• The Korean Journal of Applied Statistics
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• v.1 no.1
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• pp.57-67
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• 1987

In time series analysis, we usually require the assumption that time series are stationary. But we may often encounter time series whose parameter values subject to change. Inthis paper w propose a method which can detect the variance change point in anAR(1) model which is subjct to changesat non-predictable time points. Proposed method is compared with other methods using the simulated and real data.

• The Transactions of the Korean Institute of Power Electronics
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• v.27 no.4
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• pp.316-324
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• 2022

This paper uses seasonal auto-regressive integrated moving average (S-ARIMA), which is efficient in seasonality between time-series models, to predict the degradation tendency for lithium-ion batteries and study a method for improving the predictive performance. The proposed method analyzes the degradation tendency and extracted factors through an electrical characteristic experiment of lithium-ion batteries, and verifies whether time-series data are suitable for the S-ARIMA model through several statistical analysis techniques. Finally, prediction of battery aging is performed through S-ARIMA, and performance of the model is verified through error comparison of predictions through mean absolute error.

• Proceedings of the Korea Information Processing Society Conference
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• 2010.11a
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• pp.140-141
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• 2010

무선 통신의 발달과 센서 장비의 소형화로 인하여 다양한 인체 센서들이 개발되고 있으며 이에 따라 이들 인체 센서로부터 생성되는 데이터를 누적하여 분석 및 예측을 해야 할 필요성이 증가하고 있다. 본 연구에서는 누적된 인체 센서 데이터에 대한 분류화 기법을 제안하여 구현하고 성능을 검증하였다. 분류화 기법은 인체 센서 데이터에 잘 적용될 수 있는 지지벡터 기계를 활용하여 구현하였다. 인체 센서 데이터의 대표패턴 정의와 실험을 위한 잡음 생성을 통하여 분류화 정확도를 높일 수 있도록 실험을 설계하였고 다양한 설정 변수에서도 기법을 실험하여 빠르고 정확한 기법을 설계 및 구현하였다.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.22 no.6
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• pp.453-459
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• 2021

The system marginal price of electricity is the amount paid to all the generating units, which is an important decision-making factor for the construction and maintenance of an electrical power unit. In this paper, we suggest a long-term forecasting model for calculating the system marginal price based on prices of natural gas and oil. As most variables used in the analysis are nonstationary time series, the long run relationship among the variables should be examined by cointegration tests. The forecasting model is similar to an error correction model which consists of a long run cointegrating equation and another equation for short run dynamics. To mitigate the robustness issue arising from the relatively small data sample, this study employs various testing and estimating methods. Compared to previous studies, this paper considers multiple fuel prices in the forecasting model of system marginal price, and provides greater emphasis on the robustness of analysis. As none of the cointegrating relations associated with system marginal price, natural gas price and oil price are excluded, three error correction models are estimated. Considering the root mean squared error and mean absolute error, the model based on the cointegrating relation between system marginal price and natural gas price performs best in the out-of-sample forecast.

• The Korean Journal of Applied Statistics
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• v.28 no.5
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• pp.871-883
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• 2015

Vector autoregressive (VAR) models in high dimension suffer from noisy estimates, unstable predictions and hard interpretation. Consequently, the sparse vector autoregressive (sVAR) model, which forces many small coefficients in VAR to exactly zero, has been suggested and proven effective for the modeling of high dimensional time series data. This paper studies coupling measures to select non-zero coefficients in sVAR. The basic idea based on the simulation study reveals that removing the effect of other variables greatly improves the performance of coupling measures. sVAR model coefficients are asymmetric; therefore, asymmetric coupling measures such as Granger causality improve computational costs. We propose two asymmetric coupling measures, filtered-cross-correlation and filtered-Granger-causality, based on the filtered residuals series. Our proposed coupling measures are proven adequate for heavy-tailed and high order sVAR models in the simulation study.

