• 제목/요약/키워드: Simple Time Series Model

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Comparison of Dimension Reduction Methods for Time Series Factor Analysis: A Case Study (Value at Risk의 사후검증을 통한 다변량 시계열자료의 차원축소 방법의 비교: 사례분석)

  • Lee, Dae-Su;Song, Seong-Joo
    • The Korean Journal of Applied Statistics
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    • v.24 no.4
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    • pp.597-607
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    • 2011
  • Value at Risk(VaR) is being widely used as a simple tool for measuring financial risk. Although VaR has a few weak points, it is used as a basic risk measure due to its simplicity and easiness of understanding. However, it becomes very difficult to estimate the volatility of the portfolio (essential to compute its VaR) when the number of assets in the portfolio is large. In this case, we can consider the application of a dimension reduction technique; however, the ordinary factor analysis cannot be applied directly to financial data due to autocorrelation. In this paper, we suggest a dimension reduction method that uses the time-series factor analysis and DCC(Dynamic Conditional Correlation) GARCH model. We also compare the method using time-series factor analysis with the existing method using ordinary factor analysis by backtesting the VaR of real data from the Korean stock market.

Coherent Forecasting in Binomial AR(p) Model

  • Kim, Hee-Young;Park, You-Sung
    • Communications for Statistical Applications and Methods
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    • v.17 no.1
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    • pp.27-37
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    • 2010
  • This article concerns the forecasting in binomial AR(p) models which is proposed by Wei$\ss$ (2009b) for time series of binomial counts. Our method extends to binomial AR(p) models a recent result by Jung and Tremayne (2006) for integer-valued autoregressive model of second order, INAR(2), with simple Poisson innovations. Forecasts are produced by conditional median which gives 'coherent' forecasts, and we estimate the forecast distributions of future values of binomial AR(p) models by means of a Monte Carlo method allowing for parameter uncertainty. Model parameters are estimated by the method of moments and estimated standard errors are calculated by means of block of block bootstrap. The method is fitted to log data set used in Wei$\ss$ (2009b).

A Study on the Prediction of the World Seaborne Trade Volume through the Exponential Smoothing Method and Seemingly Unrelated Regression Model (지수평활법과 SUR 모형을 통한 세계 해상물동량 예측 연구)

  • Ahn, Young-Gyun
    • Korea Trade Review
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    • v.44 no.2
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    • pp.51-62
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    • 2019
  • This study predicts the future world seaborne trade volume with econometrics methods using 23-year time series data provided by Clarksons. For this purpose, this study uses simple regression analysis, exponential smoothing method and seemingly unrelated regression model (SUR Model). This study is meaningful in that it predicts worldwide total seaborne trade volume and seaborne traffic in four major items (container, bulk, crude oil, and LNG) from 2019 to 2023 as there are few prior studies that predict future seaborne traffic using recent data. It is expected that more useful references can be provided to trade related workers if the analysis period was increased and additional variables could be included in future studies.

Airline In-flight Meal Demand Forecasting with Neural Networks and Time Series Models (인공신경망을 이용한 항공기 기내식 수요예측의 예측력 개선 방안에 관한 연구)

  • Lee, Young-Chan;Seo, Chang-Gab
    • The Journal of Information Systems
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    • v.10 no.2
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    • pp.151-164
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    • 2001
  • 현재의 항공사 기내식 수요예측 시스템으로는 항공기 운항의 지연이나 초과 주문으로 인한 손실 문제를 해결하기 힘든 것으로 알려져 있다. 이러한 문제를 해결하기 위해 본 연구에서는 항공기 기내식 시계열 자료만을 입력변수로 사용한 단순인공신경망모형(simple neural network model), 단순인공신경망모형에 전통적인 시계열 기법(본 연구에서는 지수 평활법)의 예측 결과를 입력변수로 추가한 혼합인공신경망모형(hybrid neural network model), 그리고 혼합인공신경 망 모형에 상관관계가 높은 다른 시계열 자료(본 논문에서는 유사 노선의 다른 항공기 기내식 시계열 자료)를 인공신경망의 입력변수로 추가시킨 하이퍼혼합인공신경망모형(hyper hybrid neural network model)을 새로운 항공기 기내식 수요예측 기법으로 제안하고, 이들 모형의 예측력을 비교 분석하였다. 분석 결과 하이퍼혼합인공신경망 모형의 예측력이 가장 우수한 것으로 나타나, 인공신경 망을 기반으로 한 수요예측에 있어 상관관계가 높은 다른 시계열 자료를 입력변수로 추가함으로써 인공신경망모형의 예측력을 개선시킬 수 있음을 알 수 있었다

