• Title/Summary/Keyword: 다변량 시계열 데이터

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A spectrum based evaluation algorithm for micro scale weather analysis module with application to time series cluster analysis (스펙트럼분석 기반의 미기상해석모듈 평가알고리즘 제안 및 시계열 군집분석에의 응용)

  • Kim, Hea-Jung;Kwak, Hwa-Ryun;Kim, Yu-Na;Choi, Young-Jean
    • Journal of the Korean Data and Information Science Society
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    • v.26 no.1
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    • pp.41-53
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    • 2015
  • In meteorological field, many researchers have tried to develop micro scale weather analysis modules for providing real-time weather information service in the metropolitan area. This effort enables us to cope with various economic and social harms coming from serious change in the micro meteorology of a metropolitan area due to rapid urbanization such as quantitative expansions in its urban activity, growth of population, and building concentration. The accuracy of the micro scale weather analysis modules (MSWAM) directly related to usefulness and quality of the real-time weather information service in the metropolitan area. This paper design a evaluation system along with verification tools that sufficiently accommodate spatio-temporal characteristics of the outputs of the MSWAM. For this we proposes a test for the equality of mean vectors of the output series of the MSWAM and corresponding observed time series by using a spectral analysis technique. As a byproduct, a time series cluster analysis method, using a function of the test statistic as the distance measure, is developed. A real data application is given to demonstrate the utility of the method.

A Demand Forecasting for Aircraft Spare Parts using ARMIA (ARIMA를 이용한 항공기 수리부속의 수요 예측)

  • Park, Young-Jin;Jeon, Geon-Wook
    • Journal of the military operations research society of Korea
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    • v.34 no.2
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    • pp.79-101
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    • 2008
  • This study is for improvement of repair part demand forecasting method of Republic of Korea Air Force aircraft. Recently, demand prediction methods are Weighted moving average, Linear moving average, Trend analysis, Simple exponential smoothing, Linear exponential smoothing. But these use fixed weight and moving average range. Also, NORS(Not Operationally Ready upply) is increasing. Recommended method of Box-Jenkins' ARIMA can solve problems of these method and improve estimate accuracy. To compare recent prediction method and ARIMA that use mean squared error(MSE) is reacted sensitively in change of error. ARIMA has high accuracy than existing forecasting method. If apply this method of study in other several Items, can prove demand forecast Capability.

The Analysis of EU Carbon Prices Using SVECM Approach (SVECM 모형을 이용한 탄소배출권 가격 연구)

  • Bu, Gi-Duck;Jeong, Kiho
    • Environmental and Resource Economics Review
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    • v.20 no.3
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    • pp.531-565
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    • 2011
  • All previous studies analyzing multivariate time series data of EUA (European Union Allowance) price commonly used endogenous variables within the four variables and included the period from April to June of 2006 in the analysis, when the price distortion occurred. This study uses graph theory and structural vector error correction model (SVECM) to analyze the daily time series data of the EUA (European Union Allowance) price. As endogenous variables, five variables are considered for the analysis, including prices of crude oil, natural gas, electricity and coal in addition to carbon price. Data period is Phase 2 period (April 21, 2008 to March 31, 2010) to avoid the EUA price distortion of Phase 1 period (2005~2007). Further, the monthly data including the economic variables as endogenous variables are analyzed.

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A Study on the Effect of Delinquency Rate of Real Estate PF on Macroeconomic Variables (거시경제변수에 따른 부동산PF 연체율에 관한 연구)

  • Roh, Chi-Young;Kim, Hyung-Joo
    • The Journal of the Korea Contents Association
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    • v.18 no.4
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    • pp.416-427
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    • 2018
  • As the loan size of real estate PF is huge, its market ripple effect gets bigger when overdue occurs. Accordingly, the management of the delinquency rate and macroeconomic analysis are required. As the preceding research mainly proceeded with microeconomic analysis through the real estate PF data of individual banks to evaluate importance of list or analyzed core factors for delinquency, it lacked research on comprehensive real estate PF size. In order to overcome the limitations of such data, this research studied real estate PF delinquency rate of the entire market and effect relationship by the size. The research utilized the size of real estate PF loans, money supply, interest rate, consumer price index(CPI), and GDP data. Also, it applied the first model of VECM as linear relationship between at least two or more variables, following the result of co-integration test. As a result of Granger-causality test, the real estate PF loans delinquency rate is influenced by their loan size, and as a result of impulse response analysis, the interest rate is shown to be affecting delinquency rate the most. Interest rate could risesomeday and aggravate the delinquency rate of real estate PF. Also, risk exposure could be serious as the loan size increases.Therefore, the management of real estate PF delinquency rate requires continuous monitoring, tracking and observing issued loans from a macro point of view. The plans to prevent delinquency will be necessary.

