• Title/Summary/Keyword: time series regression model

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Application of Time-Series Model to Forecast Track Irregularity Progress (궤도틀림 진전 예측을 위한 시계열 모델 적용)

  • Jeong, Min Chul;Kim, Gun Woo;Kim, Jung Hoon;Kang, Yun Suk;Kong, Jung Sik
    • Journal of the Computational Structural Engineering Institute of Korea
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    • v.25 no.4
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    • pp.331-338
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    • 2012
  • Irregularity data inspected by EM-120, an railway inspection system in Korea includes unavoidable incomplete and erratic information, so it is encountered lots of problem to analyse those data without appropriate pre-data-refining processes. In this research, for the efficient management and maintenance of railway system, characteristics and problems of the detected track irregularity data have been analyzed and efficient processing techniques were developed to solve the problems. The correlation between track irregularity and seasonal changes was conducted based on ARIMA model analysis. Finally, time series analysis was carried out by various forecasting model, such as regression, exponential smoothing and ARIMA model, to determine the appropriate optimal models for forecasting track irregularity progress.

Clustering of Seoul Public Parking Lots and Demand Prediction (서울시 공영주차장 군집화 및 수요 예측)

  • Jeongjoon Hwang;Young-Hyun Shin;Hyo-Sub Sim;Dohyun Kim;Dong-Guen Kim
    • Journal of Korean Society for Quality Management
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    • v.51 no.4
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    • pp.497-514
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    • 2023
  • Purpose: This study aims to estimate the demand for various public parking lots in Seoul by clustering similar demand types of parking lots and predicting the demand for new public parking lots. Methods: We examined real-time parking information data and used time series clustering analysis to cluster public parking lots with similar demand patterns. We also performed various regression analyses of parking demand based on diverse heterogeneous data that affect parking demand and proposed a parking demand prediction model. Results: As a result of cluster analysis, 68 public parking lots in Seoul were clustered into four types with similar demand patterns. We also identified key variables impacting parking demand and obtained a precise model for predicting parking demands. Conclusion: The proposed prediction model can be used to improve the efficiency and publicity of public parking lots in Seoul, and can be used as a basis for constructing new public parking lots that meet the actual demand. Future research could include studies on demand estimation models for each type of parking lot, and studies on the impact of parking lot usage patterns on demand.

Predicting ozone warning days based on an optimal time series model (최적 시계열 모형에 기초한 오존주의보 날짜 예측)

  • Park, Cheol-Yong;Kim, Hyun-Il
    • Journal of the Korean Data and Information Science Society
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    • v.20 no.2
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    • pp.293-299
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    • 2009
  • In this article, we consider linear models such as regression, ARIMA (autoregressive integrated moving average), and regression+ARIMA (regression with ARIMA errors) for predicting hourly ozone concentration level in two areas of Daegu. Based on RASE(root average squared error), it is shown that the ARIMA is the best model in one area and that the regression+ARIMA model is the best in the other area. We further analyze the residuals from the optimal models, so that we might predict the ozone warning days where at least one of the hourly ozone concentration levels is over 120 ppb. Based on the training data in the years from 2000 to 2003, it is found that 35 ppb is a good cutoff value of residulas for predicting the ozone warning days. In on area of Daegu, our method predicts correctly one of two ozone warning days of 2004 as well as all of the remaining 364 non-warning days. In the other area, our methods predicts correctly all of one ozone warning days and 365 non-warning days of 2004.

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A Study on the Prediction of the World Seaborne Trade Volume through the Exponential Smoothing Method and Seemingly Unrelated Regression Model (지수평활법과 SUR 모형을 통한 세계 해상물동량 예측 연구)

  • Ahn, Young-Gyun
    • Korea Trade Review
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    • v.44 no.2
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    • pp.51-62
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    • 2019
  • This study predicts the future world seaborne trade volume with econometrics methods using 23-year time series data provided by Clarksons. For this purpose, this study uses simple regression analysis, exponential smoothing method and seemingly unrelated regression model (SUR Model). This study is meaningful in that it predicts worldwide total seaborne trade volume and seaborne traffic in four major items (container, bulk, crude oil, and LNG) from 2019 to 2023 as there are few prior studies that predict future seaborne traffic using recent data. It is expected that more useful references can be provided to trade related workers if the analysis period was increased and additional variables could be included in future studies.

