• Title/Summary/Keyword: 시계열 회귀 분석

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Supercomputing Performance Demand Forecasting Using Cross-sectional and Time Series Analysis (횡단면분석과 추세분석을 이용한 슈퍼컴퓨팅 성능수요 예측)

  • Park, Manhee
    • Journal of Technology Innovation
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    • v.23 no.2
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    • pp.33-54
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    • 2015
  • Supercomputing performance demand forecasting at the national level is an important information to the researchers in fields of the computational science field, the specialized agencies which establish and operate R&D infrastructure, and the government agencies which establish science and technology infrastructure. This study derived the factors affecting the scientific and technological capability through the analysis of supercomputing performance prediction research, and it proposed a hybrid forecasting model of applying the super-computer technology trends. In the cross-sectional analysis, multiple regression analysis was performed using factors with GDP, GERD, the number of researchers, and the number of SCI papers that could affect the supercomputing performance. In addition, the supercomputing performance was predicted by multiplying in the cross-section analysis with technical progress rate of time period which was calculated by time series analysis using performance(Rmax) of Top500 data. Korea's performance scale of supercomputing in 2016 was predicted using the proposed forecasting model based on data of the top500 supercomputer and supercomputing performance demand in Korea was predicted using a cross-sectional analysis and technical progress rate. The results of this study showed that the supercomputing performance is expected to require 15~30PF when it uses the current trend, and is expected to require 20~40PF when it uses the trend of the targeting national-level. These two results showed significant differences between the forecasting value(9.6PF) of regression analysis and the forecasting value(2.5PF) of cross-sectional analysis.

An Accurate Cryptocurrency Price Forecasting using Reverse Walk-Forward Validation (역순 워크 포워드 검증을 이용한 암호화폐 가격 예측)

  • Ahn, Hyun;Jang, Baekcheol
    • Journal of Internet Computing and Services
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    • v.23 no.4
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    • pp.45-55
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    • 2022
  • The size of the cryptocurrency market is growing. For example, market capitalization of bitcoin exceeded 500 trillion won. Accordingly, many studies have been conducted to predict the price of cryptocurrency, and most of them have similar methodology of predicting stock prices. However, unlike stock price predictions, machine learning become best model in cryptocurrency price predictions, conceptually cryptocurrency has no passive income from ownership, and statistically, cryptocurrency has at least three times higher liquidity than stocks. Thats why we argue that a methodology different from stock price prediction should be applied to cryptocurrency price prediction studies. We propose Reverse Walk-forward Validation (RWFV), which modifies Walk-forward Validation (WFV). Unlike WFV, RWFV measures accuracy for Validation by pinning the Validation dataset directly in front of the Test dataset in time series, and gradually increasing the size of the Training dataset in front of it in time series. Train data were cut according to the size of the Train dataset with the highest accuracy among all measured Validation accuracy, and then combined with Validation data to measure the accuracy of the Test data. Logistic regression analysis and Support Vector Machine (SVM) were used as the analysis model, and various algorithms and parameters such as L1, L2, rbf, and poly were applied for the reliability of our proposed RWFV. As a result, it was confirmed that all analysis models showed improved accuracy compared to existing studies, and on average, the accuracy increased by 1.23%p. This is a significant improvement in accuracy, given that most of the accuracy of cryptocurrency price prediction remains between 50% and 60% through previous studies.

Self-Organizing Fuzzy Modeling Using Creation of Clusters (클러스터 생성을 이용한 자기구성 퍼지 모델링)

  • Koh, Taek-Beom
    • Journal of the Korean Institute of Intelligent Systems
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    • v.12 no.4
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    • pp.334-340
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    • 2002
  • This paper proposes a self-organizing fuzzy modeling which can create a new hyperplane-shaped cluster by applying multiple regression to input/output data with relatively large fuzzy entropy, add the new cluster to fuzzy rule base and adjust parameters of the fuzzy model in repetition. Tn the coarse tuning, weighted recursive least squared algorithm and fuzzy C-regression model clustering are used and in the fine tuning, gradient descent algorithm is used to adjust parameters of the fuzzy model precisely And learning rates are optimized by utilizing meiosis-genetic algorithm. To check the effectiveness and feasibility of the suggested algorithm, four representative examples for system identification are examined and the performance of the identified fuzzy model is demonstrated in comparison with that of the conventional fuzzy models.