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Analytical Solutions to a One-Dimensional Model for Stratified Thermal Storage Tanks (성층화된 축열조의 1차원모델에 대한 해석적인 해)

  • Yoo, H.;Pak, E.-T.
    • Korean Journal of Air-Conditioning and Refrigeration Engineering
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    • v.7 no.1
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    • pp.42-51
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    • 1995
  • In order to establish a theoretical basis for the analyses of transient behaviors in stratified thermal storage tanks, analytical approaches to an improved one-dimensional model are made. In the present model the storage tank is treated as a finite region with an adiabatic tank exit, whereas it has been considered as a simple semi-infinite region previously. Application of the Laplace transformation and the Inversion theorem to the governing equations makes it possible to obtain an exact infinite-series solution, which is convergent only at sufficiently large time. Accordingly a complementary solution which is available for short times, i.e., the time range of this study is sought by an approximate method. The approximate solution which is rigorously validated through the examination of neglected terms in the solution procedure agrees quite well with the exact one. Moreover, it is simpler to use and more convenient to interpret the physical meaning of the solution. Comparison of the present solution with the previous ones shows relatively large difference near the tank bottom, which results from the more realistic boundary condition adopted in the present model. Some representative results by the approximate solution including effects of the Peclet number on temperature distrbutions are illustrated to show the utility of this study. In consequence, it is expected that the present results based on the improved model replace the foregoing ones as a new theoretical reference for studies of thermal stratification fields.

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Estimation of Smoothing Constant of Minimum Variance and Its Application to Shipping Data with Trend Removal Method

  • Takeyasu, Kazuhiro;Nagata, Keiko;Higuchi, Yuki
    • Industrial Engineering and Management Systems
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    • v.8 no.4
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    • pp.257-263
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    • 2009
  • Focusing on the idea that the equation of exponential smoothing method (ESM) is equivalent to (1, 1) order ARMA model equation, new method of estimation of smoothing constant in exponential smoothing method is proposed before by us which satisfies minimum variance of forecasting error. Theoretical solution was derived in a simple way. Mere application of ESM does not make good forecasting accuracy for the time series which has non-linear trend and/or trend by month. A new method to cope with this issue is required. In this paper, combining the trend removal method with this method, we aim to improve forecasting accuracy. An approach to this method is executed in the following method. Trend removal by a linear function is applied to the original shipping data of consumer goods. The combination of linear and non-linear function is also introduced in trend removal. For the comparison, monthly trend is removed after that. Theoretical solution of smoothing constant of ESM is calculated for both of the monthly trend removing data and the non monthly trend removing data. Then forecasting is executed on these data. The new method shows that it is useful especially for the time series that has stable characteristics and has rather strong seasonal trend and also the case that has non-linear trend. The effectiveness of this method should be examined in various cases.

Study on the Material Parameter Extraction of the Overlay Model for the Low Cycle Fatigue(LCF) Analysis (저주기 피로해석을 위한 다층모델의 재료상수 추출에 관한 연구)

  • Kim, Sang-Ho;Kabir, S.M. Humayun;Yeo, Tae-In
    • Transactions of the Korean Society of Automotive Engineers
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    • v.18 no.1
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    • pp.66-73
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    • 2010
  • This work was focused on the material parameter extraction for the isothermal cyclic deformation analysis for which Chaboche(Combined Nonlinear Isotropic and Kinematic Hardening) and Overlay(Multi Linear Hardening) models are normally used. In this study all the parameters were driven especially based on Overlay theories. A simple method is suggested to find out best material parameters for the cyclic deformation analysis prior to the isothermal LCF(Low Cycle Fatigue) analysis. The parameter extraction was done using 400 series stainless steel data which were published in the reference papers. For simple and quick review of the parameters extracted by suggested method, 1D FORTRAN program was developed, and this program could reduce the time for checking the material data tremendously. For the application to FE code ABAQUS user subroutine for the material models was developed by means of UMAT(User Material Subroutine), and the stabilized hysteresis loops obtained by the numerical analysis were in good harmony with test results.

