• Title/Summary/Keyword: 시계열 비교분석

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Comparison of Soil Permeability and Time-Series Variation of Soil Moisture in Areas with Different Land Use in an Agricultural Region of Gangwon Province, Korea (강원도 농촌지역에서 토지이용에 따른 토양수분의 시계열적 변동 특성 및 토양 투수성 비교)

  • Lee, Minwook;Lee, Sungbeen;Lee, Jin-Yong
    • The Journal of Engineering Geology
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    • v.32 no.4
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    • pp.483-498
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    • 2022
  • Soil moisture is defined as water in the pores of the soil's unsaturated zone, and it is closely related to various hydrological processes. This study aims to provide meaningful data by identifying factors affecting soil moisture through comparing soil moisture content and soil permeability in a study area covering six different land use types in an agricultural region that is highly dependent on groundwater. We conduct auto-correlation analysis, spectral density analysis, and cross-correlation analysis using time-series data. Soil moisture content shows to have weak auto-correlation and memory effects, and precipitation appears to have a substantial influence on soil moisture content. Saturation hydraulic conductivity does not vary markedly with changing land use, and instead appears to be affected by the inhomogenous soil structure.

Time Series Patterns and Clustering of Rotifer Community in Relation with Topographical Characteristics in Lentic Ecosystems (정수생태계의 지형적인 요인 변화와 윤충류 출현 종 수 및 개체군 밀도 변동에 대한 연구)

  • Oh, Hye-Ji;Heo, Yu-Ji;Chang, Kwang-Hyeon;Kim, Hyun-Woo
    • Korean Journal of Ecology and Environment
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    • v.54 no.4
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    • pp.390-397
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    • 2021
  • The time series data of rotifer community focusing on the species number and total density were collected from 29 reservoirs located at Jeonnam Province from 2008 to 2016 quarterly. The reservoirs had similar weather condition during the study period, but their sizes and water qualities were different. To analyze the temporal dynamics of rotifer community, the medians, ranges, outliers and coefficient of variation (CV) value of rotifer species number and abundance were compared. For the temporal trend analysis, time series of each reservoir data were compared and clustered using the dynamic time warping function of the R package "dtwclust". Small-sized reservoirs showed higher variability in rotifer abundance with more frequent outliers than large-sized reservoirs. On the other hand, apparent pattern was not observed for the rotifer species number. For the temporal pattern of rotifer density, COD, phytoplankton abundance fluctuation, and cladoceran abundance fluctuation have been suggested as potential factor affecting the rotifer abundance dynamics.

An Estimation of the Optimal Hedge Ratio in KOSPI 200 Spot and Futures (KOSPI 200 현(現).선물간(先物間) 최적(最適)헤지비율(比率)의 추정(推定))

  • Chung, Han-Kyu
    • The Korean Journal of Financial Management
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    • v.16 no.1
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    • pp.223-243
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    • 1999
  • 포트폴리오의 위험을 통제하거나 감소시키기 위해서 헤저들은 최적헤지비율을 추정하여야 하는데, 최적헤지비율의 추정치는 사용하는 모형에 따라 많은 차이를 보인다. 전통적인 회귀분석모형에 의하여 추정된 최적헤지비율은 시계열자료의 불안정성(nonstationary) 등으로 인하여 잘못될 가능성이 많으며, 잘못 추정된 헤지비율을 그대로 이용할 경우 현물포트폴리오의 시장위험을 최소화시키지 못하고 헤징비용을 증가시키는 결과를 초래한다. 시계열자료의 불안정성으로 말미암아 야기되는 문제점들을 개선할 수 있는 모형으로서 오차 수정모형(Error Correction Model : ECM)이 널리 이용되고 있다. 본 연구는 ECM을 사용하여 추정된 최적헤지비율과 전통적 회귀분석모형을 사용하여 추정한 최적헤지비율을 비교하여 어떤 모형으로 추정한 헤지비율이 더 정확한지를 평가하는데 목적을 두고 있다. 즉, 본 연구는 KOSPI 200 현 선물지수 자료를 대상으로 ECM과 전통적 회귀분석모형에 의한 최적헤지비율을 추정하고 각 모형의 설명력과 예측력을 비교하고자 한다. 실증분석 결과, KOSPI 200 현물지수와 KOSPI 200 선물지수간에는 공적분 관계가 존재하며, ECM과 전통적 회귀분석모형을 이용하여 추정한 최적헤지비율의 크기는 서로 다르며, ECM을 이용할 때 모형의 설명력이 조금 더 높게 나타났으며, 예측력도 ECM이 좀더 우월한 것으로 나타났다.

