of Kim et al. (2012) by considering spatial dependence in the model. To reduce this phenomenon, we also incorporate a time series of seasonal mean precipitations of South Korea in the GLM weather generator as a covariate. Spatial dependence was incorporated into the model through a latent Gaussian process. We apply the proposed model to precipitation data provided by 62 stations in Korea from 1973{2011.

• Journal of the Korean Data and Information Science Society
• /
• v.10 no.2
• /
• pp.329-340
• /
• 1999

We consider a Bayesian forcasting method for the analysis of repeated surveys. It is assumed that the parameters of the superpopulation model at each time follow a stochastic model. We propose Bayesian prediction procedures for the finite population total under multiprocess dynamic generalized linear models. The multiprocess dynamic model offers a powerful framework for the modelling and analysis of time series which are subject to a abrupt changes in pattern. Some numerical studies are provided to illustrate the behavior of the proposed predictors.

• The Korean Journal of Applied Statistics
• /
• v.16 no.2
• /
• pp.365-376
• /
• 2003

In this paper we reviewed a variety of non-Gaussian time series models, and studied the model selection criteria such as AIC and BIC to select proper models. We also considered the likelihood ratio test and applied it to analysis of Polio data set.

• The Korean Journal of Applied Statistics
• /
• v.26 no.3
• /
• pp.413-420
• /
• 2013

Stochastic weather generator is a commonly used tool to simulate daily weather time series. Recently, a generalized linear model(GLM) has been proposed as a convenient approach to tting these weather generators. In the present paper, a stochastic weather generator is considered to model the time series of daily temperatures for Seoul South Korea. As a covariate, precipitation occurrence is introduced to a relate short-term predictor to short-term predictands. One of the limitations of stochastic weather generators is a marked tendency to underestimate the observed interannual variance of monthly, seasonal, or annual total precipitation. To reduce this phenomenon, we incorporate a time series of seasonal mean temperatures in the GLM weather generator as a covariate.

• Communications for Statistical Applications and Methods
• /
• v.16 no.1
• /
• pp.127-135
• /
• 2009

It is necessary to forecast the amount of the maximum electricity demand for stabilizing the flow of electricity. The time series data was collected from the Korea Energy Research between January 2000 and December 2006. The data showed that they had a strong linear trend and seasonal change. Winters seasonal model, ARMA model were used to examine it. Root mean squared prediction error and mean absolute percentage prediction error were a criteria to select the best model. In addition, a nonstationary generalized extreme value distribution with explanatory variables was fitted to forecast the maximum electricity.

• Proceedings of the Korean Operations and Management Science Society Conference
• /
• 2006.05a
• /
• pp.92-100
• /
• 2006

In many common control charting situations, the statistic to be charted can be viewed as the output of a linear filter applied to the sequence of process measurement data. In recent work that has generalized this concept, the charted statistic is the output of a general linear filter in impulse response form, and the filter is designed by selecting its impulse response coefficients in order to optimize its average run length performance. In this work, we restrict attention to the class of all second-order linear filters applied to the residuals of a time series model of the process data. We present an algorithm for optimizing the design of the second-order filter that is more computationally efficient and robust than the algorithm for optimizing the general linear filter. We demonstrate that the optimal second-order filter performs almost as well as the optimal general linear filter in many situations. Both methods share a number of interesting characteristics and are tuned to detect any distinct features of the process mean shift, as it manifests itself in the residuals.