• The Korean Journal of Applied Statistics
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• v.26 no.1
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• pp.1-14
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• 2013

ARIMA and ARIMA+IGARCH models are fitted and compared for daily Korean won/US dollar exchange rate data over 17 years. A linear structural change model and an autoregressive structural change model are fitted for multiple change-point estimation since there seems to be structural change with this data.

• The Korean Journal of Applied Statistics
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• v.35 no.3
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• pp.347-356
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• 2022

This article is concerned with asymmetric volatility models for financial time series. A generalization of standard single-threshold volatility model is discussed via multiple-threshold in which we specialize to twothreshold case for ease of presentation. An empirical illustration is made by analyzing S&P500 data from NYSE (New York Stock Exchange). For comparison measures between competing models, parametric bootstrap method is used to generate forecast distributions from which summary statistics of CP (Coverage Probability) and PE (Prediction Error) are obtained. It is demonstrated that our suggestion is useful in the field of asymmetric volatility analysis.

• Journal of Information Processing Systems
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• v.14 no.6
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• pp.1508-1520
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• 2018

In this paper, we propose an improved model to provide users with a better long-term prediction of waterworks operation data. The existing prediction models have been studied in various types of models such as multiple linear regression model while considering time, days and seasonal characteristics. But the existing model shows the rate of prediction for demand fluctuation and long-term prediction is insufficient. Particularly in the deep running model, the long-short-term memory (LSTM) model has been applied to predict data of water purification plant because its time series prediction is highly reliable. However, it is necessary to reflect the correlation among various related factors, and a supplementary model is needed to improve the long-term predictability. In this paper, convolutional neural network (CNN) model is introduced to select various input variables that have a necessary correlation and to improve long term prediction rate, thus increasing the prediction rate through the LSTM predictive value and the combined structure. In addition, a multiple linear regression model is applied to compile the predicted data of CNN and LSTM, which then confirms the data as the final predicted outcome.

• Journal of Korean Society of Transportation
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• v.32 no.1
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• pp.13-26
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• 2014

Depending most of its energy sources on foreign countries, Korea efforts to reduce energy consumption in transportation. While studies on the relationship between gas price and transportation demand are many in number, most previous studies have focused on automobile and Seoul. This study analyzes the impact of gas price on transit (bus and subway) demand using monthly data and for various metropolitan areas (Seoul, Busan, Daejeon, Daegu and Gwangju). The research utilizes a time-series model and a multiple regression model, and calculates modal demand elasticities of gas price. The result shows that elasticities of subway demand with respect to gas price is higher than those of bus demand. In addition, elasticities of predominantly automobile cities are more likely to be more sensitive to gas price than those of cities with well-structured transit system.

• Journal of Korean Institute of Industrial Engineers
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• v.39 no.5
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• pp.403-411
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• 2013

The quality of the products/processes has been improved remarkably since robust design (RD) methodology is applied into the practice manufacturing processes. A model building method based on the dual responses methods for multiple and time oriented responses on a drug development process is employed in this paper instead of the previous methods that handle the static nature of data and single response. Subsequently, the optimal solutions of a multiple and time series RD problem are obtained by using the proposed augmented weighted Tchebycheff method that has a significant flexibility on assigning weights. Finally, a pharmaceutical case study associated with a generic drug development process is conducted in order to illustrate the efficient optimal solutions from the proposed model.

• Structural Engineering and Mechanics
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• v.72 no.6
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• pp.689-712
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• 2019

Time-series models like AR-ARX and ARMAX, provide a robust way to capture the dynamic properties of structures, and their residuals can be effectively used as features for damage detection. Even though several research papers discuss the implementation of AR-ARX and ARMAX models for damage diagnosis, they are basically been exploited so far for detecting the time instant of damage and also the spatial location of the damage. However, the inverse problem associated with damage quantification i.e. extent of damage using time series models is not been reported in the literature. In this paper, an approach to detect the extent of damage by combining the ARMAX model by formulating the inverse problem as a multi-constrained optimization problem and solving using a newly developed hybrid adaptive differential search with dynamic interaction is presented. The proposed variant of the differential search technique employs small multiple populations which perform the search independently and exchange the information with the dynamic neighborhood. The adaptive features and local search ability features are built into the algorithm in order to improve the convergence characteristics and also the overall performance of the technique. The multi-constrained optimization formulations of the inverse problem, associated with damage quantification using time series models, attempted here for the first time, can considerably improve the robustness of the search process. Numerical simulation studies have been carried out by considering three numerical examples to demonstrate the effectiveness of the proposed technique in robustly identifying the extent of the damage. Issues related to modeling errors and also measurement noise are also addressed in this paper.