Comparison of Models for Stock Price Prediction Based on Keyword Search Volume According to the Social Acceptance of Artificial Intelligence (인공지능의 사회적 수용도에 따른 키워드 검색량 기반 주가예측모형 비교연구)

  • Cho, Yujung;Sohn, Kwonsang;Kwon, Ohbyung
    • Journal of Intelligence and Information Systems
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    • v.27 no.1
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    • pp.103-128
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    • 2021
  • Recently, investors' interest and the influence of stock-related information dissemination are being considered as significant factors that explain stock returns and volume. Besides, companies that develop, distribute, or utilize innovative new technologies such as artificial intelligence have a problem that it is difficult to accurately predict a company's future stock returns and volatility due to macro-environment and market uncertainty. Market uncertainty is recognized as an obstacle to the activation and spread of artificial intelligence technology, so research is needed to mitigate this. Hence, the purpose of this study is to propose a machine learning model that predicts the volatility of a company's stock price by using the internet search volume of artificial intelligence-related technology keywords as a measure of the interest of investors. To this end, for predicting the stock market, we using the VAR(Vector Auto Regression) and deep neural network LSTM (Long Short-Term Memory). And the stock price prediction performance using keyword search volume is compared according to the technology's social acceptance stage. In addition, we also conduct the analysis of sub-technology of artificial intelligence technology to examine the change in the search volume of detailed technology keywords according to the technology acceptance stage and the effect of interest in specific technology on the stock market forecast. To this end, in this study, the words artificial intelligence, deep learning, machine learning were selected as keywords. Next, we investigated how many keywords each week appeared in online documents for five years from January 1, 2015, to December 31, 2019. The stock price and transaction volume data of KOSDAQ listed companies were also collected and used for analysis. As a result, we found that the keyword search volume for artificial intelligence technology increased as the social acceptance of artificial intelligence technology increased. In particular, starting from AlphaGo Shock, the keyword search volume for artificial intelligence itself and detailed technologies such as machine learning and deep learning appeared to increase. Also, the keyword search volume for artificial intelligence technology increases as the social acceptance stage progresses. It showed high accuracy, and it was confirmed that the acceptance stages showing the best prediction performance were different for each keyword. As a result of stock price prediction based on keyword search volume for each social acceptance stage of artificial intelligence technologies classified in this study, the awareness stage's prediction accuracy was found to be the highest. The prediction accuracy was different according to the keywords used in the stock price prediction model for each social acceptance stage. Therefore, when constructing a stock price prediction model using technology keywords, it is necessary to consider social acceptance of the technology and sub-technology classification. The results of this study provide the following implications. First, to predict the return on investment for companies based on innovative technology, it is most important to capture the recognition stage in which public interest rapidly increases in social acceptance of the technology. Second, the change in keyword search volume and the accuracy of the prediction model varies according to the social acceptance of technology should be considered in developing a Decision Support System for investment such as the big data-based Robo-advisor recently introduced by the financial sector.

Dynamic forecasts of bankruptcy with Recurrent Neural Network model (RNN(Recurrent Neural Network)을 이용한 기업부도예측모형에서 회계정보의 동적 변화 연구)

