• Journal of Korean Society of Industrial and Systems Engineering
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• v.37 no.4
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• pp.35-41
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• 2014

Real-life time series characteristic data has significant amount of non-stationary components, especially periodic components in nature. Extracting such components has required many ad-hoc techniques with external parameters set by users in a case-by-case manner. In this study, we used Empirical Mode Decomposition Method from Hilbert-Huang Transform to extract them in a systematic manner with least number of ad-hoc parameters set by users. After the periodic components are removed, the remaining time-series data can be analyzed with traditional methods such as ARIMA model. Then we suggest a different way of setting control chart limits for characteristic data with periodic components in addition to ARIMA components.

• Communications for Statistical Applications and Methods
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• v.22 no.5
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• pp.415-434
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• 2015

In this paper we overview the literature on common features analysis of economic time series. Starting from the seminal contributions by Engle and Kozicki (1993) and Vahid and Engle (1993), we present and discuss the various notions that have been proposed to detect and model common cyclical features in macroeconometrics. In particular, we analyze in details the link between common cyclical features and the reduced-rank regression model. We also illustrate similarities and differences between the common features methodology and other popular types of multivariate time series modelling. Finally, we discuss some recent developments in this area, such as the implications of common features for univariate time series models and the analysis of common autocorrelation in medium-large dimensional systems.

• Water for future
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• v.14 no.2
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• pp.71-79
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• 1981

This study is established of simulation models form the stochastic and statistic analysis of monthly rainfall and monthly runoff on south Han river. The time series simulation of monthly runoff is introduced with a linear stochastic model for simulating synthetic monthly runoff data. And, time series model of monthly pricipitation and monthly runoff is introduced to be a pure random time series with known statical parameter, which is characterized by an exponential recession curve with one parameter, and is develope expressing the statistical parameter for length of carryover.

• Communications for Statistical Applications and Methods
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• v.27 no.6
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• pp.589-602
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• 2020

The development of smart grids has enabled the easy collection of a large amount of power data. There are some common patterns that make it useful to cluster power consumption patterns when analyzing s power big data. In this paper, clustering analysis is based on distance functions for time series and clustering algorithms to discover patterns for power consumption data. In clustering, we use 10 distance measures to find the clusters that consider the characteristics of time series data. A simulation study is done to compare the distance measures for clustering. Cluster validity measures are also calculated and compared such as error rate, similarity index, Dunn index and silhouette values. Real power consumption data are used for clustering, with five distance measures whose performances are better than others in the simulation.

• Communications for Statistical Applications and Methods
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• v.29 no.6
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• pp.695-708
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• 2022

Recently, several studies have been conducted using state space model. In this study, a dynamic linear model with state space model form is applied to stock data. The monthly returns for 135 Korean stocks are fitted to a dynamic linear model, to obtain an estimate of the time-varying 𝛽-coefficient time-series. The model formula used for the return is a capital asset pricing model formula explained in economics. In particular, the transition equation of the state space model form is appropriately modified to satisfy the assumptions of the error term. k-shape clustering is performed to classify the 135 estimated 𝛽 time-series into several groups. As a result of the clustering, four clusters are obtained, each consisting of approximately 30 stocks. It is found that the distribution is different for each group, so that it is well grouped to have its own characteristics. In addition, a common pattern is observed for each group, which could be interpreted appropriately.

• Communications for Statistical Applications and Methods
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• v.31 no.1
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• pp.143-154
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• 2024

This paper considers a combined model of exponential smoothing (ETS) and autoregressive integrated moving average (ARIMA) models that are commonly used to forecast time series data. The combined model is constructed through an innovational state space model based on the level variable instead of the differenced variable, and the identifiability of the model is investigated. We consider the maximum likelihood estimation for the model parameters and suggest the model selection steps. The forecasting performance of the model is evaluated by two real time series data. We consider the three competing models; ETS, ARIMA and the trigonometric Box-Cox autoregressive and moving average trend seasonal (TBATS) models, and compare and evaluate their root mean squared errors and mean absolute percentage errors for accuracy. The results show that the combined model outperforms the competing models.

• Journal of Electrical Engineering and Technology
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• v.1 no.3
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• pp.313-319
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• 2006

This paper addresses improving the voltage stability limit of interface flow between two different regions in an electric power system using the Static Synchronous Series Compensator (SSSC). The paper presents a power flow analysis model of a SSSC, which is obtained from the injection model of a series voltage source inverter by adding the condition that the SSSC injection voltage is in quadrature with the current of the SSSC-installed transmission line. This model is implemented into the modified continuation power flow (MCPF) to investigate the effect of SSSCs on the interface flow. A methodology for determining the interface flow margin is simply briefed. As a case study, a 771-bus actual system is used to verify that SSSCs enhance the voltage stability limit of interface flow.

• The Transactions of the Korean Institute of Electrical Engineers
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• v.41 no.9
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• pp.1051-1059
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• 1992

In this paper, two general methods using time-series analysis in the functional separation of the myoelectric signal of human arm movements are developed. Autocorrelation, covariance method and sequential least squares algorithm were used to determine the model parameters and the order of signal model to describe six arm movement patterns` the forearm flexion and extension, the wrist pronation and supination, rotation-in and rotation-out. The confidence interval to classify the functions of arm movement was defined by the mean and standard deviation of total squared error. With the error signals of autoregressive(AR) model, the result showed that the highest success rate was obtained in the case of 4th order, and success rate was decreased with increase of order. Autocorrelation was the method of choice for better success rate. This technique might be applied to biomedical and rehabilitation engineering.

• The Korean Journal of Applied Statistics
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• v.24 no.6
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• pp.995-1006
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• 2011

A time series can be decomposed into simple components with a multiscale method. Empirical mode decomposition(EMD) is a recently invented multiscale method in Huang et al. (1998). It is natural to apply a classical prediction method such a vector autoregressive(AR) model to the obtained simple components instead of the original time series; in addition, a prediction procedure combining a classical prediction model to EMD and Hilbert spectrum is proposed in Kim et al. (2008). In this paper, we suggest to adopt principal component analysis(PCA) to the prediction procedure that enables the efficient selection of input variables among obtained components by EMD. We discuss the utility of adopting PCA in the prediction procedure based on EMD and Hilbert spectrum and analyze the daily worm account data by the proposed PCA adopted prediction method.

• Proceedings of the Korean Institute Of Construction Engineering and Management
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• autumn
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• pp.64-71
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• 2002

This research developed construction cost forecasting model using Building Construction Cost Index, time series analysis and Artificial Neural Networks. By this model, we could calculate the forecasted values of construction cost precisely and efficiently. And we also could find out that the standard deviation of forecasted values is 0.375 and it is a very exact result, so the standard deviation is just 0.33 percent of 112.28, the average of Building Construction Cost Index. And it show more exact forecasting result in comparison with Time Series Analysis.