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Time series analysis for Korean COVID-19 confirmed cases: HAR-TP-T model approach (한국 COVID-19 확진자 수에 대한 시계열 분석: HAR-TP-T 모형 접근법)

  • Yu, SeongMin;Hwang, Eunju
    • The Korean Journal of Applied Statistics
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    • v.34 no.2
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    • pp.239-254
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    • 2021
  • This paper studies time series analysis with estimation and forecasting for Korean COVID-19 confirmed cases, based on the approach of a heterogeneous autoregressive (HAR) model with two-piece t (TP-T) distributed errors. We consider HAR-TP-T time series models and suggest a step-by-step method to estimate HAR coefficients as well as TP-T distribution parameters. In our proposed step-by-step estimation, the ordinary least squares method is utilized to estimate the HAR coefficients while the maximum likelihood estimation (MLE) method is adopted to estimate the TP-T error parameters. A simulation study on the step-by-step method is conducted and it shows a good performance. For the empirical analysis on the Korean COVID-19 confirmed cases, estimates in the HAR-TP-T models of order p = 2, 3, 4 are computed along with a couple of selected lags, which include the optimal lags chosen by minimizing the mean squares errors of the models. The estimation results by our proposed method and the solely MLE are compared with some criteria rules. Our proposed step-by-step method outperforms the MLE in two aspects: mean squares error of the HAR model and mean squares difference between the TP-T residuals and their densities. Moreover, forecasting for the Korean COVID-19 confirmed cases is discussed with the optimally selected HAR-TP-T model. Mean absolute percentage error of one-step ahead out-of-sample forecasts is evaluated as 0.0953% in the proposed model. We conclude that our proposed HAR-TP-T time series model with optimally selected lags and its step-by-step estimation provide an accurate forecasting performance for the Korean COVID-19 confirmed cases.

A Study on the effects of neurofeedback training on the resistance stress of children (유아들의 스트레스저항 능력에 뉴로피드백 훈련이 미치는 영향)

  • Bak, Ki-Ja
    • Proceedings of the KAIS Fall Conference
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    • 2009.12a
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    • pp.546-549
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    • 2009
  • 본 연구는 2008년 1월부터 2008년 12월까지 S 유치원 원아40명(실험군 20명, 대조군 20명)의 뇌파를 검사하여 뉴로피드백 훈련 전과 훈련 후의 스트레스 저항 능력을 보고자 하였다. 훈련 전과 후의 스트레스 저항 능력은 시계열 선형분석을 통하여 비교하였으며, 연구의 결과로 뉴로피드백 훈련을 적용한 집단에서 항 스트레스 지수에서 유의미한 차이를 보였다. 이 결과는 뉴로피드백 훈련이 유아들의 스트레스 저항 능력을 높여 주었으며 정서적 성향에 긍정적인 영향을 미쳤다고 본다.

