• Title/Summary/Keyword: Nonlinear Time Series models

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Recent Trends in the Application of Extreme Learning Machines for Online Time Series Data (온라인 시계열 자료를 위한 익스트림 러닝머신 적용의 최근 동향)

  • YeoChang Yoon
    • The Journal of Bigdata
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    • v.8 no.2
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    • pp.15-25
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    • 2023
  • Extreme learning machines (ELMs) are a major analytical method in various prediction fields. ELMs can accurately predict even if the data contains noise or is nonlinear by learning the complex patterns of time series data through optimal learning. This study presents the recent trends of machine learning models that are mainly studied as tools for analyzing online time series data, along with the application characteristics using existing algorithms. In order to efficiently learn large-scale online data that is continuously and explosively generated, it is necessary to have a learning technology that can perform well even in properties that can evolve in various ways. Therefore, this study examines a comprehensive overview of the latest machine learning models applied to big data in the field of time series prediction, discusses the general characteristics of the latest models that learn online data, which is one of the major challenges of machine learning for big data, and how efficiently they can learn and use online time series data for prediction, and proposes alternatives.

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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EEG Signal Prediction by using State Feedback Real-Time Recurrent Neural Network (상태피드백 실시간 회귀 신경회망을 이용한 EEG 신호 예측)

  • Kim, Taek-Soo
    • The Transactions of the Korean Institute of Electrical Engineers D
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    • v.51 no.1
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    • pp.39-42
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    • 2002
  • For the purpose of modeling EEG signal which has nonstationary and nonlinear dynamic characteristics, this paper propose a state feedback real time recurrent neural network model. The state feedback real time recurrent neural network is structured to have memory structure in the state of hidden layers so that it has arbitrary dynamics and ability to deal with time-varying input through its own temporal operation. For the model test, Mackey-Glass time series is used as a nonlinear dynamic system and the model is applied to the prediction of three types of EEG, alpha wave, beta wave and epileptic EEG. Experimental results show that the performance of the proposed model is better than that of other neural network models which are compared in this paper in some view points of the converging speed in learning stage and normalized mean square error for the test data set.

A Study on the Test of Homogeneity for Nonlinear Time Series Panel Data Using Bilinear Models (중선형 모형을 이용한 비선형 시계열 패널자료의 동질성검정에 대한 연구)

  • Kim, Inkyu
    • Journal of Digital Convergence
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    • v.12 no.7
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    • pp.261-266
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    • 2014
  • When the number of parameters in the time series model are diverse, it is hard to forecast because of the increasing error by a parameter estimation. If the homogeneity hypothesis which was obtained from the same model about severeal data for the time series is selected, it is easy to get the predictive value better. Nonlinear time-series panel data for each parameter for each time series, since there are so many parameters that are present, and the large number of parameters according to the parameter estimation error increases the accuracy of the forecast deteriorated. Panel present in the time series of multiple independent homogeneity is satisfied by a comprehensive time series to estimate and to test of the parameters. For studying about the homogeneity test for the m independent non-linear of the time series panel data, it needs to set the model and to make the normal conditions for the model, and to derive the homogeneity test statistic. Finally, it shows to obtain the limit distribution according to ${\chi}^2$ distribution. In actual analysis,, we can examine the result for the homogeneity test about nonlinear time series panel data which are 2 groups of stock price data.

Analysis of Chaos Characterization and Forecasting of Daily Streamflow (일 유량 자료의 카오스 특성 및 예측)

  • Wang, W.J.;Yoo, Y.H.;Lee, M.J.;Bae, Y.H.;Kim, H.S.
    • Journal of Wetlands Research
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    • v.21 no.3
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    • pp.236-243
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    • 2019
  • Hydrologic time series has been analyzed and forecasted by using classical linear models. 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. Daily streamflow series at St. Johns river near Cocoa, Florida, USA showed an interesting result of a low dimensional, nonlinear dynamical system but daily inflow at Soyang reservoir, South Korea showed stochastic property. Based on the chaotic dynamical characteristic, DVS (deterministic versus stochastic) algorithm is used for short-term forecasting, as well as for exploring the properties of the system. In addition to the use of DVS algorithm, a neural network scheme for the forecasting of the daily streamflow series can be used and the two techniques are compared in this study. As a result, the daily streamflow which has chaotic property showed much more accurate result in short term forecasting than stochastic data.

