• KSCE Journal of Civil and Environmental Engineering Research
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• v.29 no.2B
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• pp.163-171
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• 2009

Classical linear models have been generally used to analyze and forecast hydrologic time series. However, there is growing evidence of nonlinear structure in natural phenomena and hydrologic time series associated with their patterns and fluctuations. Therefore, the classical linear techniques for time series analysis and forecasting may not be appropriate for nonlinear processes. In recent, the BDS (Brock-Dechert-Scheinkman) statistic instead of conventional techniques has been used for detecting nonlinearity of time series. The BDS statistic was derived from the statistical properties of the correlation integral which is used to analyze chaotic system and has been effectively used for distinguishing nonlinear structure in dynamic system from random structures. DVS (Deterministic Versus Stochastic) algorithm has been used for detecting chaos and stochastic systems and for forecasting of chaotic system. This study showed the DVS algorithm can be also used for detecting nonlinearity of the time series. In this study, the stochastic and hydrologic time series are analyzed to detect their nonlinearity. The linear and nonlinear stochastic time series generated from ARMA and TAR (Threshold Auto Regressive) models, a daily streamflow at St. Johns river near Cocoa, Florida, USA and Great Salt Lake Volume (GSL) data, Utah, USA are analyzed, daily inflow series of Soyang dam and the results are compared. The results showed the BDS statistic is a powerful tool for distinguishing between linearity and nonlinearity of the time series and DVS plot can be also effectively used for distinguishing the nonlinearity of the time series.

• Journal of the Korean Data and Information Science Society
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• v.28 no.1
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• pp.11-20
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• 2017

In this paper, we introduced linear spatial time series (space-time autoregressive and moving average model) and nonlinear spatial time series (space-time bilinear model). Also we estimated the parameters by Kalman Filter method and made comparative studies of power of forecast in the final model. We proposed several weight matrices such as equal proportion allocation, reciprocal proportion between distances, and proportion of population sizes. For applications, we collected Mumps data at Korea Center for Disease Control and Prevention from January 2001 until August 2008. We compared three approaches of weight matrices using the Mumps data. Finally, we also decided the most effective model based on sum of square forecast error.

• Proceedings of the Korea Water Resources Association Conference
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• 2020.06a
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• pp.13-13
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• 2020

'20년 3월 현재 전국 3,502개 읍면동 중 73개 읍면동이 지하수를 상수원으로 급수 중이며, 48개 산업단지에서 지하수를 주 수원으로 사용 중이다. 또한 급수 소외지역의 물 공급을 위해 주로 사용되는 소규모수도시설 14,811개 중 12,073개(81.5%)는 지하수를 이용하고 있으며, 그 위치는 전국에 산재해 있다. 이처럼 지하수는 댐, 저수지 및 하천과 더불어 생·공용수의 중요한 수원이라 할 수 있다. 본 연구에서는 급수 소외지역의 주요 수원인 지하수위 현황을 이용한 가뭄 모니터링 및 전망 기법을 개발하고자 하였다. 국가 지하수관측망 중 10년 이상 장기 관측 자료를 보유한 253개 관측소의 일단위 관측자료를 기반으로, 과거 관측수위 분포를 핵밀도함수로 추정하고 Quantile Function을 이용해 현재 수위의 높고 낮은 정도를 Percentile 값으로 산정하였다. 관측소별 지하수위 Percentile은 티센망을 이용해 167개 시군별로 공간평균하고 Percentile의 범위에 따른 가뭄등급을 설정하여 지하수 가뭄 정도를 모니터링 할 수 있는 기법을 제시하였다. 또한 지하수 가뭄을 전망하기 위해 강수와 지하수위의 거시적인 응답특성을 이용하였다. 관측소별로 추정된 핵밀도함수의 누적확률을 표준정규분포의 Quantile로 변환하여 표준지하수지수I(Standardized Groundwater level Index, SGI)를 산정하고, 시군별로 공간을 일치시킨 1~12개월 지속기간별 표준강수지수(Standardized Precipitation Index, SPI)와의 상관관계를 이용해 NARX(nonlinear autoregressive exogenous) 인공신경망 예측모형을 구축하였다. 이를 통해 기상청 정량전망 강수량을 이용해 전국의 1~3개월 후 지하수 가뭄을 빠르게 전망할 수 있는 체계를 구축하고, 생·공용수 분야 국가 가뭄 예·경보의 미급수지역 가뭄현황 및 전망에 활용중이다.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.21 no.8
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• pp.572-578
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• 2020

The stock market is affected by unexpected factors, such as politics, society, and natural disasters, as well as by corporate performance and economic conditions. In recent days, artificial intelligence has become popular, and many researchers have tried to conduct experiments with that. Our study proposes an experiment using not only stock-related data but also other various economic data. We acquired a year's worth of data on stock prices, the percentage of foreigners, interest rates, and exchange rates, and combined them in various ways. Thus, our input data became diversified, and we put the combined input data into a nonlinear autoregressive network with exogenous inputs (NARX) model. With the input data in the NARX model, we analyze and compare them to the original data. As a result, the model exhibits a root mean square error (RMSE) of 0.08 as being the most accurate when we set 10 neurons and two delays with a combination of stock prices and exchange rates from the U.S., China, Europe, and Japan. This study is meaningful in that the exchange rate has the greatest influence on stock prices, lowering the error from RMSE 0.589 when only closing data are used.

