자기상관함수의 비선형 유추 해석

Nonlinear Analog of Autocorrelation Function

  • 김형수 (선문대학교 건설공학부) ;
  • 윤용남 (고려대학교 토목환경공학과)
  • 발행 : 1999.12.01

초록

자기상관함수는 수문시계열의 선형상관 관계를 나타내는 척도롤 널리 이용되고 있다. 그러나 비선형 동역학에서 필수적인 지체시간 또는 무상관시간 $\tau$d를 산정하는데는 적합하지 않을수도 있기 때문에 비선형 상관관계의 척도로 상호정보이론이 추천되어 왔다. 최근에 일부 학자들은 카오스 동역학 분석을 위하여 지체신간 $\tau$d대신에 상태 공간상에 구축된 각 상태 벡타점 성분들의 총시간을 표시하는 지체시간창을 제안하였다. 그러나 지체신간창은 자기상관함수나 상호정보이론에 의해 추정될 수 없다. 기본적으로 지체신간창은 시계열 자료의 상관관계가 가장 작을 최적시간이며 지체시간은 국지적인 최소값 중 첫 번째의 최적시간이다. 본 연구에서는 수문시계열의 지체시간과 지체사간창을 구하기 위하여 C-C밥법이라는 기법을 이용하고, 여기에서 산정된 값들을 근거로 수문시계열의 모형화와 예측에 중요한 선형 또는 비선형 종속성을 파악하고자 한다.

Autocorrelation function is widely used as a tool measuring linear dependence of hydrologic time series. However, it may not be appropriate for choosing decorrelation time or delay time ${\tau}_d$ which is essential in nonlinear dynamics domain and the mutual information have recommended for measuring nonlinear dependence of time series. Furthermore, some researchers have suggested that one should not choose a fixed delay time ${\tau}_d$ but, rather, one should choose an appropriate value for the delay time window ${\tau}_d={\tau}(m-1)$, which is the total time spanned by the components of each embedded point for the analysis of chaotic dynamics. Unfortunately, the delay time window cannot be estimated using the autocorrelation function or the mutual information. Basically, the delay time window is the optimal time for independence of time series and the delay time is the first locally optimal time. In this study, we estimate general dependence of hydrologic time series using the C-C method which can estimate both the delay time and the delay time window and the results may give us whether hydrologic time series depends on its linear or nonlinear characteristics which are very important for modeling and forecasting of underlying system.

키워드

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