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

• Communications for Statistical Applications and Methods
• /
• v.30 no.4
• /
• pp.369-388
• /
• 2023

In this paper, we develop the two-step procedure that detects and estimates the position of structural changes for multivariate nonstationary time series, either on mean parameters or second-order structures. We first investigate the presence of mean structural change by monitoring data through the aggregated cumulative sum (CUSUM) type statistic, a sequential procedure identifying the likely position of the change point on its trend. If no mean change point is detected, the proposed method proceeds to scan the second-order structural change by modeling the multivariate nonstationary time series with a multivariate locally stationary Wavelet process, allowing the time-localized auto-correlation and cross-dependence. Under this framework, the estimated dynamic spectral matrices derived from the local wavelet periodogram capture the time-evolving scale-specific auto- and cross-dependence features of data. We then monitor the change point from the lower-dimensional approximated space of the spectral matrices over time by applying the dynamic principal component analysis. Different from existing methods requiring prior information on the type of changes between mean and covariance structures as an input for the implementation, the proposed algorithm provides the output indicating the type of change and the estimated location of its occurrence. The performance of the proposed method is demonstrated in simulations and the analysis of two real finance datasets.

• Proceedings of the Korea Society for Industrial Systems Conference
• /
• 2002.06a
• /
• pp.367-371
• /
• 2002

I construct a chaotically driven contraction system having some analogy with the information transfer mechanism in the brain system especially from CA1 cell to CA3 cell known from the empirical result. And I consider the properties of the response system on a state space according to the external input into the drive neuron by observing the fractal hierarchical structure. Then I induce the relation between the information about state transition of the chaotic time series and the spatial information on a fractal attractor to confirm the possibility of encoding of time series data to spatial information.

• The Transactions of The Korean Institute of Electrical Engineers
• /
• v.58 no.1
• /
• pp.173-180
• /
• 2009

It is difficult to predict non-stationary or chaotic time series which includes the drift and/or the non-linearity as well as uncertainty. To solve it, we propose an effective prediction method which adopts data preprocessing and multiple model TS fuzzy predictors combined with model selection mechanism. In data preprocessing procedure, the candidates of the optimal difference interval are determined based on the correlation analysis, and corresponding difference data sets are generated in order to use them as predictor input instead of the original ones because the difference data can stabilize the statistical characteristics of those time series and better reveals their implicit properties. Then, TS fuzzy predictors are constructed for multiple model bank, where k-means clustering algorithm is used for fuzzy partition of input space, and the least squares method is applied to parameter identification of fuzzy rules. Among the predictors in the model bank, the one which best minimizes the performance index is selected, and it is used for prediction thereafter. Finally, the error compensation procedure based on correlation analysis is added to improve the prediction accuracy. Some computer simulations are performed to verify the effectiveness of the proposed method.

• Journal of environmental and Sanitary engineering
• /
• v.15 no.2
• /
• pp.65-74
• /
• 2000

The purpose of this study is to develop the stochastic stream water quality model for the intake station of Chung-Ju city waterworks in the Han river system. This model was based on the theory of Box-Jenkins Multiplicative ARIMA(SARIMA) and the state space model to simulate changes of water qualities. Variable of water qualities included in the model are temperature and dissolved oxygen(DO). The models development were based on the data obtained from Jan. 1990 to Dec. 1997 and followed the typical procedures of the Box-Jenkins method including identification and estimation. The seasonality of DO and temperature data to formulate for the SARIMA model are conspicuous and the period of revolution was twelve months. Both models had seasonality of twelve months and were formulates as SARIMA {TEX}$(2,1,1)(1,1,1)_{12}${/TEX} for DO and temperature. The models were validated by testing normality and independency of the residuals. The prediction ability of SARIMA model and state space model were tested using the data collected from Jan. 1998 to Oct. 1999. There were good agreements between the model predictions and the field measurements. The performance of the SARIMA model and state space model were examined through comparisons between the historical and generated monthly dissolved oxygen series. The result reveal that the state space model lead to the improved accuracy.