Empirical Analysis on Bitcoin Price Change by Consumer, Industry and Macro-Economy Variables (비트코인 가격 변화에 관한 실증분석: 소비자, 산업, 그리고 거시변수를 중심으로)

  • Lee, Junsik;Kim, Keon-Woo;Park, Do-Hyung
    • Journal of Intelligence and Information Systems
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    • v.24 no.2
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    • pp.195-220
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    • 2018
  • In this study, we conducted an empirical analysis of the factors that affect the change of Bitcoin Closing Price. Previous studies have focused on the security of the block chain system, the economic ripple effects caused by the cryptocurrency, legal implications and the acceptance to consumer about cryptocurrency. In various area, cryptocurrency was studied and many researcher and people including government, regardless of country, try to utilize cryptocurrency and applicate to its technology. Despite of rapid and dramatic change of cryptocurrencies' price and growth of its effects, empirical study of the factors affecting the price change of cryptocurrency was lack. There were only a few limited studies, business reports and short working paper. Therefore, it is necessary to determine what factors effect on the change of closing Bitcoin price. For analysis, hypotheses were constructed from three dimensions of consumer, industry, and macroeconomics for analysis, and time series data were collected for variables of each dimension. Consumer variables consist of search traffic of Bitcoin, search traffic of bitcoin ban, search traffic of ransomware and search traffic of war. Industry variables were composed GPU vendors' stock price and memory vendors' stock price. Macro-economy variables were contemplated such as U.S. dollar index futures, FOMC policy interest rates, WTI crude oil price. Using above variables, we did times series regression analysis to find relationship between those variables and change of Bitcoin Closing Price. Before the regression analysis to confirm the relationship between change of Bitcoin Closing Price and the other variables, we performed the Unit-root test to verifying the stationary of time series data to avoid spurious regression. Then, using a stationary data, we did the regression analysis. As a result of the analysis, we found that the change of Bitcoin Closing Price has negative effects with search traffic of 'Bitcoin Ban' and US dollar index futures, while change of GPU vendors' stock price and change of WTI crude oil price showed positive effects. In case of 'Bitcoin Ban', it is directly determining the maintenance or abolition of Bitcoin trade, that's why consumer reacted sensitively and effected on change of Bitcoin Closing Price. GPU is raw material of Bitcoin mining. Generally, increasing of companies' stock price means the growth of the sales of those companies' products and services. GPU's demands increases are indirectly reflected to the GPU vendors' stock price. Making an interpretation, a rise in prices of GPU has put a crimp on the mining of Bitcoin. Consequently, GPU vendors' stock price effects on change of Bitcoin Closing Price. And we confirmed U.S. dollar index futures moved in the opposite direction with change of Bitcoin Closing Price. It moved like Gold. Gold was considered as a safe asset to consumers and it means consumer think that Bitcoin is a safe asset. On the other hand, WTI oil price went Bitcoin Closing Price's way. It implies that Bitcoin are regarded to investment asset like raw materials market's product. The variables that were not significant in the analysis were search traffic of bitcoin, search traffic of ransomware, search traffic of war, memory vendor's stock price, FOMC policy interest rates. In search traffic of bitcoin, we judged that interest in Bitcoin did not lead to purchase of Bitcoin. It means search traffic of Bitcoin didn't reflect all of Bitcoin's demand. So, it implies there are some factors that regulate and mediate the Bitcoin purchase. In search traffic of ransomware, it is hard to say concern of ransomware determined the whole Bitcoin demand. Because only a few people damaged by ransomware and the percentage of hackers requiring Bitcoins was low. Also, its information security problem is events not continuous issues. Search traffic of war was not significant. Like stock market, generally it has negative in relation to war, but exceptional case like Gulf war, it moves stakeholders' profits and environment. We think that this is the same case. In memory vendor stock price, this is because memory vendors' flagship products were not VRAM which is essential for Bitcoin supply. In FOMC policy interest rates, when the interest rate is low, the surplus capital is invested in securities such as stocks. But Bitcoin' price fluctuation was large so it is not recognized as an attractive commodity to the consumers. In addition, unlike the stock market, Bitcoin doesn't have any safety policy such as Circuit breakers and Sidecar. Through this study, we verified what factors effect on change of Bitcoin Closing Price, and interpreted why such change happened. In addition, establishing the characteristics of Bitcoin as a safe asset and investment asset, we provide a guide how consumer, financial institution and government organization approach to the cryptocurrency. Moreover, corroborating the factors affecting change of Bitcoin Closing Price, researcher will get some clue and qualification which factors have to be considered in hereafter cryptocurrency study.

