• Title/Summary/Keyword: ARIMA 예측

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The Comparison of Certified Emission Reductions Forecasting Model Using Price of Certified Emission Reductions and Related Search Keywords (탄소배출권 가격과 연관검색어를 활용한 탄소배출권 가격 예측 방법론 비교)

  • Kim, Hyeonho;Im, Giseong;Kim, Yujin;Lee, Minwoo;Han, Seungwoo
    • Proceedings of the Korean Institute of Building Construction Conference
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    • 2020.06a
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    • pp.44-45
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    • 2020
  • Korea has the fourth highest CO2 emission among OECD countries in 2018, As of 2019, total greenhouse gas emissions per capita increased by about 98.2% in comparison to 1990. Korea has promised a 37% reduction in greenhouse gas emissions in 2030 from the projected Paris Climate Change Accord. Currently, many countries use the emissions trading system(ETS) for international carbon management. In 2015, ETS has been implemented in Korea, and the importance of calculating CO2 emissions from construction machinery has increased. So, we require an accurate calculation of the environmental charges through the allocated CERs. Using the CER price and related search keywords, this paper derive about prediction models of CER price and compare and focus on more accurate prediction about CER price. By this method, the budget needed to establish the initial construction process plan can be calculated based on more accurate predicted CER price.

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Volatility analysis and Prediction Based on ARMA-GARCH-typeModels: Evidence from the Chinese Gold Futures Market (ARMA-GARCH 모형에 의한 중국 금 선물 시장 가격 변동에 대한 분석 및 예측)

  • Meng-Hua Li;Sok-Tae Kim
    • Korea Trade Review
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    • v.47 no.3
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    • pp.211-232
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    • 2022
  • Due to the impact of the public health event COVID-19 epidemic, the Chinese futures market showed "Black Swan". This has brought the unpredictable into the economic environment with many commodities falling by the daily limit, while gold performed well and closed in the sunshine(Yan-Li and Rui Qian-Wang, 2020). Volatility is integral part of financial market. As an emerging market and a special precious metal, it is important to forecast return of gold futures price. This study selected data of the SHFE gold futures returns and conducted an empirical analysis based on the generalised autoregressive conditional heteroskedasticity (GARCH)-type model. Comparing the statistics of AIC, SC and H-QC, ARMA (12,9) model was selected as the best model. But serial correlation in the squared returns suggests conditional heteroskedasticity. Next part we established the autoregressive moving average ARMA-GARCH-type model to analysis whether Volatility Clustering and the leverage effect exist in the Chinese gold futures market. we consider three different distributions of innovation to explain fat-tailed features of financial returns. Additionally, the error degree and prediction results of different models were evaluated in terms of mean squared error (MSE), mean absolute error (MAE), Theil inequality coefficient(TIC) and root mean-squared error (RMSE). The results show that the ARMA(12,9)-TGARCH(2,2) model under Student's t-distribution outperforms other models when predicting the Chinese gold futures return series.

Development of the Multi-Path Finding Model Using Kalman Filter and Space Syntax based on GIS (Kalman Filter와 Space Syntax를 이용한 GIS 기반 다중경로제공 시스템 개발)

  • Ryu, Seung-Kyu;Lee, Seung-Jae;Ahn, Woo-Young
    • Journal of Korean Society of Transportation
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    • v.23 no.7 s.85
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    • pp.149-158
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    • 2005
  • The object of this paper is to develop the shortest path algorithm. The existing shortest path algorithm models are developed while considering travel time and travel distance. A few problems occur in these shortest path algorithm models, which have paid no regard to cognition of users, such as when user who doesn't have complete information about the trip meets a strange road or when the route searched from the shortest path algorithm model is not commonly used by users in real network. This paper develops a shortest path algorithm model to provide ideal route that many people actually prefer. In order to provide the ideal shortest path with the consideration of travel time, travel distance and road cognition, travel time is predicted by using Kalman filtering and travel distance is predicted by using GIS attributions. The road cognition is considered by using space data of GIS. Optimal routes provided from this paper are shortest distance path, shortest time path, shortest path considering distance and cognition and shortest path considering time and cognition.

Estimating Maintenance Cost of RAPCON at Air Force Base (비행기지 RAPCON 유지보수비용 추정)

  • Bang, Jang-Kyu;Lee, Gun-Young
    • Journal of Advanced Navigation Technology
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    • v.20 no.6
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    • pp.511-518
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    • 2016
  • RAPCON non only controls landing/take-off procedures but also approaching air traffics within 60-70 NM range of air force base. This paper, first of all, tries to research the failure rate per operation hours, mean time between failure (MTBF) of RAPCON according to six blocks such as interrogator, receiver, power unit, display unit, data process unit and antenna. In addition, this paper estimates the maintenance cost over next 10 months based on 50 monthly maintenance cost data. Considering the maintenance cost data from RAPCON which has been used over designed service life span, it is no doubt the forecasted data proved the monthly cost would go up incrementally during the rest of economic life of the facility. Such research result is also proven to be the same with the result of bathtub curve data during operating life.

