• Smart Media Journal
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• v.13 no.7
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• pp.9-17
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• 2024

Due to the increase in energy consumption, and eco-friendly policies, there is a need for efficient energy consumption in buildings. Anomaly power detection based on deep learning are being used. Because of the difficulty in collecting anomaly data, anomaly detection is performed using reconstruction error with a Recurrent Neural Network(RNN) based autoencoder. However, there are some limitations such as the long time required to fully learn temporal features and its sensitivity to noise in the train data. To overcome these limitations, this paper proposes the TCN-USAD, combined with Temporal Convolution Network(TCN) and UnSupervised Anomaly Detection for multivariate data(USAD). The proposed model using TCN-based autoencoder and the USAD structure, which uses two decoders and adversarial training, to quickly learn temporal features and enable robust anomaly detection. To validate the performance of TCN-USAD, comparative experiments were performed using two building energy datasets. The results showed that the TCN-based autoencoder can perform faster and better reconstruction than RNN-based autoencoder. Furthermore, TCN-USAD achieved 20% improved F1-Score over other anomaly detection models, demonstrating excellent anomaly detection performance.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.4
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• pp.11-19
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• 2021

This study aims to analyze the causality relationship between sectoral stock markets (agricultural, financial, industrial, and mining sectors) and economic growth in the short and long term as well as to analyze whether it has similar types or not. The data used is quarterly time-series data (first quarter 2009 to fourth 2019). To determine the causality relationship, this study conducts a variable and multivariate causality test. The results of the varying granger causality test show that there is only a one-way relationship, where the economic growth of the agriculture sector affects its shares. A one-way relationship also occurs in stocks of the industrial sector, which has an influence on economic growth. The multivariate causality test shows that the economic growth of the agricultural sector has a two-way causality relationship, and it also exists between the industrial sector and the financial sector stock markets. The two-way causality relationship between the stock market and sectoral economic growth is a convergence towards long-term equilibrium. The findings of this study suggest that the government through the Financial Services Authority and the Indonesia Stock Exchange have to maintain stability in the stock market as a supporter of the national economy.

• Communications for Statistical Applications and Methods
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• v.22 no.6
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• pp.557-573
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• 2015

In this paper we develop a Bayesian inference for a multiplicative double seasonal autoregressive (DSAR) model by implementing a fast, easy and accurate Gibbs sampling algorithm. We apply the Gibbs sampling to approximate empirically the marginal posterior distributions after showing that the conditional posterior distribution of the model parameters and the variance are multivariate normal and inverse gamma, respectively. The proposed Bayesian methodology is illustrated using simulated examples and real-world time series data.

• 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.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.10 no.1
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• pp.136-151
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• 2016

Flexible large-scale WLANs are now widely deployed in crowded and highly mobile places such as campus, airport, shopping mall and company etc. But network management is hard for large-scale WLANs due to highly uneven interference and throughput among links. So the traffic is difficult to predict accurately. In the paper, through analysis of traffic in two real large-scale WLANs, Granger Causality is found in both scenarios. In combination with information entropy, it shows that the traffic prediction of target AP considering Granger Causality can be more predictable than that utilizing target AP alone, or that of considering irrelevant APs. So We develops new method -Granger Causality and Vector Auto-Regression (GCVAR), which takes APs series sharing Granger Causality based on Vector Auto-regression (VAR) into account, to predict the traffic flow in two real scenarios, thus redundant and noise introduced by multivariate time series could be removed. Experiments show that GCVAR is much more effective compared to that of traditional univariate time series (e.g. ARIMA, WARIMA). In particular, GCVAR consumes two orders of magnitude less than that caused by ARIMA/WARIMA.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.14 no.4
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• pp.887-896
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• 1994

It is common practice in the case of optimum reservoir operation model that the reservoir inflow series are generated by stochastic model with keeping other variable such as water demands from the reservoir constant. However, when the input and output of the water distribution system have close relationship the output variables can be stochastically generated in relation with the input variables. In the present study the reservoir inflow series, the input of the system, is generated by periodic autoregressive model with constant parameter, and the agricultural water demand series, the output, is generated using periodic multivariate autoregressive model with constant parameter. The time period of the data series generated is taken as 10-day which is the common period used for agricultural water uses. The results of data generation by two different models showed that the periodic stochastic models well represent the characteristics of the historical time series, and that in the case of generating model for agricultural demand series it has closer relation with reservoir inflow than with the series itself.