• Journal of the Korean Society for Library and Information Science
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• v.58 no.2
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• pp.251-268
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• 2024

Recently, with the implementation of the "e-Government Performance Management Guidelines," there is a growing demand for setting performance indicators for information systems. For systems that provide information services to the public, such as CODIL, it is not easy to set performance indicators. This study presented a research model that applies Monte Carlo simulation to set expected performance targets that can be achieved through CODIL based on objective evidence. Among the survey contents conducted from 2015 to 2023, the statistical characteristics of user satisfaction regarding the frequency of use of construction technology information provided by CODIL were designated as input variables. Future expected targets and confidence intervals from 2024 to 2026 were designated as outcome variables. The expected target value was measured by generating 5 simulation alternatives and 1,000 random numbers for each alternative. Next, the measured expected goals were interpreted and compared with the results of time series regression analysis measured in previous studies. Although, as in previous studies, the expected target value could not be predicted based on time series regression analysis that considers the correlation between years. However, compared to previous studies, this study can be considered a more accurate analysis result because it predicted the expected target value based on 5,000 input variables.

• Journal of the Korea Society for Simulation
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• v.23 no.3
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• pp.19-25
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• 2014

Demand forecasting is the basis of management activities including marketing strategy. Especially, the demand of a part is remarkably important in supply chain management (SCM). In the fields of various industries, the part demand usually has the intermittent characteristic. The intermittent characteristic implies a phenomenon that there frequently occurs zero demands. In the intermittent demands, non-zero demands have large variance and their appearances also have stochastic nature. Accordingly, in the intermittent demand forecasting, it is inappropriate to apply the traditional time series models and/or cause-effect methods such as linear regression; they cannot describe the behaviors of intermittent demand. Markov bootstrap method was developed to forecast the intermittent demand. It assumes that first-order autocorrelation and independence of lead time demands. To release the assumption of independent lead time demands, this paper proposes a modified bootstrap method. The method produces the pseudo data having the characteristics of historical data approximately. A numerical example for real data will be provided as a case study.

• The KIPS Transactions:PartD
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• v.19D no.1
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• pp.113-120
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• 2012

Today, Internet users can easily create and share the digital contents with others through various online content sharing services such as YouTube. So, many portal sites are flooded with lots of user created contents (UCC) in various media such as texts and videos. Estimating popularity of UCC is a crucial concern to both users and the site administrators. This paper proposes a method to predict the popularity of Internet articles, a kind of UCC, using the dynamics of the online contents themselves. To analyze the dynamics, we regarded the access counts of Internet posts as the popularity of them and analyzed the variation of the access counts. We derived a model to predict the popularity of a post represented by the time series of access counts, which is based on an exponential function. According to the experimental results, the difference between the actual access counts and the predicted ones is not more than 10 for 20,532 posts, which cover about 90.7% of the test set.

• Journal of Digital Convergence
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• v.19 no.11
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• pp.359-364
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• 2021

Recently, research on predictive systems using deep learning and machine learning of artificial intelligence is being actively conducted. Due to the development of artificial intelligence, the role of the investment manager is being replaced by artificial intelligence, and due to the higher rate of return than the investment manager, algorithmic trading using artificial intelligence is becoming more common. Algorithmic trading excludes human emotions and trades mechanically according to conditions, so it comes out higher than human trading yields when approached in the long term. The deep learning technique of artificial intelligence learns past time series data and predicts the future, so it learns like a human and can respond to changing strategies. In particular, the LSTM technique is used to predict the future by increasing the weight of recent data by remembering or forgetting part of past data. fbprophet, an artificial intelligence algorithm recently developed by Facebook, boasts high prediction accuracy and is used to predict stock prices and cryptocurrency prices. Therefore, this study intends to establish a sound investment culture by providing a new algorithm for automatic cryptocurrency trading by analyzing the actual value and difference using fbprophet and presenting conditions for accurate prediction.

• International Area Studies Review
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• v.22 no.3
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• pp.67-84
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• 2018

The purpose of this paper is to investigate the Balassa-Samuelson effect that real exchange rate could deviate from its long-run equilibrium. To analyze this effect, I estimated the long-run relationship between real exchange and productivity using the dynamic panel ordinary least square(DOLS) and panel error correction model(ECM) after conducting the unit root and cointegration test. The results show that all variables except for the real exchange rate have the unit root. Then I conducted the cointegration test to find out whether there exist the stable long-run relationships. The results show that the variables are cointegrated and significant statistically. The DOLS and ECM methods are used to estimate the coefficient of the cointegrated variables. The major finding are that the estimates are statistically significant and that they show the same sign as the economic theory predicts.