  • Kwon, Hyukkun;Lee, Dongkyu;Shin, Minsoo
    • Journal of Intelligence and Information Systems
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    • v.23 no.3
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    • pp.139-153
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    • 2017
  • Corporate bankruptcy can cause great losses not only to stakeholders but also to many related sectors in society. Through the economic crises, bankruptcy have increased and bankruptcy prediction models have become more and more important. Therefore, corporate bankruptcy has been regarded as one of the major topics of research in business management. Also, many studies in the industry are in progress and important. Previous studies attempted to utilize various methodologies to improve the bankruptcy prediction accuracy and to resolve the overfitting problem, such as Multivariate Discriminant Analysis (MDA), Generalized Linear Model (GLM). These methods are based on statistics. Recently, researchers have used machine learning methodologies such as Support Vector Machine (SVM), Artificial Neural Network (ANN). Furthermore, fuzzy theory and genetic algorithms were used. Because of this change, many of bankruptcy models are developed. Also, performance has been improved. In general, the company's financial and accounting information will change over time. Likewise, the market situation also changes, so there are many difficulties in predicting bankruptcy only with information at a certain point in time. However, even though traditional research has problems that don't take into account the time effect, dynamic model has not been studied much. When we ignore the time effect, we get the biased results. So the static model may not be suitable for predicting bankruptcy. Thus, using the dynamic model, there is a possibility that bankruptcy prediction model is improved. In this paper, we propose RNN (Recurrent Neural Network) which is one of the deep learning methodologies. The RNN learns time series data and the performance is known to be good. Prior to experiment, we selected non-financial firms listed on the KOSPI, KOSDAQ and KONEX markets from 2010 to 2016 for the estimation of the bankruptcy prediction model and the comparison of forecasting performance. In order to prevent a mistake of predicting bankruptcy by using the financial information already reflected in the deterioration of the financial condition of the company, the financial information was collected with a lag of two years, and the default period was defined from January to December of the year. Then we defined the bankruptcy. The bankruptcy we defined is the abolition of the listing due to sluggish earnings. We confirmed abolition of the list at KIND that is corporate stock information website. Then we selected variables at previous papers. The first set of variables are Z-score variables. These variables have become traditional variables in predicting bankruptcy. The second set of variables are dynamic variable set. Finally we selected 240 normal companies and 226 bankrupt companies at the first variable set. Likewise, we selected 229 normal companies and 226 bankrupt companies at the second variable set. We created a model that reflects dynamic changes in time-series financial data and by comparing the suggested model with the analysis of existing bankruptcy predictive models, we found that the suggested model could help to improve the accuracy of bankruptcy predictions. We used financial data in KIS Value (Financial database) and selected Multivariate Discriminant Analysis (MDA), Generalized Linear Model called logistic regression (GLM), Support Vector Machine (SVM), Artificial Neural Network (ANN) model as benchmark. The result of the experiment proved that RNN's performance was better than comparative model. The accuracy of RNN was high in both sets of variables and the Area Under the Curve (AUC) value was also high. Also when we saw the hit-ratio table, the ratio of RNNs that predicted a poor company to be bankrupt was higher than that of other comparative models. However the limitation of this paper is that an overfitting problem occurs during RNN learning. But we expect to be able to solve the overfitting problem by selecting more learning data and appropriate variables. From these result, it is expected that this research will contribute to the development of a bankruptcy prediction by proposing a new dynamic model.

The Relationship Between Entrepreneurial Competency and Entrepreneurial Intention of SME Workers: Focusing on the Mediating Effect of Start-Up Efficacy and Start-Up Mentor (중소기업 종사자의 창업역량과 창업의도 간의 영향 관계: 창업효능감과 창업멘토링의 매개효과 중심으로)

  • Oun Ju Lee
    • Asia-Pacific Journal of Business Venturing and Entrepreneurship
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    • v.18 no.6
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    • pp.201-214
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    • 2023
  • This study attempted to analyze the impact of individual entrepreneurial capabilities on entrepreneurial intention targeting small and medium-sized business employees, and sought to confirm the mediating effect of entrepreneurial efficacy and entrepreneurial mentoring between entrepreneurial capabilities and entrepreneurial intention. The sub-variables of entrepreneurship competency were analyzed separately into creativity, problem solving, communication, and marketing. 368 questionnaires collected from employees at small and medium-sized manufacturing companies located across the country were used for empirical analysis. A parallel dual mediation model with no causal relationship between parameters was used for empirical analysis using SPSS v26.0 and PROCESS macro v4.2. As a result of the analysis, first, among the start-up competencies, creativity, communication, and marketing were confirmed to have a significant positive (+) effect on start-up efficacy. Second, among the start-up competencies, creativity, communication, and marketing were tested to have a significant positive influence on start-up mentoring. Third, both startup efficacy and startup mentoring were found to have a significant positive influence on startup intention. Fourth, among start-up capabilities, creativity and marketing were confirmed to have a significant positive (+) effect on start-up intention. Fifth, startup efficacy and startup mentoring were found to have a mediating effect on startup intention except for problem solving among startup competencies. As a result, it was confirmed that in order to strengthen the intention to start a business among small and medium-sized business employees, start-up efficacy and start-up mentoring are important factors, and that marketing and creativity have an important influence among individual start-up capabilities, so education and prior preparation for these are necessary. As follow-up research, it will be necessary to apply multivariate models, analyze time series data, research considering external environmental factors, and test the difference between start-up capabilities and performance considering detailed population characteristics.