• The Bulletin of The Korean Astronomical Society
• /
• v.42 no.2
• /
• pp.88.3-89
• /
• 2017

We present our experiences with open-source NoSQL database systems in analyzing spatial and temporal astronomical data. We conduct experiments of using Redis in-memory NoSQL database system by modifying and exploiting its support of geohash for astronmical spatial data. Our experiment focuses on performance, cost, difficulty, and scalability of the database system. We also test OpenTSDB as a possible NoSQL database system to process astronomical time-series data. Our experiments include ingesting, indexing, and querying millions or billions of astronomical time-series measurements. We choose our KMTNet data and the public VVV (VISTA Variables in the Via Lactea) catalogs as test data. We discuss issues in using these NoSQL database systems in astronomy.

• Journal of the Korean Statistical Society
• /
• v.25 no.4
• /
• pp.529-544
• /
• 1996

This paper deals with the problem of estimating the autoregressive random coefficient of a first-order random coefficient autoregressive time series model applied to panel data of time series. The autoregressive random coefficients across individual units are assumed to be a random sample from a truncated normal distribution with the space (-1, 1) for stationarity. The estimates of random coefficients are obtained by an empirical Bayes procedure using the estimates of model parameters. Also, a Monte Carlo study is conducted to support the estimation procedure proposed in this paper. Finally, we apply our results to the economic panel data in Liu and Tiao(1980).

• 제어로봇시스템학회:학술대회논문집
• /
• 2005.06a
• /
• pp.377-382
• /
• 2005

This paper presents a new method for the attitude control of planar space robots. In order to control highly constrained non-linear system such as a 3D space robot, the analytical formulation for the system with complex dynamics and effective control methodology based on the formulation, are not always obtainable. In the proposed method, correspondingly, a non-analytical but effective self-organizing modeling method for controlling a highly constrained system is proposed based on a polynomial data mining algorithm. In order to control the attitude of a planar space robot, it is well known to require inputs characterized by a special pattern in time series with a non-deterministic length. In order to correspond to this type of control paradigm, we adopt the Model Predictive Control (MPC) scheme where the length of the non-deterministic horizon is determined based on implementation cost and control performance. The optimal solution to finding the size of the input pattern is found by a solving two-stage programming problem.

• The Transactions of The Korean Institute of Electrical Engineers
• /
• v.59 no.1
• /
• pp.184-191
• /
• 2010

Many researchers have been considering genetic algorithms to system optimization problems. Especially, real-coded genetic algorithms are very effective techniques because they are simpler in coding procedures than binary-coded genetic algorithms and can reduce extra works that increase the length of chromosome for wide search space. Thus, this paper presents a fuzzy system design technique to improve the performance of the fuzzy system. The proposed system consists of two procedures. The primary tuning procedure coarsely tunes fuzzy sets of the system using the k-means clustering algorithm of which the structure is very simple, and then the secondary tuning procedure finely tunes the fuzzy sets using enhanced real-coded genetic algorithms based on the primary procedure. In addition, this paper constructs multiple fuzzy systems using a data preprocessing procedure which is contrived for reflecting various characteristics of nonlinear data. Finally, the proposed fuzzy system is applied to the field of time series prediction and the effectiveness of the proposed techniques are verified by simulations of typical time series examples.

• Journal of the Korean Data and Information Science Society
• /
• v.22 no.5
• /
• pp.829-837
• /
• 2011

Since Harvey (1989), many approaches for applying unobserved components (UC) models to both univariate and multivariate time series analysis have been developed. However, practitioners still tend to use traditional methods such as exponential smoothing or ARIMA models for modeling and predicting time series data. It is well known that the UC model combines the flexibility of ARIMA models and the easy interpretability of exponential smoothing models by using unobserved components such as trend, cycle, season, and irregular components. This study reviews the UC model and compares its relative performances with those of the other models in modeling and predicting the real gross domestic products (GDP) in Korea. We conclude that the optimal model is the UC model on basis of root mean squared error.