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Detection Power when outliers are present at or near the end of time series

  • Lee, Jong-Seon;An, Mi-Hye;Lee, Jae-Jun
    • Proceedings of the Korean Statistical Society Conference
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    • 2003.10a
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    • pp.281-283
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    • 2003
  • 시계열 모형을 따르는 자료의 예측(Forecasting)이나 공정조정(Process Adjustment)의 경우, 자료의 마지막 부분에 발생한 이상치(Outlier)에 의해 크게 영향 받을 수 있다. 그러나 지금까지 제안된 이상치 탐지 방법은 주로 자료의 중간 부분에 발생한 이상치를 검출하는데 효율적이라고 알려져 왔다. 본 연구에서는 자료의 마지막 부분에 발생한 이상치에 대한 기존 탐지 방법의 검출력을 모의 실험을 통해 분석하였다 또한, 이를 개선할 수 있는 방안을 제시하고, 모의 실험을 통해 기존의 검출력과 비교하였다.

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Short-Term Prediction using Chaos Fuzzy Controller (카오스 퍼지 제어기를 이용한 단기부하예측에 관한 연구)

  • 유관식;신위재;추연규;김현덕
    • Proceedings of the Korea Institute of Convergence Signal Processing
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    • 2000.12a
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    • pp.197-200
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    • 2000
  • 최대 수용전력 시계열 데이터를 수집하여 카오스적 성질을 분석하고 퍼지 제어기로부터 추론되어진 제어 값으로 특정 플랜트의 단기예측을 수행하는 카오스 퍼지 제어기를 구성하고 시뮬레이션을 통하여 실제 데이터와의 오차 검토를 통하여 카오스 퍼지 제어기의 강인성을 검증하고 이 시스템을 통하여 얻어진 결과와 실제 데이터를 비교함으로써 제어기의 성능을 평가한다.

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Corporate Default Prediction Model Using Deep Learning Time Series Algorithm, RNN and LSTM (딥러닝 시계열 알고리즘 적용한 기업부도예측모형 유용성 검증)

  • Cha, Sungjae;Kang, Jungseok
    • Journal of Intelligence and Information Systems
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    • v.24 no.4
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    • pp.1-32
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    • 2018
  • In addition to stakeholders including managers, employees, creditors, and investors of bankrupt companies, corporate defaults have a ripple effect on the local and national economy. Before the Asian financial crisis, the Korean government only analyzed SMEs and tried to improve the forecasting power of a default prediction model, rather than developing various corporate default models. As a result, even large corporations called 'chaebol enterprises' become bankrupt. Even after that, the analysis of past corporate defaults has been focused on specific variables, and when the government restructured immediately after the global financial crisis, they only focused on certain main variables such as 'debt ratio'. A multifaceted study of corporate default prediction models is essential to ensure diverse interests, to avoid situations like the 'Lehman Brothers Case' of the global financial crisis, to avoid total collapse in a single moment. The key variables used in corporate defaults vary over time. This is confirmed by Beaver (1967, 1968) and Altman's (1968) analysis that Deakins'(1972) study shows that the major factors affecting corporate failure have changed. In Grice's (2001) study, the importance of predictive variables was also found through Zmijewski's (1984) and Ohlson's (1980) models. However, the studies that have been carried out in the past use static models. Most of them do not consider the changes that occur in the course of time. Therefore, in order to construct consistent prediction models, it is necessary to compensate the time-dependent bias by means of a time series analysis algorithm reflecting dynamic change. Based on the global financial crisis, which has had a significant impact on Korea, this study is conducted using 10 years of annual corporate data from 2000 to 2009. Data are divided into training data, validation data, and test data respectively, and are divided into 7, 2, and 1 years respectively. In order to construct a consistent bankruptcy model in the flow of time change, we first train a time series deep learning algorithm model using the data before the financial crisis (2000~2006). The parameter tuning of the existing model and the deep learning time series algorithm is conducted with validation data including the financial crisis period (2007~2008). As a result, we construct a model that shows similar pattern to the results of the learning data and shows excellent prediction power. After that, each bankruptcy prediction model is restructured by integrating the learning data and validation data again (2000 ~ 2008), applying the optimal parameters as in the previous validation. Finally, each corporate default prediction model is evaluated and compared using test data (2009) based on the trained models over nine years. Then, the usefulness of the corporate default prediction model based on the deep learning time series algorithm is proved. In addition, by adding the Lasso regression analysis to the existing methods (multiple discriminant analysis, logit model) which select the variables, it is proved that the deep learning time series algorithm model based on the three bundles of variables is useful for robust corporate default prediction. The definition of bankruptcy used is the same as that of Lee (2015). Independent variables include financial information such as financial ratios used in previous studies. Multivariate discriminant analysis, logit model, and Lasso regression model are used to select the optimal variable group. The influence of the Multivariate discriminant analysis model proposed by Altman (1968), the Logit model proposed by Ohlson (1980), the non-time series machine learning algorithms, and the deep learning time series algorithms are compared. In the case of corporate data, there are limitations of 'nonlinear variables', 'multi-collinearity' of variables, and 'lack of data'. While the logit model is nonlinear, the Lasso regression model solves the multi-collinearity problem, and the deep learning time series algorithm using the variable data generation method complements the lack of data. Big Data Technology, a leading technology in the future, is moving from simple human analysis, to automated AI analysis, and finally towards future intertwined AI applications. Although the study of the corporate default prediction model using the time series algorithm is still in its early stages, deep learning algorithm is much faster than regression analysis at corporate default prediction modeling. Also, it is more effective on prediction power. Through the Fourth Industrial Revolution, the current government and other overseas governments are working hard to integrate the system in everyday life of their nation and society. Yet the field of deep learning time series research for the financial industry is still insufficient. This is an initial study on deep learning time series algorithm analysis of corporate defaults. Therefore it is hoped that it will be used as a comparative analysis data for non-specialists who start a study combining financial data and deep learning time series algorithm.