Relationships Between the Characteristics of the Business Data Set and Forecasting Accuracy of Prediction models (시계열 데이터의 성격과 예측 모델의 예측력에 관한 연구)

  • 이원하;최종욱
    • Journal of Intelligence and Information Systems
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    • v.4 no.1
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    • pp.133-147
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    • 1998
  • Recently, many researchers have been involved in finding deterministic equations which can accurately predict future event, based on chaotic theory, or fractal theory. The theory says that some events which seem very random but internally deterministic can be accurately predicted by fractal equations. In contrast to the conventional methods, such as AR model, MA, model, or ARIMA model, the fractal equation attempts to discover a deterministic order inherent in time series data set. In discovering deterministic order, researchers have found that neural networks are much more effective than the conventional statistical models. Even though prediction accuracy of the network can be different depending on the topological structure and modification of the algorithms, many researchers asserted that the neural network systems outperforms other systems, because of non-linear behaviour of the network models, mechanisms of massive parallel processing, generalization capability based on adaptive learning. However, recent survey shows that prediction accuracy of the forecasting models can be determined by the model structure and data structures. In the experiments based on actual economic data sets, it was found that the prediction accuracy of the neural network model is similar to the performance level of the conventional forecasting model. Especially, for the data set which is deterministically chaotic, the AR model, a conventional statistical model, was not significantly different from the MLP model, a neural network model. This result shows that the forecasting model. This result shows that the forecasting model a, pp.opriate to a prediction task should be selected based on characteristics of the time series data set. Analysis of the characteristics of the data set was performed by fractal analysis, measurement of Hurst index, and measurement of Lyapunov exponents. As a conclusion, a significant difference was not found in forecasting future events for the time series data which is deterministically chaotic, between a conventional forecasting model and a typical neural network model.

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Comparison Studies of Hybrid and Non-hybrid Forecasting Models for Seasonal and Trend Time Series Data (트렌드와 계절성을 가진 시계열에 대한 순수 모형과 하이브리드 모형의 비교 연구)

  • Jeong, Chulwoo;Kim, Myung Suk
    • Journal of Intelligence and Information Systems
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    • v.19 no.1
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    • pp.1-17
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    • 2013
  • In this article, several types of hybrid forecasting models are suggested. In particular, hybrid models using the generalized additive model (GAM) are newly suggested as an alternative to those using neural networks (NN). The prediction performances of various hybrid and non-hybrid models are evaluated using simulated time series data. Five different types of seasonal time series data related to an additive or multiplicative trend are generated over different levels of noise, and applied to the forecasting evaluation. For the simulated data with only seasonality, the autoregressive (AR) model and the hybrid AR-AR model performed equivalently very well. On the other hand, if the time series data employed a trend, the SARIMA model and some hybrid SARIMA models equivalently outperformed the others. In the comparison of GAMs and NNs, regarding the seasonal additive trend data, the SARIMA-GAM evenly performed well across the full range of noise variation, whereas the SARIMA-NN showed good performance only when the noise level was trivial.

Overseas Construction Order Forecasting Using Time Series Model (시계열 모형을 이용한 해외건설 수주 전망)

  • Kim, Woon Joong
    • Korean Journal of Construction Engineering and Management
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    • v.19 no.2
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    • pp.107-116
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    • 2018
  • Since 2010, Korea's overseas construction orders have seen dramatic fluctuations. I propose causes and remedies for the industry as a whole. Orders have recorded an annual average of $63.8 billion dollars from 2011 to 2014, reaching its highest at $71.6 billion dollars(2010) which marked the peak of Korea's overseas construction. However, due to a decline in international oil prices, starting in the last half of 2014, Korea's overseas construction orders have followed suit recording $46.1 billion dollar in 2014, $28.2 billion dollars in 2016, and $29.0 billion dollars in 2017. Facing uncertainty in Korea's overseas construction market, caused by continued slow growth of the global economy, Korean EPC contractors are at a critical point in regards to their award-winning capabilities. Together with declining oil prices, the challenges have never been bigger. To mitigate the challenges, I would suggest policy direction as a way to grow and develop the overseas construction industry. Proper counterplans are needed to foster Korea's overseas construction industry. Forecasting total order amount for overseas construction projects is essencial. Analyzing contract award & tender structure and its changing trends in both overseas and world construction markets should also be included. Korea has great potential and global competitiveness. These measures will serve to enhance Korea's overall export strategy in uncertain overseas markets and global economy.

