• Communications for Statistical Applications and Methods
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• 제10권3호
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• pp.931-954
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• 2003

It is widely recognized that economic time series involved not only the linearities but also the non-linearities. In this paper, when the economic time series data have the nonlinear characteristics we propose the forecasts method using combinations of both forecasts from linear and nonlinear models. In empirical study, we compare the forecasting performance of 4 exchange rates models(AR, GARCH, AR+GARCH, Bilinear model) and combination of these forecasts for dairly Won/Dollar exchange rates returns. The combination method is selected by the estimated individual forecast errors using Monte Carlo simulations. And this study shows that the combined forecasts using unrestricted least squares method is performed substantially better than any other combined forecasts or individual forecasts.

• 한국시뮬레이션학회:학술대회논문집
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• 한국시뮬레이션학회 2001년도 The Seoul International Simulation Conference
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• pp.313-317
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• 2001

The approach to predict time series without neglecting the fluctuation in a short period is tried by using a digital FIR filter and a neural network. The differential waveform of the Nikkei average closing price is filtered by the FIR band-pass filter of 101 length. It is filtered into the five frequency bands of 0-1Hz, 1-2Hz, 2-3Hz, 3-4Hz and 4-5Hz by setting the sampling frequency 10Hz. The each filtered waveform is learned and forecasted by the neural network. The neural network of the back propagation method is adopted in the learning the waveform. By inputting the data of 20 days in the past, the prediction of 10 days ahead is carried out. After learning the time series of each frequency band by the neural network, the predicted data far each frequency band are obtained. The predicted waveforms of each frequency band are synthesized to obtain a final forecast. The waveform can be forecasted well as a whole.

• Journal of the Korean Data and Information Science Society
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• 제18권3호
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• pp.609-617
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• 2007

The goal of this study is to forecast the trend of stream quality and to suggest some policy alternatives in Gumbo river. It used the five different monthly time series data such as BOD, COD, T-N and EC of the nine of Gumbo River measurement points from Jan. 1998 to Dec. 2006. Water pollution is serious at Gumbo2 and Palgeo stream measurement points. BOD, COD, T-N and EC data are analyzed with the exponential smoothing model and the trend is forecasted until Dec. 2009.

• 한국멀티미디어학회논문지
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• 제20권5호
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• pp.800-807
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• 2017

The Pattern Sequence-based Forecasting (PSF) is an approach to forecast the behavior of time series based on similar pattern sequences. The innovation of PSF method is to convert the load time series into a label sequence by clustering technique in order to lighten computational burden. However, it brings about a new problem in determining the number of clusters and it is subject to insufficient similar days occasionally. In this paper we proposed an adaption of the PSF method, which introduces a new clustering index to determine the number of clusters and imposes a threshold to solve the problem caused by insufficient similar days. Our experiments showed that the proposed method reduced the mean absolute percentage error (MAPE) about 15%, compared to the PSF method.

• International journal of advanced smart convergence
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• 제10권4호
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• pp.98-103
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• 2021

Recently, as the need for food resources has increased both domestically and internationally, support for the agricultural sector for stable food supply and demand is expanding in Korea. However, according to recent media articles, the biggest problem in rural communities is the unstable profit structure. In addition, in order to confirm the profit structure, profit forecast data must be clearly prepared, but there is a lack of auxiliary data for farmers or future returnees to predict farm income. Therefore, in this paper we analyzed data over the past 15 years through time series analysis and proposes an artificial intelligence farm income prediction algorithm that can predict farm household income in the future. If the proposed algorithm is used, it is expected that it can be used as auxiliary data to predict farm profits.

• 한국산업정보학회논문지
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• 제15권5호
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• pp.63-69
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• 2010

게임접속 시간의 예측은 서버접속의 폭주와 렉 현상의 예측을 통한 게임서비스 향상과 게임 매출의 예측에 매우 중요한 정보를 제공한다. 본 논문에서는 대표적 온라인 게임인 "아이온"과 "서든어택"의 2009년 PC방 접속시간 자료를 대상으로 다양한 시계열 분석 방법을 적용하여 접속시간 예측을 실험하였다. 실험결과 평균 게임접속시간의 예측에는 분해법이 실제 접속시간 데이터와 가장 유사한 결과를 보였다.

• 무역학회지
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• 제45권5호
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• pp.75-89
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• 2020

The purpose of this paper was to analyze the trend of container volume using the Seasonal Autoregressive Intergrated Moving Average (SARIMA) model. To this end, this paper used monthly time-series data of the East Sea Rim from 2001 to 2019. As a result, the SARIMA(2,1,1)12 model was identified as the most suitable model, and the superiority of the SARIMA model was demonstrated by comparative analysis with the ARIMA model. In addition, to confirmed forecasting accuracy of SARIMA model, this paper compares the volume of predict container to the actual volume. According to the forecast for 24 months from 2020 to 2021, the volume of containaer increased from 60,100,000Ton in 2020 to 64,900,000Ton in 2021

• Journal of the Korean Data and Information Science Society
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• 제28권1호
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• pp.11-20
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• 2017

시간의 변화뿐만 아니라 공간 위치의 변화를 함께 고려한 자료를 공간 시계열 자료라고 한다. 공간 시계열 자기회귀 이동평균 모형과 공간 시계열 중선형 모형에 대해 소개하고 각각의 Kalman Filter 방법에 의한 모수 추정의 과정을 거쳐 최종 선택된 모형의 예측력을 비교하였다. 또한 공간 시계열 자료의 모형에 포함되는 가중행렬에 대하여 기존의 방법인 동일한 가중치와 더불어 거리에 비례한 가중치와 인구수에 비례한 가중치를 제안하였다. 실증분석을 위해 한국질병관리본부에서 수집한 유행성 이하 선염 자료를 활용하여 가중치를 달리한 공간 시계열 모형을 적합시키고 예측하였다. 예측 오차 제곱합을 활용하여 어느 모형이 가장 효과적인 모형인지 판정하였다.

• KIEE International Transactions on Power Engineering
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• 제5A권3호
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• pp.300-302
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• 2005

We employ a new technique to account for extreme values when using the generalized autoregressive conditionally heteroskedastic (GARCH) methodology to forecast day-ahead electricity prices in New York City.

• 응용통계연구
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• 제33권3호
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• pp.257-267
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• 2020

본 논문은 단변량 지수평활법의 확장된 형태인 다변량 지수평활법을 소개하고 다변량 시계열 분석에 활용한다. 다변량 지수평활법은 한 개의 오차를 기반으로 하는 상태공간모형을 이용하여 추정의 편리성을 제고하며, 다변량 시계열간의 잠재적인 상호연관성을 활용하여 적합도 및 예측력을 향상시킨다. 다변량 지수평활법의 성능을 평가하기 위하여 월별 원/달러 및 원/파운드 환율자료를 분석하고 예측한다. 대안 모형의 예측 결과와 비교하여 다변량 지수평활법의 우수성을 확인한다.