• Journal of the Korean Data and Information Science Society
• /
• v.18 no.4
• /
• pp.915-925
• /
• 2007

Multivariate GARCH has been useful to model dynamic relationships between volatilities arising from each component series of multivariate time series. Methodologies including EWMA(Exponentially weighted moving-average model), DVEC(Diagonal VEC model), BEKK and CCC(Constant conditional correlation model) models are comparatively reviewed for bivariate time series. In addition, these models are applied to evaluate VaR(Value at Risk) and to construct joint prediction region. To illustrate, bivariate stock prices data consisting of Samsung Electronics and LG Electronics are analysed.

• Journal of the Korean Institute of Intelligent Systems
• /
• v.19 no.5
• /
• pp.655-660
• /
• 2009

The context prediction algorithms are not suitable to provide real-time personalized service for users in context-awareness environment. The algorithms have problems like time delay in training data processing and the difficulties of implementation in real-time environment. In this paper, we propose a prediction algorithm with user modeling to shorten of processing time and to improve the prediction accuracy in the context prediction algorithm. The algorithm uses moving path of user contexts for context prediction and generates user model by time-series analysis of user's moving path. And that predicts the user context with the user model by sequence matching method. We compared our algorithms with the prediction algorithms by processing time and prediction accuracy. As the result, the prediction accuracy of our algorithm is similar to the prediction algorithms, and processing time is reduced by 40% in real time service environment.

• Journal of Environmental Science International
• /
• v.8 no.3
• /
• pp.349-354
• /
• 1999

The transfer function was introduced to establish the prediction method for the DO concentration at the intaking point of Kongju Water Works System. In the mose cases we analyze a single time series without explicitly using information contained in the related time series. In many forecasting situations, other events will systematically influence the series to be forecasted(the dependent variables), and therefore, there is need to go beyond a univariate forecasting model. Thus, we must bulid a forecasting model that incorporates more than one time series and introduces explicitly the dynamic characteristics of the system. Such a model is called a multiple time series model or transfer function model. The purpose of this study is to develop the stochastic stream water quality model for the intaking station of Kongju city waterworks in Keum river system. The performance of the multiplicative ARIMA model and the transfer function noise model were examined through comparisons between the historical and generated monthly dissolved oxygen series. The result reveal that the transfer function noise model lead to the improved accuracy.

• Journal of the Korea Institute of Information and Communication Engineering
• /
• v.25 no.11
• /
• pp.1471-1476
• /
• 2021

Flood damage can cause floods or tsunamis, which can result in enormous loss of life and property. In this regard, damage can be reduced by making a quick evacuation decision through flood prediction, and many studies are underway in this field to predict floods using time series data. In this paper, we propose a CNN-based time series prediction model. A CNN-based water level prediction model was implemented using the river level and precipitation, and the performance was confirmed by comparing it with the LSTM and GRU models, which are often used for time series prediction. In addition, by checking the performance difference according to the size of the input data, it was possible to find the points to be supplemented, and it was confirmed that better performance than LSTM and GRU could be obtained. Through this, it is thought that it can be utilized as an initial study for flood prediction.

• Structural Engineering and Mechanics
• /
• v.67 no.2
• /
• pp.105-113
• /
• 2018

To improve the prediction accuracy of the strong-unloading rock slope performance and obtain the range of variation in the slope displacement, a new displacement time-series prediction model is proposed, called the fuzzy information granulation (FIG)-genetic algorithm (GA)-back propagation neural network (BPNN) model. Initially, a displacement time series is selected as the training samples of the prediction model on the basis of an analysis of the causes of the change in the slope behavior. Then, FIG is executed to partition the series and obtain the characteristic parameters of every partition. Furthermore, the later characteristic parameters are predicted by inputting the earlier characteristic parameters into the GA-BPNN model, where a GA is used to optimize the initial weights and thresholds of the BPNN; in the process, the numbers of input layer nodes, hidden layer nodes, and output layer nodes are determined by a trial method. Finally, the prediction model is evaluated by comparing the measured and predicted values. The model is applied to predict the displacement time series of a strong-unloading rock slope in a hydropower station. The engineering case shows that the FIG-GA-BPNN model can obtain more accurate predicted results and has high engineering application value.

