• Title/Summary/Keyword: 다중 시계열 모형

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A Study on the Predictive Power Improvement of Time Series Model with Empirical Mode Decomposition Method (경험적 모드분해법을 이용한 시계열 모형의 예측력 개선에 관한 연구)

  • Kim, Taereem;Shin, Hongjoon;Nam, Woosung;Heo, Jun-Haeng
    • Journal of Korea Water Resources Association
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    • v.48 no.12
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    • pp.981-993
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    • 2015
  • The analysis of hydrologic time series data is crucial for the effective management of water resources. Therefore, it has been widely used for the long-term forecasting of hydrologic variables. In tradition, time series analysis has been used to predict a time series without considering exogenous variables. However, many studies using decomposition have been widely carried out with the assumption that one data series could be mixed with several frequent factors. In this study, the empirical mode decomposition method was performed for decomposing a hydrologic time series data into several components, and each component was applied to the time series models, autoregressive moving average (ARMA). After constructing the time series models, the forecasting values are added to compare the results with traditional time series model. Finally, the forecasted estimates from ARMA model with empirical mode decomposition method showed better performance than sole traditional ARMA model indicated from comparing the root mean square errors of the two methods.

Application of Transfer function Model in Han River Basin (한강수계 전이함수 모형 적용)

  • Kang, Kwon-Su;Heo, Jun-Haeng
    • Proceedings of the Korea Water Resources Association Conference
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    • 2007.05a
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    • pp.1512-1516
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    • 2007
  • 자신의 현재와 과거의 시계열데이터만을 가지고 시계열 모형을 구축하는 단변량 ARIMA모형 분석법과는 달리, 관심의 대상이 되는 출력시계열과 이와 관련있는 입력시계열의 동태적 특성을 나타내는 전이함수모형(Transfer function model)을 사용하여 소양강댐, 충주댐, 화천댐에 대한 월별 수문자료를 이용하여 유입량을 예측해 보고자 한다. 본 연구의 주요 목적은 다변량 추계학적 시스템의 해석을 위한 모형의 추정과 등정을 위한 과정을 개발하는데 있다. 일반적 추계학적 시스템 모형이 표현되며 그것으로부터 수문학적 시스템의 모형을 매우 적절하게 유도하기 위한 다중 입력-단일 출력 TF, TFN모형을 유도하는데 있다. 이 모형은 수문학적 시스템을 위한 경우에 있어 상관된 입력을 설명할 수 있도록 개발된다. 일반적으로 모형을 만드는 전략이 유도되며 실제유역시스템에 적용하여 검토된다. 한강수계 주요 다목적댐인 소양강댐, 충주댐, 화천댐의 수문자료를 가지고 추계학적 모형(TF, TFN)에 의한 결과와 실제유입량을 비교하여 검토하고자 한다.

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Multiple-threshold asymmetric volatility models for financial time series (비대칭 금융 시계열을 위한 다중 임계점 변동성 모형)

  • Lee, Hyo Ryoung;Hwang, Sun Young
    • The Korean Journal of Applied Statistics
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    • v.35 no.3
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    • pp.347-356
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    • 2022
  • This article is concerned with asymmetric volatility models for financial time series. A generalization of standard single-threshold volatility model is discussed via multiple-threshold in which we specialize to twothreshold case for ease of presentation. An empirical illustration is made by analyzing S&P500 data from NYSE (New York Stock Exchange). For comparison measures between competing models, parametric bootstrap method is used to generate forecast distributions from which summary statistics of CP (Coverage Probability) and PE (Prediction Error) are obtained. It is demonstrated that our suggestion is useful in the field of asymmetric volatility analysis.

Stochastic Multiple Input-Output Model for Extension and Prediction of Monthly Runoff Series (월유출량계열의 확장과 예측을 위한 추계학적 다중 입출력모형)

  • 박상우;전병호
    • Water for future
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    • v.28 no.1
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    • pp.81-90
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    • 1995
  • This study attempts to develop a stochastic system model for extension and prediction of monthly runoff series in river basins where the observed runoff data are insufficient although there are long-term hydrometeorological records. For this purpose, univariate models of a seasonal ARIMA type are derived from the time series analysis of monthly runoff, monthly precipitation and monthly evaporation data with trend and periodicity. Also, a causual model of multiple input-single output relationship that take monthly precipitation and monthly evaporation as input variables-monthly runoff as output variable is built by the cross-correlation analysis of each series. The performance of the univariate model and the multiple input-output model were examined through comparisons between the historical and the generated monthly runoff series. The results reveals that the multiple input-output model leads to the improved accuracy and wide range of applicability when extension and prediction of monthly runoff series is required.