• The Journal of the Korea Contents Association
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• v.22 no.1
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• pp.58-73
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• 2022

The purpose of this study is to construct a predictable estimation model that reflects the relationship between the variables of mobile app performance and to verify how app reviews affect app performance. In study 1 and 2, the relationship between app performance indicators was derived using correlation analysis and random forest regression estimation of machine learning, and app performance estimation modeling was performed. In study 3, sentiment scores for app reviews were by using sentiment analysis of text mining, and it was found that app review sentiment scores have an effect one lag ahead of the number of daily installations of apps when using multivariate time series analysis. By analyzing the dissatisfaction and needs raised by app performance indicators and reviews of apps, companies can improve their apps in a timely manner and derive the timing and direction of marketing promotions.

• The KIPS Transactions:PartD
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• v.13D no.7 s.110
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• pp.889-900
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• 2006

Even though sensor networks are different in user requests and data characteristics depending on each application area, the existing researches on stream data transmission problem focus on the performance improvement of their methods rather than considering the original characteristic of stream data. In this paper, we introduce a hierarchical or distributed sensor network architecture and data model, and then evaluate the multivariate data reduction methods suitable for user requirements and data features so as to apply reduction methods alternatively. To assess the relative performance of the proposed multivariate data reduction methods, we used the conventional techniques, such as Wavelet, HCL(Hierarchical Clustering), Sampling and SVD (Singular Value Decomposition) as well as the experimental data sets, such as multivariate time series, synthetic data and robot execution failure data. The experimental results shows that SVD and Sampling method are superior to Wavelet and HCL ia respect to the relative error ratio and execution time. Especially, since relative error ratio of each data reduction method is different according to data characteristic, it shows a good performance using the selective data reduction method for the experimental data set. The findings reported in this paper can serve as a useful guideline for sensor network application design and construction including multivariate stream data.

• Journal of Korean Society on Water Environment
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• v.20 no.6
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• pp.685-691
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• 2004

Water quality forecasting with long term flow is important for management and operation of river environment. However, it is difficult to set up and operate a physical model for water quality forecasting due to large uncertainty in the data required for model setting. Therefore, relatively simpler stochastic approaches are adopted for this problem. In this study we try several multivariate time series models such as ARMAX models for the possible substitute for water quality forecasting. Those models are applied to the BOD and COD levels at Noryangin station, Han river, and also evaluated the effect of release from Paldang dam on them. Monthly BOD and COD data from 1985 to 1991 (7 years) are used for model building and another two year data for model testing. As a result of the study, the effect of improvement on water quality is much more effective combining with the water quality improvement of dam release than considering only increment of dam release in the downstream Han river.

• Journal of the Ergonomics Society of Korea
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• v.18 no.1
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• pp.13-24
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• 1999

The objective of the study is to discriminate EEG(electroencephalogram) due to emotional changes. Emotion was evoked by the series of auditory stimuli which were selected from the natural sounds in the sound effect collection of compact disc. Seventeen university students participated and experienced positive or negative emotions by six auditory stimuli with intermission between stimuli. Temporal EEG ($T_3$, $T_4$, $T_5$, and $T_6$) was recorded at the same time and a subjective test was performed on the eleven point scales after the experiment. The maximum and minimum scores of the EEG among six stimuli EEG were analyzed for discrimination of emotion. The EEG signals were transformed into feature objects based on scalar intervention model coefficients. Auditory stimulus was considered as intervention variable. They were classified by Discriminant Analysis for each channel. The features showed results with the best classification accuracy of 91.2 % in $T_4$ for auditory stimuli. This study could be extended to establish an algorithm which quantifies and classifies emotions evoked by auditory stimulus using time-series models.