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A Study of Anomaly Detection for ICT Infrastructure using Conditional Multimodal Autoencoder (ICT 인프라 이상탐지를 위한 조건부 멀티모달 오토인코더에 관한 연구)

  • Shin, Byungjin;Lee, Jonghoon;Han, Sangjin;Park, Choong-Shik
    • Journal of Intelligence and Information Systems
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    • v.27 no.3
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    • pp.57-73
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    • 2021
  • Maintenance and prevention of failure through anomaly detection of ICT infrastructure is becoming important. System monitoring data is multidimensional time series data. When we deal with multidimensional time series data, we have difficulty in considering both characteristics of multidimensional data and characteristics of time series data. When dealing with multidimensional data, correlation between variables should be considered. Existing methods such as probability and linear base, distance base, etc. are degraded due to limitations called the curse of dimensions. In addition, time series data is preprocessed by applying sliding window technique and time series decomposition for self-correlation analysis. These techniques are the cause of increasing the dimension of data, so it is necessary to supplement them. The anomaly detection field is an old research field, and statistical methods and regression analysis were used in the early days. Currently, there are active studies to apply machine learning and artificial neural network technology to this field. Statistically based methods are difficult to apply when data is non-homogeneous, and do not detect local outliers well. The regression analysis method compares the predictive value and the actual value after learning the regression formula based on the parametric statistics and it detects abnormality. Anomaly detection using regression analysis has the disadvantage that the performance is lowered when the model is not solid and the noise or outliers of the data are included. There is a restriction that learning data with noise or outliers should be used. The autoencoder using artificial neural networks is learned to output as similar as possible to input data. It has many advantages compared to existing probability and linear model, cluster analysis, and map learning. It can be applied to data that does not satisfy probability distribution or linear assumption. In addition, it is possible to learn non-mapping without label data for teaching. However, there is a limitation of local outlier identification of multidimensional data in anomaly detection, and there is a problem that the dimension of data is greatly increased due to the characteristics of time series data. In this study, we propose a CMAE (Conditional Multimodal Autoencoder) that enhances the performance of anomaly detection by considering local outliers and time series characteristics. First, we applied Multimodal Autoencoder (MAE) to improve the limitations of local outlier identification of multidimensional data. Multimodals are commonly used to learn different types of inputs, such as voice and image. The different modal shares the bottleneck effect of Autoencoder and it learns correlation. In addition, CAE (Conditional Autoencoder) was used to learn the characteristics of time series data effectively without increasing the dimension of data. In general, conditional input mainly uses category variables, but in this study, time was used as a condition to learn periodicity. The CMAE model proposed in this paper was verified by comparing with the Unimodal Autoencoder (UAE) and Multi-modal Autoencoder (MAE). The restoration performance of Autoencoder for 41 variables was confirmed in the proposed model and the comparison model. The restoration performance is different by variables, and the restoration is normally well operated because the loss value is small for Memory, Disk, and Network modals in all three Autoencoder models. The process modal did not show a significant difference in all three models, and the CPU modal showed excellent performance in CMAE. ROC curve was prepared for the evaluation of anomaly detection performance in the proposed model and the comparison model, and AUC, accuracy, precision, recall, and F1-score were compared. In all indicators, the performance was shown in the order of CMAE, MAE, and AE. Especially, the reproduction rate was 0.9828 for CMAE, which can be confirmed to detect almost most of the abnormalities. The accuracy of the model was also improved and 87.12%, and the F1-score was 0.8883, which is considered to be suitable for anomaly detection. In practical aspect, the proposed model has an additional advantage in addition to performance improvement. The use of techniques such as time series decomposition and sliding windows has the disadvantage of managing unnecessary procedures; and their dimensional increase can cause a decrease in the computational speed in inference.The proposed model has characteristics that are easy to apply to practical tasks such as inference speed and model management.