A Study on ODA Budget Allocation by Economic Development Stage and International Norm (경제발전과 국제규범 형성에 기반한 ODA 예산규모에 관한 연구)

  • Chang, Ji-Soon;Jeon, Yongil
    • International Area Studies Review
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    • v.18 no.3
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    • pp.3-21
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    • 2014
  • The OECD DAC has recommended the member countries to raise the ODA budget by 0.7% of GNI. Most of DAC's members, howver, have not reached at the target level, mainly due to global economic crisis, with some exceptions in Northern Europe countries. Korea has increased the ODA budget allocation dramatically, but she could not still meet even the level 0.3%, which is the average level of DAC countries. In terms of national budget operation, DAC country groups are classified as the international norm type and the self-economic dependence type. And then, this study analyzes the time trends of the ODA budget in Korea, comparing with DAC's members on the economic scale. By forecasting Korean ODA budgets by country-type classifications, the optimal size of Korean government's ODA budget is proposed and discussed.

Comparison and analysis of prediction performance of fine particulate matter(PM2.5) based on deep learning algorithm (딥러닝 알고리즘 기반의 초미세먼지(PM2.5) 예측 성능 비교 분석)

  • Kim, Younghee;Chang, Kwanjong
    • Journal of Convergence for Information Technology
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    • v.11 no.3
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    • pp.7-13
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    • 2021
  • This study develops an artificial intelligence prediction system for Fine particulate Matter(PM2.5) based on the deep learning algorithm GAN model. The experimental data are closely related to the changes in temperature, humidity, wind speed, and atmospheric pressure generated by the time series axis and the concentration of air pollutants such as SO2, CO, O3, NO2, and PM10. Due to the characteristics of the data, since the concentration at the current time is affected by the concentration at the previous time, a predictive model for recursive supervised learning was applied. For comparative analysis of the accuracy of the existing models, CNN and LSTM, the difference between observation value and prediction value was analyzed and visualized. As a result of performance analysis, it was confirmed that the proposed GAN improved to 15.8%, 10.9%, and 5.5% in the evaluation items RMSE, MAPE, and IOA compared to LSTM, respectively.