• Journal of the Korean Data and Information Science Society
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• 제18권1호
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• pp.73-80
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• 2007

Cointegration(together with VARMA(vector ARMA)) has been proven to be useful for analyzing multivariate non-stationary data in the field of financial time series. It provides a linear combination (which turns out to be stationary series) of non-stationary component series. This linear combination equation is referred to as long term equilibrium between the component series. We consider two sets of Korean bivariate financial time series and then illustrate cointegration analysis. Specifically estimated VAR(vector AR) and VECM(vector error correction model) are obtained and CV(cointegrating vector) is found for each data sets.

• Communications for Statistical Applications and Methods
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• 제22권3호
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• pp.209-222
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• 2015

Time series are used in many studies for model building and analysis. We must be very careful to understand the kind of time series data used in the analysis. In this review article, we will begin with some issues related to the use of aggregate and systematic sampling time series. Since several time series are often used in a study of the relationship of variables, we will also consider vector time series modeling and analysis. Although the basic procedures of model building between univariate time series and vector time series are the same, there are some important phenomena which are unique to vector time series. Therefore, we will also discuss some issues related to vector time models. Understanding these issues is important when we use time series data in modeling and analysis, regardless of whether it is a univariate or multivariate time series.

• Journal of Electrical Engineering and Technology
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• 제8권3호
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• pp.421-427
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• 2013

The dependence between wind speeds in multiple wind sites has a considerable impact on the reliability of power systems containing wind energy. This paper presents a new method to generate dependent wind speed time series (WSTS) based on copulas theory. The basic feature of the method lies in separating multivariate WSTS into dependence structure and univariate time series. The dependence structure is modeled through the use of copulas, which, unlike the cross-correlation matrix, give a complete description of the joint distribution. An autoregressive moving average (ARMA) model is applied to represent univariate time series of wind speed. The proposed model is illustrated using wind data from two sites in Canada. The IEEE Reliability Test System (IEEE-RTS) is used to examine the proposed model and the impact of wind speed dependence between different wind regimes on the generation system reliability. The results confirm that the wind speed dependence has a negative effect on the generation system reliability.

• International Journal of Contents
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• 제8권1호
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• pp.23-29
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• 2012

Multiple expression levels of genes obtained using time series microarray experiments have been exploited effectively to enhance understanding of a wide range of biological phenomena. However, the unique nature of microarray data is usually in the form of large matrices of expression genes with high dimensions. Among the huge number of genes presented in microarrays, only a small number of genes are expected to be effective for performing a certain task. Hence, discounting the majority of unaffected genes is the crucial goal of gene selection to improve accuracy for disease diagnosis. In this paper, a non-Gaussian weight matrix obtained from an incremental model is proposed to extract useful features of multivariate time series microarrays. The proposed method can automatically identify a small number of significant features via discovering hidden variables from a huge number of features. An unsupervised hierarchical clustering representative is then taken to evaluate the effectiveness of the proposed methodology. The proposed method achieves promising results based on predictive accuracy of clustering compared to existing methods of analysis. Furthermore, the proposed method offers a robust approach with low memory and computation costs.

• 응용통계연구
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• 제35권3호
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• pp.395-406
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• 2022

본 논문에서는 장기 종속 다변량 시계열 자료에 대한 이상점 탐지 기법을 연구한다. 기존 다변량 시계열 이상점 탐지 방법은 단기 종속 시계열 모형인 VARMA에 기반한 방법으로, 장기억성을 띈 다변량 시계열 자료에는 적합하지 않다. 자기회귀 모형을 통해서 장기 종속성, 즉 장기억성을 고려하기 위해서는 높은 차수의 모형이 필요하고, 이는 곧 추정의 불안성으로 이어지기에 장기억성을 효율적으로 다룰 수 없기 때문이다. 따라서, 본 논문은 이러한 문제를 보완하고자 VHAR 구조에 기반한 이상점 탐지 방법을 제시하고자 한다. 또한 더욱 정확한 추론을 위해서 로버스트한 방법을 이용하여 VHAR 계수를 추정하였고 이를 활용하여 이상점을 탐지하였다. 모의실험 결과 우리가 제안한 방법론이 기존 VARMA에 기반한 방법론보다 이상점 탐지에 더 효과적임을 살펴볼 수 있었다. 주가지수에 대한 실증자료 분석에서도 기존의 방법론은 탐지하지 못하는 추가 이상점을 찾음을 확인할 수 있었다.