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KTX passenger demand forecast with multiple intervention seasonal ARIMA models (다중개입 계절형 ARIMA 모형을 이용한 KTX 수송수요 예측)

  • Cha, Hyoyoung;Oh, Yoonsik;Song, Jiwoo;Lee, Taewook
    • The Korean Journal of Applied Statistics
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    • v.32 no.1
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    • pp.139-148
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    • 2019
  • This study proposed a multiple intervention time series model to predict KTX passenger demand. In order to revise the research of Kim and Kim (Korean Society for Railway, 14, 470-476, 2011) considering only the intervention of the second phase of Gyeong-bu before November of 2011, we adopted multiple intervention seasonal ARIMA models to model the time series data with additional interventions which occurred after November of 2011. Through the data analysis, it was confirmed that the effects of various interventions such as Gyeong-bu and Ho-nam 2 phase, outbreak of MERS and national holidays, which affected the KTX transportation demand, are successfully explained and the prediction accuracy could be quite improved significantly.

Electricity forecasting model using specific time zone (특정 시간대 전력수요예측 시계열모형)

  • Shin, YiRe;Yoon, Sanghoo
    • Journal of the Korean Data and Information Science Society
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    • v.27 no.2
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    • pp.275-284
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    • 2016
  • Accurate electricity demand forecasts is essential in reducing energy spend and preventing imbalance of the power supply. In forcasting electricity demand, we considered double seasonal Holt-Winters model and TBATS model with sliding window. We selected a specific time zone as the reference line of daily electric demand because it is least likely to be influenced by external factors. The forecasting performance have been evaluated in terms of RMSE and MAPE criteria. We used the observations ranging January 4, 2009 to December 31 for testing data. For validation data, the records has been used between January 1, 2012 and December 29, 2012.

A Study on Improving Prediction Accuracy by Modeling Multiple Similar Time Series (다중 유사 시계열 모델링 방법을 통한 예측정확도 개선에 관한 연구)

  • Cho, Young-Hee;Lee, Gye-Sung
    • The Journal of the Institute of Internet, Broadcasting and Communication
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    • v.10 no.6
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    • pp.137-143
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    • 2010
  • A method for improving prediction accuracy through processing time series data has been studied in this research. We have designed techniques to model multiple similar time series data and avoided the shortcomings of single prediction model. We predicted the future changes by effective rules derived from these models. The methods for testing prediction accuracy consists of three types: fixed interval, sliding, and cumulative method. Among the three, cumulative method produced the highest accuracy.

Numerical simulation of a double dam break driven swash using an overset dynamic mesh capability of OpenFOAM (OpenFOAM overset 동격자 기법을 활용한 이중 댐 붕괴 파랑수치모형실험)

  • Ju Hee Ok;Yeulwoo Kim
    • Proceedings of the Korea Water Resources Association Conference
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    • 2023.05a
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    • pp.222-222
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    • 2023
  • 오픈 소스 유체역학 소프트웨어인 OpenFOAM은 다양한 유체 흐름에 적용 가능한 프로그램들로 구성되어 있다. 이 중 interFoam은 밀도가 다른 두 유체(i.e., 물, 공기) 간의 경계를 추적하는 기법을 기반으로 한 프로그램으로, 파랑의 거동 모의에 주로 쓰이고 있다. 파생형 프로그램으로는 동격자(dynamic mesh) 및 중첩 격자 기법(overset grid method)을 interFoam에 추가한 overInterDyMFoam이 있다. 두 기법을 사용하면 각각 여러 영역에서 유체흐름과 다중 물체 간의 상호작용을 효율적으로 모의할 수 있다. 본 연구에서는 overInterDyMFoam을 사용하여 두 개 수문의 개방 움직임을 구현하고 생성된 파랑이 포말대(swash zone)에 접근하였을 때의 흐름 특성을 조사하였다. 수치모형실험 결과 수문 개방 속도가 댐 붕괴 파랑 흐름 전파속도에 영향을 미치는 사실을 발견하였다. 또한, 처오름과 처내림의 상호작용에 의한 난류 운동 특성을 조사하기 위해 수문 개방시간 간격을 0초~3초로 설정하였다. 수치모형실험 결과는 수리모형실험의 수면 변동 시계열과 속도 시계열 결과와 비교하여 모형의 정확성이 검증되었다.