Learning the Covariance Dynamics of a Large-Scale Environment for Informative Path Planning of Unmanned Aerial Vehicle Sensors

  • Park, Soo-Ho;Choi, Han-Lim;Roy, Nicholas;How, Jonathan P.
    • International Journal of Aeronautical and Space Sciences
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    • v.11 no.4
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    • pp.326-337
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    • 2010
  • This work addresses problems regarding trajectory planning for unmanned aerial vehicle sensors. Such sensors are used for taking measurements of large nonlinear systems. The sensor investigations presented here entails methods for improving estimations and predictions of large nonlinear systems. Thoroughly understanding the global system state typically requires probabilistic state estimation. Thus, in order to meet this requirement, the goal is to find trajectories such that the measurements along each trajectory minimize the expected error of the predicted state of the system. The considerable nonlinearity of the dynamics governing these systems necessitates the use of computationally costly Monte-Carlo estimation techniques, which are needed to update the state distribution over time. This computational burden renders planning to be infeasible since the search process must calculate the covariance of the posterior state estimate for each candidate path. To resolve this challenge, this work proposes to replace the computationally intensive numerical prediction process with an approximate covariance dynamics model learned using a nonlinear time-series regression. The use of autoregressive time-series featuring a regularized least squares algorithm facilitates the learning of accurate and efficient parametric models. The learned covariance dynamics are demonstrated to outperform other approximation strategies, such as linearization and partial ensemble propagation, when used for trajectory optimization, in terms of accuracy and speed, with examples of simplified weather forecasting.

Sufficient Conditions for Stationarity of Smooth Transition ARMA/GARCH Models

  • Lee, Oe-Sook
    • Journal of the Korean Data and Information Science Society
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    • v.18 no.1
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    • pp.237-245
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    • 2007
  • Nonlinear asymmetric time series models have the growing interest in econometrics and finance. Threshold model is one of the successful asymmetric model. We consider a smooth transition ARMA model which converges a.s. to a threshold ARMA model and show that the smooth transition ARMA model admits a stationary measure, provided a suitable condition on the coefficients of the autoregressive parts of the different regimes is satisfied. Stationarity of a smooth transition GARCH model is also obtained.

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Application of Volterra Series to Modeling an Elastomer Force-Displacement Relation (고무의 힘-변위 관계를 나타내는 모델링에의 볼테라 급수의 응용)

  • Sung, Dan-Keun
    • Journal of the Korean Institute of Telematics and Electronics
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    • v.26 no.6
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    • pp.71-78
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    • 1989
  • The imput-output relations for nonlinear systems can be explicitly represented by the Volterra series and they can be characterized by the Volterra kernels. This study is concerned with modeling an elastomer force-displacement relation due to step inputs by utilizing the truncated Volterra series. Since it is practically impossible to apply step inputs that have infinite slope at zero time, the loads due to constant penetration(displacement) rate followed by constant penetration inputs are measured as an alternative approach and estimated for step inputs and then utilized for the truncated Volterra series models. One second order and one third order truncated Volterra series models have been employed to model the force-displacement relation which is one of the prominent properties to characterize the viscoelastic material. The third order truncated Volterra series model has better results, compared with those of the second order truncated Volterra series model.

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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.

Optimal earthquake intensity measures for probabilistic seismic demand models of ARP1400 reactor containment building

  • Nguyen, Duy-Duan;Thusa, Bidhek;Azad, Md Samdani;Tran, Viet-Linh;Lee, Tae-Hyung
    • Nuclear Engineering and Technology
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    • v.53 no.12
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    • pp.4179-4188
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    • 2021
  • This study identifies efficient earthquake intensity measures (IMs) for seismic performances and fragility evaluations of the reactor containment building (RCB) in the advanced power reactor 1400 (APR1400) nuclear power plant (NPP). The computational model of RCB is constructed using the beam-truss model (BTM) for nonlinear analyses. A total of 90 ground motion records and 20 different IMs are employed for numerical analyses. A series of nonlinear time-history analyses are performed to monitor maximum floor displacements and accelerations of RCB. Then, probabilistic seismic demand models of RCB are developed for each IM. Statistical parameters including coefficient of determination (R2), dispersion (i.e. standard deviation), practicality, and proficiency are calculated to recognize strongly correlated IMs with the seismic performance of the NPP structure. The numerical results show that the optimal IMs are spectral acceleration, spectral velocity, spectral displacement at the fundamental period, acceleration spectrum intensity, effective peak acceleration, peak ground acceleration, A95, and sustained maximum acceleration. Moreover, weakly related IMs to the seismic performance of RCB are peak ground displacement, root-mean-square of displacement, specific energy density, root-mean-square of velocity, peak ground velocity, Housner intensity, velocity spectrum intensity, and sustained maximum velocity. Finally, a set of fragility curves of RCB are developed for optimal IMs.