Investigation on Granger Causality between Economic Growth and Demand for Electricity in Korea: Using Quarterly Data (한국의 경제성장과 전력수요간의 인과성에 관한 연구: 분기별 자료를 이용하여)

  • Baek, Moon-Young;Kim, Woo-Hwan
    • The Korean Journal of Applied Statistics
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    • v.25 no.1
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    • pp.89-99
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    • 2012
  • This study investigates the Granger-causality between economic growth and demand for electricity in Korea, using two quarterly time-series data (real GDP and electricity consumption) for 1970:Q1 through 2009:Q4. We apply Hsiao's sequential procedure to identify a vector autoregressive model to a decision of the optimal lags in the vector error-correction model because the two time-series data contain unit roots respectively and they are cointegrated. According to the empirical results in this study, we find that Hsiao's approach to the Granger-causality indicates a bidirectional causal relation between economic growth and demand for electricity in Korea. Following the Granger and Engle's approach, we also find the statistical evidence on (1) short-run bidirectional causality between real GDP and electricity consumption, (2) bidirectional strong causality between them, and (3) long-run unidirectional causality running from demand for electricity to economic growth. Our results show an inconsistency with the existing studies on Korea's case; however, the results appear to provide more meaningful policy implications for the Korean economy and its strategy of sustainable growth.

The Effect of Foreign Bond Yield Shock on Corporate Bond Credit Spread: Evidence form Korean Market (해외금리 충격과 회사채 신용위험의 관계: 국내시장 분석)

  • Song, HyuckJun;Lee, Jong-Ryong
    • Journal of Service Research and Studies
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    • v.7 no.4
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    • pp.139-150
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    • 2017
  • Open economy tightly works with foreign economy. This paper investigates the effect of the shock of foreign bond yield on the credit spreads of domestic corporate bonds in Korea. Foreign bond is referred to as US treasury bond. Credit spreads are defined with the difference between log yields of domestic corporate bonds and log yield of Korea treasury bond. With the data of monthly three-year AA- and BBB- corporate bond yields- ratings, monthly three-year Korean treasury bond yields, monthly US dollar foreign exchange rates, and monthly three-year US Treasury bond yields during the period from October 2000 to September 2014 including global financial crisis period, the paper documents the results as follow. First of all, the yield of Korean treasury and the credit spreads are very sensitive to the increase in the level and the volatility of the yield of the US treasury bond. Changes in the level and the volatility little affect the change of the exchange rate. Second, the change in the level and the volatility negatively affect the level of Korean treasury bond yields but lead to the increase in the level of Korean treasury bond yields at the same time. Third, there exist time lags of the increases of credit spreads by the increase in the level and the volatility. These imply that credit spreads and bond yields are very sensitive to the change in the yields of foreign bonds such as US treasury bond.

Correction of Lunar Irradiation Effect and Change Detection Using Suomi-NPP Data (VIIRS DNB 영상의 달빛 영향 보정 및 변화 탐지)