• Industrial Engineering and Management Systems
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• 제13권4호
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• pp.357-368
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• 2014

Since its birth in 1993, fuzzy time series have seen different classes of models designed and applied, such as fuzzy logic relation and rule-based models. These models have both advantages and disadvantages. The major drawbacks with these two classes of models are the difficulties encountered in identification and analysis of the model. Therefore, there is a strong need to explore new alternatives and this is the objective of this paper. By transforming a fuzzy number to a real number via integrating the inverse of the membership function, new autoregressive models can be developed to fit the observation values of a fuzzy time series. With the new models, the issues of model identification and parameter estimation can be addressed; and trends, seasonalities and multivariate fuzzy time series could also be modeled with ease. In addition, asymptotic behaviors of fuzzy time series can be inspected by means of characteristic equations.

• Quantitative Bio-Science
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• 제37권2호
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• pp.73-79
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• 2018

As high frequency (HF, for short) time series is now prevalent in the presence of real time big data, volatility computations based on traditional ARCH/GARCH models need to be further developed to suit the high frequency characteristics. This article reviews realized volatilities (RV) and multivariate GARCH (MGARCH) to deal with high frequency volatility computations. As a (functional) infinite dimensional models, the fARCH and fGARCH are introduced to accommodate ultra high frequency (UHF) volatilities. The fARCH and fGARCH models are developed in the recent literature by Hormann et al. [1] and Aue et al. [2], respectively, and our discussions are mainly based on these two key articles. Real data applications to domestic UHF financial time series are illustrated.

• 한국정보통신학회:학술대회논문집
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• 한국정보통신학회 2021년도 추계학술대회
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• pp.518-520
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• 2021

본 논문에서는 텍스트 분류에 사용된 textNAS를 다변수 시계열 데이터에 적용 가능하도록 수정하여 이를 통한 손동작 인식 방법을 제안한다. 이를 사용하면 다변수 시계열 데이터 분류를 통한 행동 인식, 감정 인식, 손동작 인식 등 다양한 분야에 적용 가능하다. 그리고 분류에 적합한 딥러닝 모델을 학습을 통해 자동으로 찾아줘 사용자의 부담을 덜어주며 높은 성능의 클래스 분류 정확도를 얻을 수 있다. 손동작 인식 데이터셋인 DHG-14/28과 Shrec'17 데이터셋에 제안한 방법을 적용하여 기존의 모델보다 높은 클래스 분류 정확도를 얻을 수 있었다. 분류 정확도는 DHG-14/28의 경우 98.72%, 98.16%, Shrec'17 14 class/28 class는 97.82%, 98.39%를 얻었다.

• 융합정보논문지
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• 제12권1호
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• pp.31-38
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• 2022

본 논문은 전문가 독립적 비지도 신경망 학습 기반 다변량 시계열 데이터 분석 모델인 MSCRED(Multi-Scale Convolutional Recurrent Encoder-Decoder)의 실제 현장에서의 적용과 Auto-encoder 기반인 MSCRED 모델의 한계인, 학습 데이터가 오염되지 않아야 된다는 점을 극복하기 위한 학습 데이터 샘플링 기법인 Subset Sampling Validation을 제시한다. 라벨 분류가 되어있는 발전소 장비의 진동 데이터를 이용하여 1) 학습 데이터에 비정상 데이터가 섞여 있는 상황을 재현하고, 이를 학습한 경우 2) 1과 같은 상황에서 Subset Sampling Validation 기법을 통해 학습 데이터에서 비정상 데이터를 제거한 경우의 Anomaly Score를 비교하여 MSCRED와 Subset Sampling Validation 기법을 유효성을 평가한다. 이를 통해 본 논문은 전문가 독립적이며 오류 데이터에 강한 이상 진단 프레임워크를 제시해, 다양한 다변량 시계열 데이터 분야에서의 간결하고 정확한 해결 방법을 제시한다.

• Communications for Statistical Applications and Methods
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• 제12권3호
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• pp.797-805
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• 2005

Multivariate unit root tests for the VAR(p) model have been commonly used in time series analysis. Several unit root tests were developed and recently Shin(2004) suggested a cointegration test based on weighted symmetric estimator. In this paper, we suggest a multivariate unit root test statistic based on the weighted symmetric estimator. Using a small simulation study, we compare the powers of the new test statistic with the statistics suggested in Shin(2004) and Fuller(1996).