A Study on the Outliers Detection in the Number of Railway Passengers for the Gyeongbu Line From Seoul to Major Cities Using a Time Series Outlier Detection Technique (시계열 이상치 탐지 기법을 활용한 경부선 주요도시 철도 승객수의 이상치 탐색 연구)

  • LEE, Jiseon;YOON, Yoonjin
    • Journal of Korean Society of Transportation
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    • v.35 no.6
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    • pp.469-480
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    • 2017
  • On April 1, 2004, KTX (Korea Train eXpress), the first HSR (High-Speed Rail) in Korea, was introduced to Gyeongbu Line. The introduction of the KTX service led to a change in the number of passengers for Gyeongbu Line. Previous studies have analyzed the pre and post-event changes of the intervening events by either simple statistics or intervention ARIMA analysis. However, the intervention ARIMA model has a limitation that several assumptions such as the occurrence time and the type of intervention events are necessary. To this end, this study analyzed the effects of intervention event on the number of passengers using the Gyeongbu line based on a time series outlier detection technique which can overcome limitations in the previous studies. The time series outlier detection technique can analyze the time, effect type and size of an intervention event without the assumption of the time and effect type of the intervention event. The data were collected from the Korea Transport Database (KTDB) for twelve years from 2003 to 2014 (144 months). The analysis results showed that the size of the influence type in the same intervention events was different across the major city routes, and the intervention event which could not be found by previous study methods was also found.

A Simple Real-Time DMPPT Algorithm for PV Systems Operating under Mismatch Conditions

  • Aniruddha, Kamath M.;Jayanta, Biswas;Anjana, K.G.;Mukti, Barai
    • Journal of Power Electronics
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    • v.18 no.3
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    • pp.826-840
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    • 2018
  • This paper presents a distributed maximum power point tracking (DMPPT) algorithm based on the reference voltage perturbation (RVP) method for the PV modules of a series PV string. The proposed RVP-DMPPT algorithm is developed to accurately track the maximum power point (MPP) for each PV module operating under all atmospheric conditions with a reduced hardware overhead. To study the influence of parameters such as the controller reference voltage ($V_{ref}$) and PV current ($I_{pv}$) on the PV string voltage, a small signal model of a unidirectional differential power processing (DPP) based PV-Bus architecture is developed. The steady state and dynamic performances of the proposed RVP DMPPT algorithm and small signal model of the unidirectional DPP based PV-Bus architecture are demonstrated with simulations and experimental results. The accuracy of the RVP DMPPT algorithm is demonstrated by obtaining a tracking efficiency of 99.4% from the experiment.

Change-Point in the Recent (1976-2005) Precipitation over South Korea (우리나라에서 최근 (1976-2005) 강수의 변화 시점)

  • Kim, Chansoo;Suh, Myoung-Seok
    • Atmosphere
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    • v.18 no.2
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    • pp.111-120
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    • 2008
  • This study presents a change-point in the 30 years (1976-2005) time series of the annual and the heavy precipitation characteristics (amount, days and intensity) averaged over South Korea using Bayesian approach. The criterion for the heavy precipitation used in this study is 80 mm/day. Using non-informative priors, the exact Bayes estimators of parameters and unknown change-point are obtained. Also, the posterior probability and 90% highest posterior density credible intervals for the mean differences between before and after the change-point are examined. The results show that a single change-point in the precipitation intensity and the heavy precipitation characteristics has occurred around 1996. As the results, the precipitation intensity and heavy precipitation characteristics have clearly increased after the change-point. However, the annual precipitation amount and days show a statistically insignificant single change-point model. These results are consistent with earlier works based on a simple linear regression model.