• The Korean Journal of Applied Statistics
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• v.35 no.1
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• pp.63-75
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• 2022

This paper proposes the so-called MOSUM-based sparse projection method for change points detection in high-dimensional time series. Our method is inspired by Wang and Samworth (2018), however, our method improves their method in two ways. One is to find change points all at once, so it minimizes sequential error. The other is localized so that more robust to the mean changes offsetting each other. We also propose data-driven threshold selection using block wild bootstrap. A comprehensive simulation study shows that our method performs reasonably well in finite samples. We also illustrate our method to stock prices consisting of S&P 500 index, and found four change points in recent 6 years.

• The Korean Journal of Applied Statistics
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• v.36 no.6
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• pp.529-545
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• 2023

This paper introduces the Banded-VHAR model suitable for high-dimensional long-memory time series with band structure. The Banded-VHAR model has nonignorable correlations only with adjacent dimensions due to data features, for example, geographical information. Row-wise estimation method is adapted for fast computation. Also, two estimation methods, namely BIC and ratio methods, are proposed to estimate the width of band. We demonstrate asymptotic consistency of our proposed estimation methods through simulation study. Real data applications to pm2.5 and apartment trading volume substantiate that our Banded-VHAR model outperforms traditional sparse VHAR model in forecasting and easy to interpret model coefficients.

• The Journal of the Korea Contents Association
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• v.10 no.9
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• pp.97-106
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• 2010

Various time series representation methods have been suggested in order to process time series data efficiently and effectively. SAX is the representative time series representation method combining segmentation and discretization techniques, which has been successfully applied to the time series classification task. But SAX requires a large number of segments in order to represent the meaningful dynamic patterns of time series accurately, since it loss the dynamic property of time series in the course of smoothing the movement of time series. Therefore, this paper suggests a new time series representation method that combines PIPs detection and Persist discretization techniques. The suggested method represents the dynamic movement of high-diemensional time series in a lower dimensional space by detecting PIPs indicating the important inflection points of time series. And it determines the optimal discretizaton ranges by applying self-transition and marginal probabilities distributions to KL divergence measure. It minimizes the information loss in process of the dimensionality reduction. The suggested method enhances the performance of time series classification task by minimizing the information loss in the course of dimensionality reduction.

• The Korean Journal of Applied Statistics
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• v.35 no.6
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• pp.685-701
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• 2022

FDR is widely used in high-dimensional data inference since it provides more liberal criterion contrary to FWER which is known to be very conservative by controlling Type-1 errors. This paper proposes a sparse VHAR model estimation method controlling FDR by adapting the knockoff introduced by Barber and Candès (2015). We also compare knockoff with conventional method using adaptive Lasso (AL) through extensive simulation study. We observe that AL shows sparsistency and decent forecasting performance, however, AL is not satisfactory in controlling FDR. To be more specific, AL tends to estimate zero coefficients as non-zero coefficients. On the other hand, knockoff controls FDR sufficiently well under desired level, but it finds too sparse model when the sample size is small. However, the knockoff is dramatically improved as sample size increases and the model is getting sparser.

• 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.

• The KIPS Transactions:PartB
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• v.9B no.4
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• pp.421-428
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• 2002

The local prediction method utilizing embedding vector loses the prediction power when the parameter r estimation is not exact for predicting the chaos time series induced from the high order differential equation. In spite of the fact that there have been a lot of suggestions regarding how to estimate the delay time ($\tau$), no specific method is proposed to apply to any time series. The inclinded linear model, which utilizes inclinded netter, yields satisfying degree of prediction power without estimating exact delay time ($\tau$). The usefulness of this approach has been indicated not only theoretically but also in practical situation when the method w8s applied to economical time series analysis.

• Journal of the Korean Data and Information Science Society
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• v.25 no.4
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• pp.807-817
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• 2014

This paper considers multivariate time series modelling of PM10 data in Korea collected from 2008 to 2011. We consider both temporal and spatial dependencies of PM10 by applying the sparse vector autoregressive (sVAR) modelling proposed by Davis et al. (2013). It utilizes the partial spectral coherence to measure cross correlation between different regions, in turn provides the sparsity in the model while balancing the parsimony of model and the goodness of fit. It is also shown that sVAR performs better than usual vector autoregressive model (VAR) in forecasting.

• Journal of KIISE:Databases
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• v.34 no.6
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• pp.503-517
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• 2007

In this paper we address the MBR-safe property of Piecewise Aggregation Approximation(PAA), and propose an of efficient subsequence matching method based on the MBR-safe PAA. A transformation is said to be MBR-safe if a low-dimensional MBR to which a high- dimensional MBR is transformed by the transformation contains every individual low-dimensional sequence to which a high-dimensional sequence is transformed. Using an MBR-safe transformation we can reduce the number of lower-dimensional transformations required in similar sequence matching, since it transforms a high-dimensional MBR itself to a low-dimensional MBR directly. Furthermore, PAA is known as an excellent lower-dimensional transformation single its computation is very simple, and its performance is superior to other transformations. Thus, to integrate these advantages of PAA and MBR-safeness, we first formally confirm the MBR-safe property of PAA, and then improve subsequence matching performance using the MBR-safe PAA. Contributions of the paper can be summarized as follows. First, we propose a PAA-based MBR-safe transformation, called mbrPAA, and formally prove the MBR-safeness of mbrPAA. Second, we propose an mbrPAA-based subsequence matching method, and formally prove its correctness of the proposed method. Third, we present the notion of entry reuse property, and by using the property, we propose an efficient method of constructing high-dimensional MBRs in subsequence matching. Fourth, we show the superiority of mbrPAA through extensive experiments. Experimental results show that, compared with the previous approach, our mbrPAA is 24.2 times faster in the low-dimensional MBR construction and improves subsequence matching performance by up to 65.9%.

• The Korean Journal of Applied Statistics
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• v.35 no.1
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• pp.49-62
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• 2022

Realized volatility is well known to have long memory, strong association with other global financial markets and interdependences among macroeconomic indices such as exchange rate, oil price and interest rates. This paper proposes autoencoder factor-augmented heterogeneous autoregressive (AE-FAHAR) model for realized volatility forecasting. AE-FAHAR incorporates long memory using HAR structure, and exogenous variables into few factors summarized by autoencoder. Autoencoder requires intensive calculation due to its nonlinear structure, however, it is more suitable to summarize complex, possibly nonstationary high-dimensional time series. Our AE-FAHAR model is shown to have smaller out-of-sample forecasting error in empirical analysis. We also discuss pre-training, ensemble in autoencoder to reduce computational cost and estimation errors.

• Journal of Korea Multimedia Society
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• v.7 no.11
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• pp.1505-1514
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• 2004

Sequence matching in time-series databases is an operation that finds the data sequences whose changing patterns are similar to that of a query sequence. Typically, sequence matching hires a multi-dimensional index for its efficient processing. In order to alleviate the dimensionality curse problem of the multi-dimensional index in high-dimensional cases, the previous methods for sequence matching apply the Discrete Fourier Transform(DFT) to data sequences, and take only the first two or three DFT coefficients as organizing attributes of the multi-dimensional index. This paper first points out the problems in such simple methods taking the firs two or three coefficients, and proposes a novel solution to construct the optimal multi -dimensional index. The proposed method analyzes the characteristics of a target database, and identifies the organizing attributes having the best discrimination power based on the analysis. It also determines the optimal number of organizing attributes for efficient sequence matching by using a cost model. To show the effectiveness of the proposed method, we perform a series of experiments. The results show that the Proposed method outperforms the previous ones significantly.