• International Journal of Advanced Culture Technology
• /
• v.10 no.1
• /
• pp.274-283
• /
• 2022

Korea is facing a number difficulties arising from rising housing prices. As 'housing' takes the lion's share in personal assets, many difficulties are expected to arise from fluctuating housing prices. The purpose of this study is creating housing price prediction model to prevent such risks and induce reasonable real estate purchases. This study made many attempts for understanding real estate instability and creating appropriate housing price prediction model. This study predicted and validated housing prices by using the LSTM technique - a type of Artificial Intelligence deep learning technology. LSTM is a network in which cell state and hidden state are recursively calculated in a structure which added cell state, which is conveyor belt role, to the existing RNN's hidden state. The real sale prices of apartments in autonomous districts ranging from January 2006 to December 2019 were collected through the Ministry of Land, Infrastructure, and Transport's real sale price open system and basic apartment and commercial district information were collected through the Public Data Portal and the Seoul Metropolitan City Data. The collected real sale price data were scaled based on monthly average sale price and a total of 168 data were organized by preprocessing respective data based on address. In order to predict prices, the LSTM implementation process was conducted by setting training period as 29 months (April 2015 to August 2017), validation period as 13 months (September 2017 to September 2018), and test period as 13 months (December 2018 to December 2019) according to time series data set. As a result of this study for predicting 'prices', there have been the following results. Firstly, this study obtained 76 percent of prediction similarity. We tried to design a prediction model of real estate transaction price with the LSTM Model based on AI and Bigdata. The final prediction model was created by collecting time series data, which identified the fact that 76 percent model can be made. This validated that predicting rate of return through the LSTM method can gain reliability.

• Proceedings of the KIEE Conference
• /
• 2004.07d
• /
• pp.2209-2211
• /
• 2004

Unlike the wavelet neural network, since a mother wavelet layer of the self-recurrent wavelet neural network (SRWNN) is composed of self-feedback neurons, it has the ability to store past information of the wavelet. Therefore we propose the prediction method for the nonlinear chaotic time series model using a SRWNN. The SRWNN model is learned for the modeling of a function such that the inputs arc known values of the time series and the output is the value in the future. The parameters of the network are tuned to minimize the difference between the nonlinear mapping of the chaotic time series and the output of SRWNN using the gradient-descent method for the adaptive backpropagation algorithm. Through the computer simulations, we demonstrate the feasibility and the effectiveness of our method for the prediction of the logistic map and the Mackey-Glass delay-differential equation as a nonlinear chaotic time series.

• Journal of the Korea Society of Computer and Information
• /
• v.16 no.2
• /
• pp.225-233
• /
• 2011

Stock market prices, economic indices, trends and changes of social phenomena, etc. are categorized as time series data. Research on time series data has been prevalent for a while as it could not only lead to valuable representation of data but also provide future trends as well as changes in direction. We take a conventional model based approach, known as Markov chain modeling for the prediction on stock market prices. To improve prediction accuracy, we apply Markov modeling over carefully selected intervals of training data to fit the trend under consideration to the model. Another method we take is to apply clustering to data and build models of the resultant clusters. We confirmed that clustered models are better off in predicting, however, with the loss of prediction rate.

• Journal of the Korea Society of Computer and Information
• /
• v.14 no.5
• /
• pp.19-28
• /
• 2009

Prediction problem of the time-series data has been a research issue for a long time among many researchers and a number of methods have been proposed in the literatures. In this paper, a method is proposed that similarities among time-series data are examined by use of Hidden Markov Model and Likelihood and future direction of the data movement is determined. Query sequence is modeled by Hidden Markov Modeling and then the model is examined over the pre-recorded time-series to find the subsequence which has the greatest similarity between the model and the extracted subsequence. The similarity is evaluated by likelihood. When the best subsequence is chosen, the next portion of the subsequence is used to predict the next phase of the data movement. A number of experiments with different parameters have been conducted to confirm the validity of the method. We used KOSPI to verify suggested method.

• Communications for Statistical Applications and Methods
• /
• v.18 no.3
• /
• pp.319-331
• /
• 2011

In this paper, we propose automatic procedures for the model selection of various univariate time series data. Automatic model selection is important, especially in data mining with large number of time series, for example, the number (in thousands) of signals accessing a web server during a specific time period. Several methods have been proposed for automatic model selection of time series. However, most existing methods focus on linear time series models such as exponential smoothing and autoregressive integrated moving average(ARIMA) models. The key feature that distinguishes the proposed procedures from previous approaches is that the former can be used for both linear time series models and nonlinear time series models such as threshold autoregressive(TAR) models and autoregressive moving average-generalized autoregressive conditional heteroscedasticity(ARMA-GARCH) models. The proposed methods select a model from among the various models in the prediction error sense. We also provide an R package autots that implements the proposed automatic model selection procedures. In this paper, we illustrate these algorithms with the artificial and real data, and describe the implementation of the autots package for R.