Estimation of regional flow duration curve applicable to ungauged areas using machine learning technique (머신러닝 기법을 이용한 미계측 유역에 적용 가능한 지역화 유황곡선 산정)

  • Jeung, Se Jin;Lee, Seung Pil;Kim, Byung Sik
    • Journal of Korea Water Resources Association
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    • v.54 no.spc1
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    • pp.1183-1193
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    • 2021
  • Low flow affects various fields such as river water supply management and planning, and irrigation water. A sufficient period of flow data is required to calculate the Flow Duration Curve. However, in order to calculate the Flow Duration Curve, it is essential to secure flow data for more than 30 years. However, in the case of rivers below the national river unit, there is no long-term flow data or there are observed data missing for a certain period in the middle, so there is a limit to calculating the Flow Duration Curve for each river. In the past, statistical-based methods such as Multiple Regression Analysis and ARIMA models were used to predict sulfur in the unmeasured watershed, but recently, the demand for machine learning and deep learning models is increasing. Therefore, in this study, we present the DNN technique, which is a machine learning technique that fits the latest paradigm. The DNN technique is a method that compensates for the shortcomings of the ANN technique, such as difficult to find optimal parameter values in the learning process and slow learning time. Therefore, in this study, the Flow Duration Curve applicable to the unmeasured watershed is calculated using the DNN model. First, the factors affecting the Flow Duration Curve were collected and statistically significant variables were selected through multicollinearity analysis between the factors, and input data were built into the machine learning model. The effectiveness of machine learning techniques was reviewed through statistical verification.

A Review for Development Strategy of Gyeongin Port (경인항의 발전 전략에 대한 소고)

  • Lee, Choong-Hyo;Sun, Il-Suck
    • Journal of Korea Port Economic Association
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    • v.33 no.3
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    • pp.139-154
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    • 2017
  • As competition in domestic and overseas ports intensify, new and small domestic ports are realizing certain limitations to independently secure competitiveness. This study collected data over 60 months with five modifications for container and general cargo volume around Gyeongin Port. Short-period (12 months) cargo volume was forecasted, which revealed the need for a middle-to-long-term development plan. First, the hinterland logistics complex of Gyeongin Port is expected to contribute to the coastal maritime facility through the quasi-public system for fishery product transportation and passenger services. It proposes to achieve this by opening channels to and from China for precision machinery, home network systems, LEDs, and machine industry items. second, specializing the ultra-light cargo transport route, and connecting the coastal island areas of the 5 West Sea Islands to Ara Waterway (Integrated Fishery Product Center of the 5 West Sea Islands). Third, on the basis of organic cooperation of government? local government ? port, the incentive and pre-circular support system would be required, and lastly, it shall carry out the adjustment of functions in nearby ports and specialization strategy simultaneously through the integrated operation of the ports in the capital areas.

A Study on the Price Fluctuation and Forecasting of Aquacultural Flatfish in Korea (양식 넙치의 가격변동 및 예측에 관한 연구)

  • Ock, Young-Soo;Kim, Sang-Tae;Ko, Bong-Hyun
    • The Journal of Fisheries Business Administration
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    • v.38 no.2
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    • pp.41-62
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    • 2007
  • The Fish aquacultural Industry has been developed rapidly since 1990s in Korea. The total production of fish aquaculture was 5,000ton in the beginning of 1990s, but it was an excess of 80,000ton in 2005. In the beginning of 1990s, the percentage of flatfish yield was 80% of the fish aquaculture in the respect of production. And it has been maintained 50% level in 2005. In this point of view, flatfish aquaculture played the role of leader in the development of fish aquaculture. Rapid increasing of production was not only caused to decreasing in price basically, but also it threatened the management of producer into insecure price for aquacultural flatfish. Therefore, it needs the policy for stabilizing in price, but it is difficult to choose the method because the basic study was not accomplished plentifully. This study analyzed about price structure of aquacultural flatfish. A period of analysis was from January 2000 to December 2005, and a data was used monthly data for price. The principal result of this study is substantially as follows. 1) The price of producing and consuming district is closely connected. 2) A gap between producing district price and consuming district price is decreasing recently, It seems to be correlated with outlook business of aquacultural flatfish. 3) Trend line of the price was declining until 2002, but it turned up after that. The other side, circulated fluctuation was being showed typically. 4) The circle of circulated fluctuation was growing longer, so it seems that the producer was doing a sensible productive activity to cope with changing price. As a result, government's policy needs to be turned into price policy from policy of increased production for aquacultural flatfish. It seems that the best policy is price stabilization polices. And also, government needs to invest in outlook business for aquaculture constantly.

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