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A top-down forecasting model for analyzing the export market of information and telecommunication products (정보통신기기 수출 예측을 위한 하향식(Top-down) 모형에 관한 연구)

  • 지형구;주영진;김찬규;이영호;김영휘
    • Proceedings of the Korean Operations and Management Science Society Conference
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    • 2000.04a
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    • pp.318-321
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    • 2000
  • 이 연구는 정보통신기기 수출량에 관해 하향식(Top-down) 방법에 기초한 예측 모형을 제시한다. 하향식방법은 전체 수출량과 전체를 구성하는 개별 항목간에 계층적 관계를 바탕으로 순차적으로 예측을 수행하는 방법이다. 전체와 개별 항목간에 관계는 데이터의 시계열 특성과 데이터에 영향을 주는 요인들에 의해서 만들어진다. 이러한 관계를 바탕으로 하는 하향식 예측은 전체 수출량을 먼저 예측한 후 이 예측치를 바탕으로 하여 개별 항목에 대한 예측을 수행한다. 하지만 하향식 방법은 가장 아래 계층의 예측치를 산출하기 위해 필요한 것이며 최종 예측치는 가장 마지막 계층에서부터 예측 데이터를 합산해서 얻을 수 있다. 결국 하향식 예측 방법은 전체와 개별 항목 사이에 상관관계가 높고 계층화되어 있는 구조에 적합하다. 이 예측 대상이 되는 정보통신기기 수출량에 대한 적용 사례를 살펴보자. 계층 구조를 보면 정보통신기기 전체 수출량과 전체를 구성하는 개별 항목으로 정보통신기기 분류별(유선기기, 무선기기, 방송기기, 정보기기, 기타부품기기)과 국가별(미국, 일본, 중국 등 7 개국)로 나뉘어진다. 다시 이 아래 계층으로는 국가와 정보통신기기의 행렬 구조(예: 미국-유선, 일본-부품 등)에 의해 35 개로 나뉘어진다. 각 단계별 예측 방법을 보면 전체 수출량은 시계열 특성과 거시적 변수를 반영한 시계열 모형, 그 아래 계층인 국가별과 분류별 모형에는 전체 수출량 시계열 특성과 국가별과 분류별에 영향을 주는 관련 변수를 반영한 회귀모형 그리고 행렬 구조에 대한 예측은 상위 계층의 시계열 특성과 행렬구조 데이터의 계절성이 반영된 다중 회귀모형을 이용하였다.ndex, mobile user′s will first be classified by their traffic volume, and then calculate the average tariffs per minute of each group of users, and lastly weight-average those tariffs per minute. And finally, this paper shows the mobile tariff index by considering those averaged tariffs and the carriers′ market shares to reflect the contribution of individual carriers and the users′ traffic volume.완화될 수 있다. 즉, 봉지를 씌웅으로서 봉지 내의 대기 환경이 외기보다 안정적으로 유지되고 직사광선이나 농약 및 마찰로부터 과실을 보호해 주기에 동녹이 어느 정도 방지될 수 있는 것이다. 그러나 기존의 황금배봉지는 동녹의 정도를 완화시킬 뿐 완전히 방지할 수 없었으며, 봉지를 적 용한 재배조건에서의 동녹발생 기구를 정확히 이해하지 못했었기에 효과적으로 봉지의 기능 을 개선하는 것이 불가능하였다. 과설의 미려도는 과실의 맛과 함께 그 가치를 결정짓는 중요한 물성으로서 우리나라 황 금배 재배환경과 특성에 알맞은 배봉지의 제작이 선결될 때, 배 품질의 향상, 안정된 공급이 가능하게 될 것이며 아울러 농가의 수업증대와 수출 경쟁력 강화가 이루어질 수 있을 것으로 판단된다. 이러한 측면에서 황금배 재배농가가 당면한 동녹발생의 문제점을 신속한 해결 을

