• Journal of the Korean Data and Information Science Society
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• v.15 no.4
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• pp.783-791
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• 2004

In this paper we review recent developments in nonlinear time series modeling on both conditional mean and conditional variance. Traditional linear model in conditional mean is referred to as ARMA(autoregressive moving average) process investigated by Box and Jenkins(1976). Nonlinear mean models such as threshold, exponential and random coefficient models are reviewed and their characteristics are explained. In terms of conditional variances, ARCH(autoregressive conditional heteroscedasticity) class is considered as typical linear models. As nonlinear variants of ARCH, diverse nonlinear models appearing in recent literature including threshold ARCH, beta-ARCH and Box-Cox ARCH models are remarked. Also, a class of unified nonlinear models are considered and parameter estimation for that class is briefly discussed.

• Journal of the Korean Data and Information Science Society
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• v.21 no.5
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• pp.831-839
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• 2010

Least squares support vector machine (LS-SVM) is a kernel trick gaining a lot of popularities in the regression and classification problems. We use LS-SVM to propose a iterative algorithm for a nonlinear generalized autoregressive conditional heteroscedasticity model in the mean (GARCH-M) model to estimate the mean and the conditional volatility of stock market returns. The proposed method combines a weighted LS-SVM for the mean and unweighted LS-SVM for the conditional volatility. In this paper, we show that nonlinear GARCH-M models have a higher performance than the linear GARCH model and the linear GARCH-M model via real data estimations.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.5
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• pp.533-542
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• 2021

The main objective of this article is to investigate the existence of the lunar effect during the full moon period (FM period) and the new moon period (NM period) on the selected Islamic stock market returns and volatilities. For this purpose, the Ordinary Least Squares model, Autoregressive Conditional Heteroscedasticity model, Generalised Autoregressive Conditional Heteroscedasticity model and Generalised Autoregressive Conditional Heteroscedasticity-in-Mean model are employed using the mean daily returns data between January 2010 and December 2019. Next, the log-likelihood, Akaike Information Criterion and Schwarz Information Criterion value are analyzed to determine the best models for explaining the returns and volatility of returns. The empirical results have deduced that, during the NM period, excluding Malaysia, the total mean daily returns for all of the selected countries have increased mean daily returns in contrast to the mean daily returns during the FM period. The volatility shocks are intense and conditional volatility is persistent in all countries. Subsequently, the volatility behavior tends to have lower volatility during the FM period and NM period in the Islamic stock market, except Malaysia. This article also concluded that the ARCH (1) model is the preferred model for stock returns whereas GARCH-M (1, 1) is preferred for the volatility of returns.

• Communications for Statistical Applications and Methods
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• v.8 no.3
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• pp.753-765
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• 2001

We suggest a quantitative conditional unrelated question model that can be used in obtaining more sensitive information. For whom say "yes" about the less 7han sensitive question .B we ask only about the more sensitive variable X. We extend our model to two sample case when there is no information about the true mean of the unrelated variable Y. Finally we compare the efficiency of our model with that of Greenberg et al.′s.

• 한국연소학회:학술대회논문집
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• 2007.05a
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• pp.118-125
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• 2007

The firtst-order conditional moment closure (CMC) model is applied to CH4/air swirl diffusion flame in a gas turbine model combustor. The flow and mixing fields are calculated by fast chemistry assumption with SLFM library and a beta function pdf for mixture fraction. RNG k-e model is used to consider the swirl flame in a confined wall. Reacting scalar fields are calculated by elliptic CMC formulation with chemical kinetic mechanism, GRI Mech 3.0. Validation is done against measurement data for mean flow and scalar fields in the model combustor [1]. Results show reasonable agreement with the mean mixture fraction and its variance, while temperature is overpredicted as the level of local extinction increases. The second-order CMC model is needed to consider local extinction with considerable conditional fluctuations near the nozzle.

• 한국연소학회:학술대회논문집
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• 2000.12a
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• pp.24-32
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• 2000

A brief introduction is given on the conditional moment closure model for turbulent nonpremixed combustion. It is based on the transport equations derived through a rigorous mathematical procedure for the conditionally averaged quantities and appropriate modeling forms for conditional scalar dissipation rate, conditional mean velocity and reaction rate. Examples are given for prediction of NO and OH in bluffbody flames, soot distribution in jet flames and autoignition of a methane/ethane jet to predict the ignition delay with respect to initial temperature, pressure and fuel composition. Conditional averaging may also be a powerful modeling concept in other approaches involved in turbulent combustion problems in various different regimes.

• Journal of the Korean Society of Combustion
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• v.5 no.2
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• pp.9-17
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• 2000

A brief introduction is given on the conditional moment closure model for turbulent nonpremixed combustion. It is based on the transport equations derived through a rigorous mathematical procedure for the conditionally averaged quantities and appropriate modeling forms for conditional scalar dissipation rate, conditional mean velocity and reaction rate. Examples are given for prediction of NO and OR in bluffbody flames, soot distribution in jet flames and autoignition of a methane/ethane jet to predict the ignition delay with respect to initial temperature, pressure and fuel composition. Conditional averaging may also be a powerful modeling concept in other approaches involved in turbulent combustion problems in various different regimes.

• Journal of Korean Society for Quality Management
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• v.25 no.3
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• pp.1-10
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• 1997

In the context of accelerated life tests, procedures are given for estimating the parameters in the modified Arrhenius model and for estimating mean life at a given future stress level. The conditional confidence intervals are obtained by conditioning on ancillary statistics and pivotal quantity. Using the data of Tobias and Trindada(1986), we illustrate conditional confidence interval for parameters under use condition in the modified Arrhenius model.

• Communications for Statistical Applications and Methods
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• v.30 no.3
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• pp.273-289
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• 2023

In this paper, we develop a new time series model for predicting IPO (initial public offering) data with non-negative integer value. The proposed model is based on integer-valued autoregressive (INAR) model with a Poisson thinning operator. Just as the heterogeneous autoregressive (HAR) model with daily, weekly and monthly averages in a form of cascade, the integer-valued heterogeneous autoregressive (INHAR) model is considered to reflect efficiently the long memory. The parameters of the INHAR model are estimated using the conditional least squares estimate and Yule-Walker estimate. Through simulations, bias and standard error are calculated to compare the performance of the estimates. Effects of model fitting to the Korea's IPO are evaluated using performance measures such as mean square error (MAE), root mean square error (RMSE), mean absolute percentage error (MAPE) etc. The results show that INHAR model provides better performance than traditional INAR model. The empirical analysis of the Korea's IPO indicates that our proposed model is efficient in forecasting monthly IPO volumes.

• Communications for Statistical Applications and Methods
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• v.19 no.1
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• pp.107-115
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• 2012

Yoo and Cook (2007) developed an optimal sufficient dimension reduction methodology for the conditional mean in multivariate regression and it is known that their method is asymptotically optimal and its test statistic has a chi-squared distribution asymptotically under the null hypothesis. To check the effect of dimension used in estimation on regression coefficients and the explanatory power of the conditional mean model in multivariate regression, we applied their method to several simulated data sets with various dimensions. A small simulation study showed that it is quite helpful to search for an appropriate dimension for a given data set if we use the asymptotic test for the dimension as well as results from the estimation with several dimensions simultaneously.