Predicting Oxynitrification layer using AI-based Varying Coefficient Regression model (AI 기반의 Varying Coefficient Regression 모델을 이용한 산질화층 예측)

  • Hye Jung Park;Joo Yong Shim;Kyong Jun An;Chang Ha Hwang;Je Hyun Han
    • Journal of the Korean Society for Heat Treatment
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    • v.36 no.6
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    • pp.374-381
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    • 2023
  • This study develops and evaluates a deep learning model for predicting oxide and nitride layers based on plasma process data. We introduce a novel deep learning-based Varying Coefficient Regressor (VCR) by adapting the VCR, which previously relied on an existing unique function. This model is employed to forecast the oxide and nitride layers within the plasma. Through comparative experiments, the proposed VCR-based model exhibits superior performance compared to Long Short-Term Memory, Random Forest, and other methods, showcasing its excellence in predicting time series data. This study indicates the potential for advancing prediction models through deep learning in the domain of plasma processing and highlights its application prospects in industrial settings.

Electricity Price Forecasting in Ontario Electricity Market Using Wavelet Transform in Artificial Neural Network Based Model

  • Aggarwal, Sanjeev Kumar;Saini, Lalit Mohan;Kumar, Ashwani
    • International Journal of Control, Automation, and Systems
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    • v.6 no.5
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    • pp.639-650
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    • 2008
  • Electricity price forecasting has become an integral part of power system operation and control. In this paper, a wavelet transform (WT) based neural network (NN) model to forecast price profile in a deregulated electricity market has been presented. The historical price data has been decomposed into wavelet domain constitutive sub series using WT and then combined with the other time domain variables to form the set of input variables for the proposed forecasting model. The behavior of the wavelet domain constitutive series has been studied based on statistical analysis. It has been observed that forecasting accuracy can be improved by the use of WT in a forecasting model. Multi-scale analysis from one to seven levels of decomposition has been performed and the empirical evidence suggests that accuracy improvement is highest at third level of decomposition. Forecasting performance of the proposed model has been compared with (i) a heuristic technique, (ii) a simulation model used by Ontario's Independent Electricity System Operator (IESO), (iii) a Multiple Linear Regression (MLR) model, (iv) NN model, (v) Auto Regressive Integrated Moving Average (ARIMA) model, (vi) Dynamic Regression (DR) model, and (vii) Transfer Function (TF) model. Forecasting results show that the performance of the proposed WT based NN model is satisfactory and it can be used by the participants to respond properly as it predicts price before closing of window for submission of initial bids.

A Time Series Analysis for the Monthly Variation of $SO_2$ in the Certain Areas (ARIMA model에 의한 서울시 일부지역 $SO_2$ 오염도의 월변화에 대한 시계열분석)

  • Kim, Kwang-Jin;Lee, Sang-Hun;Chung, Yong
    • Journal of Korean Society for Atmospheric Environment
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    • v.4 no.2
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    • pp.72-81
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    • 1988
  • The typical ARIMA model which was developed by Box and Jenkins, was applied to the monthly $SO_2$ data collected at Seoungsoo and Oryudong in metropolitan area over five years, 1982 to 1986. To find out the changing pattern of $SO_2$ concentration, autocorrelation and partial autocorrelation analysis were undertaken. The three steps of time series model building were followed and the residual series was found to be a random white noise. The results of this study is summarized as follows. 1) The monthly $SO_2$ series was found to be a non-stationary series which which has a periodicity of 12 months. After eliminating the periodicity by differencing, the monthly $SO_2$ series became a stationary series. 2) The ARIMA seasonal model of the $SO_2$ was determined to be ARIMA $(1, 0, 0)(0, 1, 0,)_{12}$ model. 3) The model equations based on the prediction were: for Seoungsoodong: $Y_t = 0.5214Y_{t-1} + Y_{t-12} - 0.5214Y_{t-13} + a_t$ for Oryudong: $Y_t = 0.8549Y_{t-1} + Y_{t-12} - 0.8549Y_{t-13} + a_t$ 4) The validity of the model identified was checked by compairing the measured $SO_2$ values and one-month-ahead predicted values. The result of correlation and regression analysis is as follows. Seoungsoodong: $Y = 0.8710X + 0.0062 r = 0.8768$ Oryudong : $Y = 0.8758X + 0.0073 r = 0.9512$

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Value at Risk Forecasting Based on Quantile Regression for GARCH Models

  • Lee, Sang-Yeol;Noh, Jung-Sik
    • The Korean Journal of Applied Statistics
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    • v.23 no.4
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    • pp.669-681
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    • 2010
  • Value-at-Risk(VaR) is an important part of risk management in the financial industry. This paper present a VaR forecasting for financial time series based on the quantile regression for GARCH models recently developed by Lee and Noh (2009). The proposed VaR forecasting features the direct conditional quantile estimation for GARCH models that is well connected with the model parameters. Empirical performance is measured by several backtesting procedures, and is reported in comparison with existing methods using sample quantiles.

