• Title/Summary/Keyword: Time series Data

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Development of a Period Analysis Algorithm for Detecting Variable Stars in Time-Series Observational Data

  • Kim, Dong-Heun;Kim, Yonggi;Yoon, Joh-Na;Im, Hong-Seo
    • Journal of Astronomy and Space Sciences
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    • v.36 no.4
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    • pp.283-292
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    • 2019
  • The purpose of this study was to develop a period analysis algorithm for detecting new variable stars in the time-series data observed by charge coupled device (CCD). We used the data from a variable star monitoring program of the CBNUO. The R filter data of some magnetic cataclysmic variables observed for more than 20 days were chosen to achieve good statistical results. World Coordinate System (WCS) Tools was used to correct the rotation of the observed images and assign the same IDs to the stars included in the analyzed areas. The developed algorithm was applied to the data of DO Dra, TT Ari, RXSJ1803, and MU Cam. In these fields, we found 13 variable stars, five of which were new variable stars not previously reported. Our period analysis algorithm were tested in the case of observation data mixed with various fields of view because the observations were carried with 2K CCD as well as 4K CCD at the CBNUO. Our results show that variable stars can be detected using our algorithm even with observational data for which the field of view has changed. Our algorithm is useful to detect new variable stars and analyze them based on existing time-series data. The developed algorithm can play an important role as a recycling technique for used data

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.

QP-DTW: Upgrading Dynamic Time Warping to Handle Quasi Periodic Time Series Alignment

  • Boulnemour, Imen;Boucheham, Bachir
    • Journal of Information Processing Systems
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    • v.14 no.4
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    • pp.851-876
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    • 2018
  • Dynamic time warping (DTW) is the main algorithms for time series alignment. However, it is unsuitable for quasi-periodic time series. In the current situation, except the recently published the shape exchange algorithm (SEA) method and its derivatives, no other technique is able to handle alignment of this type of very complex time series. In this work, we propose a novel algorithm that combines the advantages of the SEA and the DTW methods. Our main contribution consists in the elevation of the DTW power of alignment from the lowest level (Class A, non-periodic time series) to the highest level (Class C, multiple-periods time series containing different number of periods each), according to the recent classification of time series alignment methods proposed by Boucheham (Int J Mach Learn Cybern, vol. 4, no. 5, pp. 537-550, 2013). The new method (quasi-periodic dynamic time warping [QP-DTW]) was compared to both SEA and DTW methods on electrocardiogram (ECG) time series, selected from the Massachusetts Institute of Technology - Beth Israel Hospital (MIT-BIH) public database and from the PTB Diagnostic ECG Database. Results show that the proposed algorithm is more effective than DTW and SEA in terms of alignment accuracy on both qualitative and quantitative levels. Therefore, QP-DTW would potentially be more suitable for many applications related to time series (e.g., data mining, pattern recognition, search/retrieval, motif discovery, classification, etc.).

Wind Data Simulation Using Digital Generation of Non-Gaussian Turbulence Multiple Time Series with Specified Sample Cross Correlations (임의의 표본상호상관함수와 비정규확률분포를 갖는 다중 난류시계열의 디지털 합성방법을 이용한 풍속데이터 시뮬레이션)

  • Seong, Seung-Hak;Kim, Wook;Kim, Kyung-Chun;Boo, Jung-Sook
    • Journal of Korean Society for Atmospheric Environment
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    • v.19 no.5
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    • pp.569-581
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    • 2003
  • A method of synthetic time series generation was developed and applied to the simulation of homogeneous turbulence in a periodic 3 - D box and the hourly wind data simulation. The method can simulate almost exact sample auto and cross correlations of multiple time series and control non-Gaussian distribution. Using the turbulence simulation, influence of correlations, non-Gaussian distribution, and one-direction anisotropy on homogeneous structure were studied by investigating the spatial distribution of turbulence kinetic energy and enstrophy. An hourly wind data of Typhoon Robin was used to illustrate a capability of the method to simulate sample cross correlations of multiple time series. The simulated typhoon data shows a similar shape of fluctuations and almost exactly the same sample auto and cross correlations of the Robin.

Forecast of Influent Characteristics in Wastewater Treatment Plant with Time Series Model (시계열모델을 이용한 하수처리장 유입수 성상 예측)

  • Kim, Byung-Goon;Moon, Yong-Taik;Kim, Hong-Suck;Kim, Jong-Rack
    • Journal of Korean Society of Water and Wastewater
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    • v.21 no.6
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    • pp.701-707
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    • 2007
  • The information on the incoming load to wastewater treatment plants is not often available to apply to evaluate effects of control actions on the field plant. In this study, a time series model was developed to forecast influent flow rate, BOD, COD, SS, TN and TP concentrations using field operating data. The developed time series model could predict 1 day ahead forecasting results accurately. The coefficient of determination between measured data and 1 day ahead forecasting results has a range from 0.8898 to 0.9971. So, the corelation is relatively high. We made forecasting program based on the time series model developed and hope that the program will assist the operators in the stable operation in wastewater treatment plants.