  • Lee, Boram;Lee, Yoon-Kyung;Kim, Donghan;Kim, Sang-Wan
    • Korean Journal of Remote Sensing
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    • v.35 no.2
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    • pp.265-278
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    • 2019
  • Visible Infrared Imaging Radiometer Suite (VIIRS) Day/Night Band (DNB) data help to enable rapid emergency responses through detection of the artificial and natural disasters occurring at night. The DNB data without correction of lunar irradiance effect distributed by Korea Ocean Science Center (KOSC) has advantage for rapid change detection because of direct receiving. In this study, radiance differences according to the phase of the moon was analyzed for urban and mountain areas in Korean Peninsula using the DNB data directly receiving to KOSC. Lunar irradiance correction algorithm was proposed for the change detection. Relative correction was performed by regression analysis between the selected pixels considering the land cover classification in the reference DNB image during the new moon and the input DNB image. As a result of daily difference image analysis, the brightness value change in urban area and mountain area was ${\pm}30$ radiance and below ${\pm}1$ radiance respectively. The object based change detection was performed after the extraction of the main object of interest based on the average image of time series data in order to reduce the matching and geometric error between DNB images. The changes in brightness occurring in mountainous areas were effectively detected after the calibration of lunar irradiance effect, and it showed that the developed technology could be used for real time change detection.

Vegetation Interannualvariavility Over Korea Using 10-Years 1KM NDVI Data (1KM NDVI 10년 자료를 이용한 한반도 식생의 경년변동 분석)

  • Kim, In-Hwan;Han, Kyung-Soo;Kim, Sang-Il
    • Korean Journal of Remote Sensing
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    • v.27 no.1
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    • pp.17-24
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    • 2011
  • Global warming and climatic changes due to human activities impact on marine and terrestrial ecosystems, which feedbacks to climate system. These negative feedbacks amplify or accelerate again global climate change. In particular, it is important to analyze vegetation change. This study attempts to analyze quantitatively vegetation change in Korea peninsula by using harmonic analysis. Harmonic-Analysis based on Fourier Transform is the method to effectively demonstrate for time series data. Especially, Harmonic-Analysis is very suitable method to analyze vegetation change because the vegetation repeats the cycle growth and extinction every year. The result of harmonic-analysis shows vegetation change as time passes. In this study, SPOTNEGETATION S10 MVC NDVI data was used during last 10 years (1999-2008) in Korea Peninsula. Also, land type classification used MODIS Land Cover Map data. The study estimated that phase values moved up approximately 0.5 day per year in cropland and 0.8 day per year in forest.

An Empirical Analysis of the Determinants of Defense Cost Sharing between Korea and the U.S. (한미 방위비 분담금 결정요인에 대한 실증분석)

  • Yonggi Min;Sunggyun Shin;Yongjoon Park
    • The Journal of the Convergence on Culture Technology
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    • v.10 no.1
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    • pp.183-192
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    • 2024
  • The purpose of this study is to empirically analyze the determining factors (economy, security, domestic politics, administration, and international politics) that affect the ROK-US defense cost sharing decision. Through this, we will gain a deeper understanding of the defense cost sharing decision process and improve the efficiency of defense cost sharing calculation and execution. The scope of the study is ROK-US defense cost sharing from 1991 to 2021. The data used in the empirical analysis were various secondary data such as Ministry of National Defense, government statistical data, SIPRI, and media reports. As an empirical analysis method, multiple regression analysis using time series was used and the data was analyzed using an autoregressive model. As a result of empirical research through multiple regression analysis, we derived the following results. It was analyzed that the size of Korea's economy, that is, GDP, the previous year's defense cost share, and the number of U.S. troops stationed in Korea had a positive influence on the decision on defense cost sharing. This indicates that Korea's economic growth is a major factor influencing the increase in defense cost sharing, and that the gradual increase in the budget and the negotiation method of the Special Agreement (SMA) for cost sharing of stationing US troops in Korea play an important role. On the other hand, the political tendencies of the ruling party, North Korea's military threats, and China's defense budget were found to have no statistically significant influence on the decision to share defense costs.

