• Title/Summary/Keyword: 비선형 자기회귀

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Rational Estimation of Dam Low-flow Frequency Inflow (가뭄대응력 평가를 위한 합리적 댐 유입량 산정 연구)

  • Kim, Ji-Heun;Lee, Jae-Hwang;Kim, Yeong-O
    • Proceedings of the Korea Water Resources Association Conference
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    • 2021.06a
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    • pp.178-178
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    • 2021
  • 최근 들어 기후변화로 인한 극심한 가뭄 피해가 한반도에 발생하고 있다. 가뭄 상황에 대비하여 댐을 안정적으로 운영하기 위해서는 갈수빈도 유입량에 대한 분석이 필수적이다. 갈수빈도해석의 경우, 홍수빈도해석과 유사하게 확률밀도함수의 극값에 대한 확률값을 산정하며, 확률 분포형의 역함수에 비초과확률을 대입하여 산정한다. 그러나 홍수와 달리 가뭄은 지속기간이 긴 특성 탓에 자기상관을 고려해야하며, 댐 및 저수지 등 대규모 시설물의 경우 일반적인 하천과 달리 저류효과로 인해 누적 유량에 대한 고려가 필요하다. 이에 K-water는 자체 제작한 누가차분법 및 Disaggregation 두 가지 방법을 채택하여 실무에서 사용해왔다. 그러나 누가차분법을 사용할 경우, 빈도유입량이 지나치게 크게 산정되는 문제가 있으며, Disaggregation 방법을 사용하는 경우, 특정 빈도 이상의 극한가뭄에서 유입량의 차이가 유의미하지 않아 산정된 빈도유입량과 최근 발생한 극심한 가뭄의 실측유입량간 큰 차이가 발생하고 있다. 따라서 본 연구에서는 자기상관을 고려한 선형회귀모형에 근거하여 빈도유입량을 배분하는 방법을 제안한다. 또한, 앞서 서술한 네 가지 빈도유입량 방법(월빈도분석, 누가차분법, K-water Disaggregation, 자기상관 선형회귀모형)에 대한 수식적 비교를 수행하며, 국내 댐 유역에 적용 및 평가를 통해 자료 특성에 따른 적절한 빈도유입량 산정방식에 대한 기준을 제안한다. 본 연구를 통해 가뭄특성을 고려한 합리적인 댐 유입량을 산정함으로써 보다 유연한 수자원시설물의 가뭄대응이 이루어질 것으로 기대된다.

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Stock market stability index via linear and neural network autoregressive model (선형 및 신경망 자기회귀모형을 이용한 주식시장 불안정성지수 개발)

  • Oh, Kyung-Joo;Kim, Tae-Yoon;Jung, Ki-Woong;Kim, Chi-Ho
    • Journal of the Korean Data and Information Science Society
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    • v.22 no.2
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    • pp.335-351
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    • 2011
  • In order to resolve data scarcity problem related to crisis, Oh and Kim (2007) proposed to use stability oriented approach which focuses a base period of financial market, fits asymptotic stationary autoregressive model to the base period and then compares the fitted model with the current market situation. Based on such approach, they developed financial market instability index. However, since neural network, their major tool, depends on the base period too heavily, their instability index tends to suffer from inaccuracy. In this study, we consider linear asymptotic stationary autoregressive model and neural network to fit the base period and produce two instability indexes independently. Then the two indexes are combined into one integrated instability index via newly proposed combining method. It turns out that the combined instability performs reliably well.

Prediction for Nonlinear Time Series Data using Neural Network (신경망을 이용한 비선형 시계열 자료의 예측)

  • Kim, Inkyu
    • Journal of Digital Convergence
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    • v.10 no.9
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    • pp.357-362
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    • 2012
  • We have compared and predicted for non-linear time series data which are real data having different variences using GRCA(1) model and neural network method. In particular, using Korea Composite Stock Price Index rate, mean square errors of prediction are obtained in genaralized random coefficient autoregressive model and neural network method. Neural network method prove to be better in short-term forecasting, however GRCA(1) model perform well in long-term forecasting.

1.5T 자기공명영상기기에서 수소 자기공명분광법을 이용한 모델용액 내 포도당의 정량분석 및 임상적용 가능성에 대한 연구

  • 이경희;이정희;조순구;김용성;김형진;서창해
    • Proceedings of the KSMRM Conference
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    • 2001.11a
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    • pp.173-173
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    • 2001
  • 목적: 1.5T 생체용 자기공명영상기기를 이용한 수소자기공명분광법으로 용액 내 물질의 정량분석에 대한 가능성을 알아보고자 하였다. 대상 및 방법: 0.01%에서 50%까지의 여러 농도를 갖는 포도당+증류수 혼합액의 모델용액을 만들어 생체용 자기공명영상기기와 시험관 nuclear magnetic resonance (NMR) 분광기에서 각각 수소 자기공명분광법을 시행하여 스펙트럼을 얻었다. 또한 12명의 당뇨환자에서 방광내의 소변에 대해 생체용 자기공명영상기기에서 스펙트럼을 얻고 소변을 추출하여 시험관 NMR 분광기에서 수소자기공명분광법을 시행하였다 각각의 방법으로 얻은 스펙트럼 상에서 포도당 농도에 따른 포도당/물 피크의 면적 비의 변화를 구하였고, 통계처리는 상관분석과 단순선형회귀분석을 시행하였고 회귀식을 산출하였다. 또한 생체용 자기공명영상기기를 이용하여 얻은 결과가 객관적인지 알아보기 위해 시험관 NMR 분광기에서 얻은 결과와의 상관관계를 분석하였다.