• Journal of Korean Society of Water and Wastewater
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• v.11 no.1
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• pp.109-118
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• 1997

In this study, we examined the structural analysis of water demand fluctuation for water distribution control of water supply network. In order to analyze for the length of stationary time series, we calculate autocorrelation coefficient of each case equally divided data size. As a result, it was found that, with the data size of around three months, any case could be used as stationary time series. we analyze cross-correlation coefficient between the daily water consumption's data and primary influence factors. As a result, we have decided to use weather conditions and maximum temperature as natural primary factors and holidays as a social factor. Applying the multiple ARIMA model, we obtains an effective model to describe the daily water demand prediction. From the forecasting result, even though we forecast water distribution quantity of the following year, estimated values well express the flctuations of measurements. Thus, the suitability of the model for practical use can be confirmed. When this model is used for practical water distribution control, water distribution quantity for the following day should be found by inputting maximum temperature and weather conditions obtained from weather forecast, and water purification plants and service reservoirs should be operated based on this information while operation of pumps and valves should be set up. Consequently, we will be able to devise a rational water management system.

• Proceedings of the KIEE Conference
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• 2002.11b
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• pp.199-201
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• 2002

This paper showed that there exists a non-linear relationship between MVAR and MW, and the rage of the threshold value of MVAR is 56 to 67. Also, we tried the one-hour ahead forecasting model of MVAR using the MW as the explanary variable.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.15 no.6
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• pp.1957-1980
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• 2021

The significant aim of this research has always been to evaluate the mechanism for efficient and inherently aware usage of vitality in-home devices, thus improving the information of smart metering systems with regard to the usage of selected homes and the time of use. Advances in information processing are commonly used to quantify gigantic building activity data steps to boost the activity efficiency of the building energy systems. Here, some smart data mining models are offered to measure, and predict the time series for energy in order to expose different ephemeral principles for using energy. Such considerations illustrate the use of machines in relation to time, such as day hour, time of day, week, month and year relationships within a family unit, which are key components in gathering and separating the effect of consumers behaviors in the use of energy and their pattern of energy prediction. It is necessary to determine the multiple relations through the usage of different appliances from simultaneous information flows. In comparison, specific relations among interval-based instances where multiple appliances use continue for certain duration are difficult to determine. In order to resolve these difficulties, an unsupervised energy time-series data clustering and a frequent pattern mining study as well as a deep learning technique for estimating energy use were presented. A broad test using true data sets that are rich in smart meter data were conducted. The exact results of the appliance designs that were recognized by the proposed model were filled out by Deep Convolutional Neural Networks (CNN) and Recurrent Neural Networks (LSTM and GRU) at each stage, with consolidated accuracy of 94.79%, 97.99%, 99.61%, for 25%, 50%, and 75%, respectively.

• Journal of Communications and Networks
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• v.16 no.1
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• pp.92-97
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• 2014

A novel method for extracting frequency slippage signal from radar full pulse sequence is presented. For the radar full pulse sequence received by radar interception receiver, radio frequency (RF) and time of arrival (TOA) of all pulses constitute a two-dimensional information sequence. In a complex and intensive electromagnetic environment, the TOA of pulses is distributed unevenly, randomly, and in a nonstationary manner, preventing existing methods from directly analyzing such time series and effectively extracting certain signal features. This work applies Gaussian noise insertion and structure function to the TOA-RF information sequence respectively such that the equalization of time intervals and correlation processing are accomplished. The components with different frequencies in structure function series are separated using empirical mode decomposition. Additionally, a chaos detection model based on the Duffing equation is introduced to determine the useful component and extract the changing features of RF. Experimental results indicate that the proposed methodology can successfully extract the slippage signal effectively in the case that multiple radar pulse sequences overlap.