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Corporate Default Prediction Model Using Deep Learning Time Series Algorithm, RNN and LSTM (딥러닝 시계열 알고리즘 적용한 기업부도예측모형 유용성 검증)

  • Cha, Sungjae;Kang, Jungseok
    • Journal of Intelligence and Information Systems
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    • v.24 no.4
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    • pp.1-32
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    • 2018
  • In addition to stakeholders including managers, employees, creditors, and investors of bankrupt companies, corporate defaults have a ripple effect on the local and national economy. Before the Asian financial crisis, the Korean government only analyzed SMEs and tried to improve the forecasting power of a default prediction model, rather than developing various corporate default models. As a result, even large corporations called 'chaebol enterprises' become bankrupt. Even after that, the analysis of past corporate defaults has been focused on specific variables, and when the government restructured immediately after the global financial crisis, they only focused on certain main variables such as 'debt ratio'. A multifaceted study of corporate default prediction models is essential to ensure diverse interests, to avoid situations like the 'Lehman Brothers Case' of the global financial crisis, to avoid total collapse in a single moment. The key variables used in corporate defaults vary over time. This is confirmed by Beaver (1967, 1968) and Altman's (1968) analysis that Deakins'(1972) study shows that the major factors affecting corporate failure have changed. In Grice's (2001) study, the importance of predictive variables was also found through Zmijewski's (1984) and Ohlson's (1980) models. However, the studies that have been carried out in the past use static models. Most of them do not consider the changes that occur in the course of time. Therefore, in order to construct consistent prediction models, it is necessary to compensate the time-dependent bias by means of a time series analysis algorithm reflecting dynamic change. Based on the global financial crisis, which has had a significant impact on Korea, this study is conducted using 10 years of annual corporate data from 2000 to 2009. Data are divided into training data, validation data, and test data respectively, and are divided into 7, 2, and 1 years respectively. In order to construct a consistent bankruptcy model in the flow of time change, we first train a time series deep learning algorithm model using the data before the financial crisis (2000~2006). The parameter tuning of the existing model and the deep learning time series algorithm is conducted with validation data including the financial crisis period (2007~2008). As a result, we construct a model that shows similar pattern to the results of the learning data and shows excellent prediction power. After that, each bankruptcy prediction model is restructured by integrating the learning data and validation data again (2000 ~ 2008), applying the optimal parameters as in the previous validation. Finally, each corporate default prediction model is evaluated and compared using test data (2009) based on the trained models over nine years. Then, the usefulness of the corporate default prediction model based on the deep learning time series algorithm is proved. In addition, by adding the Lasso regression analysis to the existing methods (multiple discriminant analysis, logit model) which select the variables, it is proved that the deep learning time series algorithm model based on the three bundles of variables is useful for robust corporate default prediction. The definition of bankruptcy used is the same as that of Lee (2015). Independent variables include financial information such as financial ratios used in previous studies. Multivariate discriminant analysis, logit model, and Lasso regression model are used to select the optimal variable group. The influence of the Multivariate discriminant analysis model proposed by Altman (1968), the Logit model proposed by Ohlson (1980), the non-time series machine learning algorithms, and the deep learning time series algorithms are compared. In the case of corporate data, there are limitations of 'nonlinear variables', 'multi-collinearity' of variables, and 'lack of data'. While the logit model is nonlinear, the Lasso regression model solves the multi-collinearity problem, and the deep learning time series algorithm using the variable data generation method complements the lack of data. Big Data Technology, a leading technology in the future, is moving from simple human analysis, to automated AI analysis, and finally towards future intertwined AI applications. Although the study of the corporate default prediction model using the time series algorithm is still in its early stages, deep learning algorithm is much faster than regression analysis at corporate default prediction modeling. Also, it is more effective on prediction power. Through the Fourth Industrial Revolution, the current government and other overseas governments are working hard to integrate the system in everyday life of their nation and society. Yet the field of deep learning time series research for the financial industry is still insufficient. This is an initial study on deep learning time series algorithm analysis of corporate defaults. Therefore it is hoped that it will be used as a comparative analysis data for non-specialists who start a study combining financial data and deep learning time series algorithm.