Proposing a Technique for Regional Flood Frequency Analysis: Bayesian-GLS Regression (국내 지역 홍수빈도해석을 위한 기법 제안: Bayesian-GLS 회귀)

  • Jeong, Dae-Il;Stedinger, Jery R.;Kim, Young-Oh;Sung, Jang-Hyun
    • Proceedings of the Korea Water Resources Association Conference
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    • 2007.05a
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    • pp.241-245
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    • 2007
  • 국내 홍수빈도 분포의 매개변수 추정에서 지점추정(at-site estimate) 방법은 유량 자료의 부족으로 발생하는 표본오차(sampling error)가 크기 때문에 충분한 유량 자료를 보유한 지점에 한하여 제한적으로 사용되고 있다. 대안으로 동질성을 가진 유역의 유량 자료를 모아 지역 매개변수를 추정하는 지수홍수법(Index Flood Method)이 제안되기도 하였으나, 이질성이 큰 우리나라의 유역특성 때문에 적용이 쉽지 않다. Stedinger와 Tasker가 1986년 제안한 GLS(Generalized Least Square) 기법은 유역을 동질지역으로 구분할 필요가 없으며 지점들간의 상관관계와 이분산성을 고려할 수 있어, 국내 홍수빈도 해석을 위해서 꼭 도입해야할 기법으로 생각된다. 본 연구에서는 기존의 GLS 기법의 단점을 보완한 Bayesian-GLS 기법을 이용하여, 국내 대유역에 골고루 위치하며 댐의 영향을 받지 않는 31개 지점의 연최대 일유량 시계열의 L-변동계수(L-moment coefficient variation)와 L-왜도계수(L-moment coefficient skewness)를 추정할 수 있는 회귀모형을 제안하였다. 위 회귀모형을 구성하기 위한 유역특성으로는 유역면적, 유역경사, 유역평균강우 등을 사용하였다. Bayesian-GLS (B-GLS) 적용 결과를 OLS(Ordinary Least Square) 및 Bayesian-GLS 기법에서 지점간의 상관관계를 고려하지 않는 Bayesian-WLS(Weighted Least Square)와 비교 평가하여 그 우수성을 입증하였다. 따라서 본 연구에서 제안된 B-GLS에 의한 지역회귀모형은 국내의 미계측유역이나 또는 관측 길이가 짧은 계측유역의 홍수빈도분석을 위해 매우 유용할 것으로 기대된다.년 홍수 피해가 발생하고 있지만, 다른 한편 인구밀도가 높고 1인당 가용 수자원이 상대적으로 적기 때문에 국지적 물 부족 문제를 경험하고 있다. 최근 국제적으로도 농업용수의 물 낭비 최소화와 절약 노력 및 타 분야 물 수요 증대에 대한 대응 능력 제고가 매우 중요한 과제로 부각되고 있다. 2006년 3월 멕시코에서 개최된 제4차 세계 물 포럼에서 국제 강 네트워크는 "세계 물 위기의 주범은 농경지", "농민들은 모든 물 위기 논의에서 핵심"이라고 주장하고, 전 프랑스 총리 미셀 로카르는 "...관개시설에 큰 문제점이 있고 덜 조방적 농업을 하도록 농민들을 설득해야 한다. 이는 전체 농경법을 바꾸는 문제..."(segye.com, 2006. 3. 19)라고 주장하는 등 세계 물 문제 해결을 위해서는 농업용수의 효율적 이용 관리가 중요함을 강조하였다. 본 연구는 이러한 국내외 여건 및 정책 환경 변화에 적극적으로 대처하고 물 분쟁에 따른 갈등해소 전략 수립과 효율적인 물 배분 및 이용을 위한 기초연구로서 농업용수 수리권과 관련된 법 및 제도를 분석하였다.. 삼요소의 시용 시험결과 그 적량은 10a당 질소 10kg, 인산 5kg, 및 가리 6kg 정도였으며 질소는 8kg 이상의 경우에는 분시할수록 비효가 높았으며 특히 벼의 후기 중점시비에 의하여 1수영화수와 결실율의 증대가 크게 이루어졌다. 3. 파종기와 파종량에 관한 시험결과는 공시품종선단의 파종적기는 4월 25일부터 5월 10일경까지 인데 이 기간중 일찍 파종하는 경우에 파종적량은 10a당 약 8${\ell}$이고 늦은 경우에는 12${\ell}$ 정도였다. 여기서 늦게 파종한 경우 감수의 가장 큰 원인은 1수영화수가 적어지기 때문이었다. 4. 건답직파에 대한 담수상태로 관수를 시작하는 적기는 파종후

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