Time-series InSAR Analysis and Post-processing Using ISCE-StaMPS Package for Measuring Bridge Displacements

  • Vadivel, Suresh Krishnan Palanisamy;Kim, Duk-jin;Kim, Young Cheol
    • Korean Journal of Remote Sensing
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    • v.36 no.4
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    • pp.527-534
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    • 2020
  • This study aims to monitor the displacement of the bridges using Stanford Method for Persistent Scatterers (StaMPS) time-series Persistent Scatterer Interferometric Synthetic Aperture Radar analysis. For case study bridges: Kimdaejung bridge and Deokyang bridge, we acquired 60 and 33 Cosmo-Skymed Synthetic Aperture Radar (SAR) data over the Mokpo region and Yeosu region, respectively from 2013 to 2019. With single-look interferograms, we estimated the long-term time-series displacements over the bridges. The time-series displacements were estimated as -8.8 mm/year and -1.34 mm/year at the mid-span over the selected bridges: Kimdaejung and Deokyang bridge, respectively. This time-series displacement provides reliable and high spatial resolution information to monitor the structural behavior of the bridge for preventing structural behaviors.

Stochastic structures of world's death counts after World War II

  • Lee, Jae J.
    • Communications for Statistical Applications and Methods
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    • v.29 no.3
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    • pp.353-371
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    • 2022
  • This paper analyzes death counts after World War II of several countries to identify and to compare their stochastic structures. The stochastic structures that this paper entertains are three structural time series models, a local level with a random walk model, a fixed local linear trend model and a local linear trend model. The structural time series models assume that a time series can be formulated directly with the unobserved components such as trend, slope, seasonal, cycle and daily effect. Random effect of each unobserved component is characterized by its own stochastic structure and a distribution of its irregular component. The structural time series models use the Kalman filter to estimate unknown parameters of a stochastic model, to predict future data, and to do filtering data. This paper identifies the best-fitted stochastic model for three types of death counts (Female, Male and Total) of each country. Two diagnostic procedures are used to check the validity of fitted models. Three criteria, AIC, BIC and SSPE are used to select the best-fitted valid stochastic model for each type of death counts of each country.

Multiple Model Fuzzy Prediction Systems with Adaptive Model Selection Based on Rough Sets and its Application to Time Series Forecasting (러프 집합 기반 적응 모델 선택을 갖는 다중 모델 퍼지 예측 시스템 구현과 시계열 예측 응용)

  • Bang, Young-Keun;Lee, Chul-Heui
    • Journal of the Korean Institute of Intelligent Systems
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    • v.19 no.1
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    • pp.25-33
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    • 2009
  • Recently, the TS fuzzy models that include the linear equations in the consequent part are widely used for time series forecasting, and the prediction performance of them is somewhat dependent on the characteristics of time series such as stationariness. Thus, a new prediction method is suggested in this paper which is especially effective to nonstationary time series prediction. First, data preprocessing is introduced to extract the patterns and regularities of time series well, and then multiple model TS fuzzy predictors are constructed. Next, an appropriate model is chosen for each input data by an adaptive model selection mechanism based on rough sets, and the prediction is going. Finally, the error compensation procedure is added to improve the performance by decreasing the prediction error. Computer simulations are performed on typical cases to verify the effectiveness of the proposed method. It may be very useful for the prediction of time series with uncertainty and/or nonstationariness because it handles and reflects better the characteristics of data.

Comparison of Stock Price Prediction Using Time Series and Non-Time Series Data

  • Min-Seob Song;Junghye Min
    • Journal of the Korea Society of Computer and Information
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    • v.28 no.8
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    • pp.67-75
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    • 2023
  • Stock price prediction is an important topic extensively discussed in the financial market, but it is considered a challenging subject due to numerous factors that can influence it. In this research, performance was compared and analyzed by applying time series prediction models (LSTM, GRU) and non-time series prediction models (RF, SVR, KNN, LGBM) that do not take into account the temporal dependence of data into stock price prediction. In addition, various data such as stock price data, technical indicators, financial statements indicators, buy sell indicators, short selling, and foreign indicators were combined to find optimal predictors and analyze major factors affecting stock price prediction by industry. Through the hyperparameter optimization process, the process of improving the prediction performance for each algorithm was also conducted to analyze the factors affecting the performance. As a result of feature selection and hyperparameter optimization, it was found that the forecast accuracy of the time series prediction algorithm GRU and LSTM+GRU was the highest.

Time Series Analysis and Forecasting of Electrical Conductivity in Coastal Aquifers (연안암반대수층의 해수침투경향성 파악을 위한 전기전도도 시계열 분석과 예측)

  • Ju, Jeong-Woung;Yeo, In Wook
    • Economic and Environmental Geology
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    • v.50 no.4
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    • pp.267-276
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    • 2017
  • Seawater intrusion into coastal fractured rock aquifer, resulting in groundwater contamination, is of serious concern in coastal areas of Jeolla Namdo, Korea, which heavily depends on groundwater resources. Time series analysis and forecasting were carried out to analyze and predict EC which is a major indicator of seawater intrusion. Two time series models of autoregressive integrated moving average (ARIMA) and seasonal autoregressive integrated moving average (SARIMA) were tested for suggesting appropriate time series model. Time series data of EC measured over one year showed a increasing trend with short periodic fluctuations, due to tidal effect and pumping, which indicated that EC time series data tended to be non-stationary. SARIMA model was found better fitted to observed EC than any other time series model. Time series analysis and modeling was found to be a useful tool to analyze EC at coastal fractured rock aquifer subject to seawater intrusion.