• Journal of Wetlands Research
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• v.18 no.3
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• pp.313-323
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• 2016

Water temperature affects physical and biological processes in ecologies on river system and is important conditions for growth rate and spawning of fish species. The objective of this study is to compare models for water temperature during the summer season for the Fourchue River (St-Alexandre-de-Kamouraska, Quebec, Canada). For this, three different models, which are CEQUEAU, Auto-regressive Moving Average with eXogenous input and Nonlinear Autoregressive with eXogenous input, were applied and compared. Also, future water temperature in the Fourchue river were simulated and analyzed its result based on the CMIP5 climate models, RCP 2.6, 4.5, 8.5 climate change scenarios. As the result of the study, the water temperature in the Fourchue river are actually changed and median water temperature will increase $0.2{\sim}0.7^{\circ}C$ in June and could decrease by $0.2{\sim}1.1^{\circ}C$ in September. Also, the UILT ($24.9^{\circ}C$) for brook trout are also likely to occurred for several days.

• Journal of Intelligence and Information Systems
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• v.16 no.2
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• pp.19-32
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• 2010

Volatility plays a central role in both academic and practical applications, especially in pricing financial derivative products and trading volatility strategies. This study presents a novel mechanism based on generalized autoregressive conditional heteroskedasticity (GARCH) models that is able to enhance the performance of intelligent volatility trading systems by predicting Korean stock market volatility more accurately. In particular, we embedded the concept of the volatility asymmetry documented widely in the literature into our model. The newly developed Korean stock market volatility index of KOSPI 200, VKOSPI, is used as a volatility proxy. It is the price of a linear portfolio of the KOSPI 200 index options and measures the effect of the expectations of dealers and option traders on stock market volatility for 30 calendar days. The KOSPI 200 index options market started in 1997 and has become the most actively traded market in the world. Its trading volume is more than 10 million contracts a day and records the highest of all the stock index option markets. Therefore, analyzing the VKOSPI has great importance in understanding volatility inherent in option prices and can afford some trading ideas for futures and option dealers. Use of the VKOSPI as volatility proxy avoids statistical estimation problems associated with other measures of volatility since the VKOSPI is model-free expected volatility of market participants calculated directly from the transacted option prices. This study estimates the symmetric and asymmetric GARCH models for the KOSPI 200 index from January 2003 to December 2006 by the maximum likelihood procedure. Asymmetric GARCH models include GJR-GARCH model of Glosten, Jagannathan and Runke, exponential GARCH model of Nelson and power autoregressive conditional heteroskedasticity (ARCH) of Ding, Granger and Engle. Symmetric GARCH model indicates basic GARCH (1, 1). Tomorrow's forecasted value and change direction of stock market volatility are obtained by recursive GARCH specifications from January 2007 to December 2009 and are compared with the VKOSPI. Empirical results indicate that negative unanticipated returns increase volatility more than positive return shocks of equal magnitude decrease volatility, indicating the existence of volatility asymmetry in the Korean stock market. The point value and change direction of tomorrow VKOSPI are estimated and forecasted by GARCH models. Volatility trading system is developed using the forecasted change direction of the VKOSPI, that is, if tomorrow VKOSPI is expected to rise, a long straddle or strangle position is established. A short straddle or strangle position is taken if VKOSPI is expected to fall tomorrow. Total profit is calculated as the cumulative sum of the VKOSPI percentage change. If forecasted direction is correct, the absolute value of the VKOSPI percentage changes is added to trading profit. It is subtracted from the trading profit if forecasted direction is not correct. For the in-sample period, the power ARCH model best fits in a statistical metric, Mean Squared Prediction Error (MSPE), and the exponential GARCH model shows the highest Mean Correct Prediction (MCP). The power ARCH model best fits also for the out-of-sample period and provides the highest probability for the VKOSPI change direction tomorrow. Generally, the power ARCH model shows the best fit for the VKOSPI. All the GARCH models provide trading profits for volatility trading system and the exponential GARCH model shows the best performance, annual profit of 197.56%, during the in-sample period. The GARCH models present trading profits during the out-of-sample period except for the exponential GARCH model. During the out-of-sample period, the power ARCH model shows the largest annual trading profit of 38%. The volatility clustering and asymmetry found in this research are the reflection of volatility non-linearity. This further suggests that combining the asymmetric GARCH models and artificial neural networks can significantly enhance the performance of the suggested volatility trading system, since artificial neural networks have been shown to effectively model nonlinear relationships.