A Study of Anomaly Detection for ICT Infrastructure using Conditional Multimodal Autoencoder (ICT 인프라 이상탐지를 위한 조건부 멀티모달 오토인코더에 관한 연구)

  • Shin, Byungjin;Lee, Jonghoon;Han, Sangjin;Park, Choong-Shik
    • Journal of Intelligence and Information Systems
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    • v.27 no.3
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    • pp.57-73
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    • 2021
  • Maintenance and prevention of failure through anomaly detection of ICT infrastructure is becoming important. System monitoring data is multidimensional time series data. When we deal with multidimensional time series data, we have difficulty in considering both characteristics of multidimensional data and characteristics of time series data. When dealing with multidimensional data, correlation between variables should be considered. Existing methods such as probability and linear base, distance base, etc. are degraded due to limitations called the curse of dimensions. In addition, time series data is preprocessed by applying sliding window technique and time series decomposition for self-correlation analysis. These techniques are the cause of increasing the dimension of data, so it is necessary to supplement them. The anomaly detection field is an old research field, and statistical methods and regression analysis were used in the early days. Currently, there are active studies to apply machine learning and artificial neural network technology to this field. Statistically based methods are difficult to apply when data is non-homogeneous, and do not detect local outliers well. The regression analysis method compares the predictive value and the actual value after learning the regression formula based on the parametric statistics and it detects abnormality. Anomaly detection using regression analysis has the disadvantage that the performance is lowered when the model is not solid and the noise or outliers of the data are included. There is a restriction that learning data with noise or outliers should be used. The autoencoder using artificial neural networks is learned to output as similar as possible to input data. It has many advantages compared to existing probability and linear model, cluster analysis, and map learning. It can be applied to data that does not satisfy probability distribution or linear assumption. In addition, it is possible to learn non-mapping without label data for teaching. However, there is a limitation of local outlier identification of multidimensional data in anomaly detection, and there is a problem that the dimension of data is greatly increased due to the characteristics of time series data. In this study, we propose a CMAE (Conditional Multimodal Autoencoder) that enhances the performance of anomaly detection by considering local outliers and time series characteristics. First, we applied Multimodal Autoencoder (MAE) to improve the limitations of local outlier identification of multidimensional data. Multimodals are commonly used to learn different types of inputs, such as voice and image. The different modal shares the bottleneck effect of Autoencoder and it learns correlation. In addition, CAE (Conditional Autoencoder) was used to learn the characteristics of time series data effectively without increasing the dimension of data. In general, conditional input mainly uses category variables, but in this study, time was used as a condition to learn periodicity. The CMAE model proposed in this paper was verified by comparing with the Unimodal Autoencoder (UAE) and Multi-modal Autoencoder (MAE). The restoration performance of Autoencoder for 41 variables was confirmed in the proposed model and the comparison model. The restoration performance is different by variables, and the restoration is normally well operated because the loss value is small for Memory, Disk, and Network modals in all three Autoencoder models. The process modal did not show a significant difference in all three models, and the CPU modal showed excellent performance in CMAE. ROC curve was prepared for the evaluation of anomaly detection performance in the proposed model and the comparison model, and AUC, accuracy, precision, recall, and F1-score were compared. In all indicators, the performance was shown in the order of CMAE, MAE, and AE. Especially, the reproduction rate was 0.9828 for CMAE, which can be confirmed to detect almost most of the abnormalities. The accuracy of the model was also improved and 87.12%, and the F1-score was 0.8883, which is considered to be suitable for anomaly detection. In practical aspect, the proposed model has an additional advantage in addition to performance improvement. The use of techniques such as time series decomposition and sliding windows has the disadvantage of managing unnecessary procedures; and their dimensional increase can cause a decrease in the computational speed in inference.The proposed model has characteristics that are easy to apply to practical tasks such as inference speed and model management.

Modeling of Hydrologic Time Series using Stochastic Neural Networks Approach (추계학적 신경망 접근법을 이용한 수문학적 시계열의 모형화)

  • Kim, Seong-Won;Kim, Jeong-Heon;Park, Gi-Beom
    • Proceedings of the Korea Water Resources Association Conference
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    • 2010.05a
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    • pp.1346-1349
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    • 2010
  • The goal of this research is to apply the neural networks models for the disaggregation of the pan evaporation (PE) data, Republic of Korea. The neural networks models consist of generalized regression neural networks model (GRNNM) and multilayer perceptron neural networks model (MLP-NNM), respectively. The disaggregation means that the yearly PE data divides into the monthly PE data. And, for the performances of the neural networks models, they are composed of training and test performances, respectively. The training and test performances consist of the historic, the generated, and the mixed data, respectively. From this research, we evaluate the impact of GRNNM and MLP-NNM for the disaggregation of the nonlinear time series data. We should, furthermore, construct the credible data of the monthly PE from the disaggregation of the yearly PE data, and can suggest the methodology for the irrigation and drainage networks system.

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