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Generalized Maximum Entropy Estimator for the Linear Regression Model with a Spatial Autoregressive Disturbance (오차항이 SAR(1)을 따르는 공간선형회귀모형에서 일반화 최대엔트로피 추정량에 관한 연구)

  • Cheon, Soo-Young;Lim, Seong-Seop
    • Communications for Statistical Applications and Methods
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    • v.16 no.2
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    • pp.265-275
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    • 2009
  • This paper considers a linear regression model with a spatial autoregressive disturbance with ill-posed data and proposes the generalized maximum entropy(GME) estimator of regression coefficients. The performance of this estimator is investigated via Monte Carlo experiments. The results show that the GME estimator provides efficient and robust estimate for the unknown parameter.

Estimating GARCH models using kernel machine learning (커널기계 기법을 이용한 일반화 이분산자기회귀모형 추정)

  • Hwang, Chang-Ha;Shin, Sa-Im
    • Journal of the Korean Data and Information Science Society
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    • v.21 no.3
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    • pp.419-425
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    • 2010
  • Kernel machine learning is gaining a lot of popularities in analyzing large or high dimensional nonlinear data. We use this technique to estimate a GARCH model for predicting the conditional volatility of stock market returns. GARCH models are usually estimated using maximum likelihood (ML) procedures, assuming that the data are normally distributed. In this paper, we show that GARCH models can be estimated using kernel machine learning and that kernel machine has a higher predicting ability than ML methods and support vector machine, when estimating volatility of financial time series data with fat tail.

TAR-GARCH processes as Alternative Models for Korea Stock Prices Data (TAR-GARCH 모형을 이용한 국내 주가 자료 분석)

  • 황선영;김은주
    • The Korean Journal of Applied Statistics
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    • v.13 no.2
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    • pp.437-445
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    • 2000
  • The present paper is introducing a new model so called TAR-GARCH in the context of stock price analysis Conventional models such as AR(l), TAR(l), ARCH(I) and GARCH( 1,1) are briefly reviewed and TAR-GARCH is suggested in analyizing domestic stock prices. Also, relevant iterative estimation procedure is developed. It is seen that TAR-GARCH provides the better fit relative to traditional first order models for stock prices data in Korea.

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A Study on the Nonlinear Relationship between CO2 Emissions and Economic Growth : Empirical Evidence with the STAR Model (비선형 STAR 모형을 이용한 이산화탄소 배출량과 경제성장 간의 관계 분석)

  • Kim, Seiwan;Lee, Kihoon
    • Environmental and Resource Economics Review
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    • v.17 no.1
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    • pp.3-22
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    • 2008
  • We study nonlinearities of $CO_2$ emissions and economic growth m Korea using the Smooth Transition Autoregressive (or STAR) model. We find evidence for nonlinearities and cyclical regime changes of both time series. In the extended nonlinear empirical work, we characterize dynamic properties of the two time series and then find mutually significant Granger causality between $CO_2$ emissions and economic growth. All these empirical evidences together reinforce long standing concern that economy-wide restrictions on $CO_2$ emissions would hurt economic growth for Korean styled medium industrialized countries.

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Linkage of Hydrological Model and Machine Learning for Real-time Prediction of River Flood (수문모형과 기계학습을 연계한 실시간 하천홍수 예측)

  • Lee, Jae Yeong;Kim, Hyun Il;Han, Kun Yeun
    • KSCE Journal of Civil and Environmental Engineering Research
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    • v.40 no.3
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    • pp.303-314
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    • 2020
  • The hydrological characteristics of watersheds and hydraulic systems of urban and river floods are highly nonlinear and contain uncertain variables. Therefore, the predicted time series of rainfall-runoff data in flood analysis is not suitable for existing neural networks. To overcome the challenge of prediction, a NARX (Nonlinear Autoregressive Exogenous Model), which is a kind of recurrent dynamic neural network that maximizes the learning ability of a neural network, was applied to forecast a flood in real-time. At the same time, NARX has the characteristics of a time-delay neural network. In this study, a hydrological model was constructed for the Taehwa river basin, and the NARX time-delay parameter was adjusted 10 to 120 minutes. As a result, we found that precise prediction is possible as the time-delay parameter was increased by confirming that the NSE increased from 0.530 to 0.988 and the RMSE decreased from 379.9 ㎥/s to 16.1 ㎥/s. The machine learning technique with NARX will contribute to the accurate prediction of flow rate with an unexpected extreme flood condition.

Nonlinear Dynamics between Economic Growth and Pollution (경제성장과 환경오염 간의 비선형동학 분석)

  • Kim, Ji Uk
    • Environmental and Resource Economics Review
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    • v.15 no.3
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    • pp.405-423
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    • 2006
  • This paper develops theoretical model between economic growth and pollution as follows: First, emissions are generated from final good production process and technology accumulation. Second, pollution is directly connected with increase in final good production or in consumption, Third, no pollution abatement activity would be undertaken. Fourth, reproducible factors associated with labor and capital input are used in production function. We also test the existence of nonlinear Dynamics between economic growth and pollution using an exponential smooth transition autoregressive model(ESTAR). We find the presence of nonlinear dynamics between economic growth and pollution with a time series data for Seoul. This result shows indirectly that an inverted U relationship between air pollution and economic growth exists.

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