• 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.).

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

• KIPS Transactions on Software and Data Engineering
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• v.11 no.2
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• pp.81-86
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• 2022

Given that time series are used in various fields, such as finance, IoT, and manufacturing, data analytical methods for accurate time-series forecasting can serve to increase operational efficiency. Among time-series analysis methods, multi-horizon forecasting provides a better understanding of data because it can extract meaningful statistics and other characteristics of the entire time-series. Furthermore, time-series data with exogenous information can be accurately predicted by using multi-horizon forecasting methods. However, traditional deep learning-based models for time-series do not account for the heterogeneity of inputs. We proposed an improved time-series predicting method, called the temporal fusion transformer method, which combines multi-horizon forecasting with interpretable insights into temporal dynamics. Various real-world data such as stock prices, fine dust concentrates and electricity consumption were considered in experiments. Experimental results showed that our temporal fusion transformer method has better time-series forecasting performance than existing models.

• Journal of the Korean Operations Research and Management Science Society
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• v.38 no.2
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• pp.65-73
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• 2013

In the simulation output analysis, bootstrap method is an applicable resampling technique to insufficient data which are not significant statistically. The moving block bootstrap, the stationary bootstrap, and the threshold bootstrap are typical bootstrap methods to be used for autocorrelated time series data. They are nonparametric methods for stationary time series data, which correctly describe the original data. In the simulation output analysis, however, we may not use them because of the non-stationarity in the data set caused by the trend such as increasing or decreasing. In these cases, we can get rid of the trend by differencing the data, which guarantees the stationarity. We can get the bootstrapped data from the differenced stationary data. Taking a reverse transform to the bootstrapped data, finally, we get the pseudo-samples for the original data. In this paper, we introduce the applicability of bootstrap methods to the time series data having trend, and then verify it through the statistical analyses.

• Communications for Statistical Applications and Methods
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• v.22 no.3
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• pp.209-222
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• 2015

Time series are used in many studies for model building and analysis. We must be very careful to understand the kind of time series data used in the analysis. In this review article, we will begin with some issues related to the use of aggregate and systematic sampling time series. Since several time series are often used in a study of the relationship of variables, we will also consider vector time series modeling and analysis. Although the basic procedures of model building between univariate time series and vector time series are the same, there are some important phenomena which are unique to vector time series. Therefore, we will also discuss some issues related to vector time models. Understanding these issues is important when we use time series data in modeling and analysis, regardless of whether it is a univariate or multivariate time series.

• Communications for Statistical Applications and Methods
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• v.21 no.6
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• pp.471-486
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• 2014

This study introduces a new type of symbolic data, a candle chart-valued time series. We aggregate four stock indices (i.e., open, close, highest and lowest) as a one data point to summarize a huge amount of data. In other words, we consider a candle chart, which is constructed by open, close, highest and lowest stock indices, as a type of symbolic data for a long period. The proposed candle chart-valued time series effectively summarize and visualize a huge data set of stock indices to easily understand a change in stock indices. We also propose novel approaches for the candle chart-valued time series modeling based on a combination of two midpoints and two half ranges between the highest and the lowest indices, and between the open and the close indices. Furthermore, we propose three types of sum of square for estimation of the candle chart valued-time series model. The proposed methods take into account of information from not only ordinary data, but also from interval of object, and thus can effectively perform for time series modeling (e.g., forecasting future stock index). To evaluate the proposed methods, we describe real data analysis consisting of the stock market indices of five major Asian countries'. We can see thorough the results that the proposed approaches outperform for forecasting future stock indices compared with classical data analysis.

• Transactions of the Korean Society of Machine Tool Engineers
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• v.14 no.5
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• pp.7-12
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• 2005

This paper presents several time series methods to analyze the chatter mechanics by using the power spectrum of these algorithms considering the cutting dynamics. In this study, several time series models such as AR(burg, forwardbackward, geometric lattice, instrument variable, least square, Yule Walker), ARX(1s, iv4), ARMAX, ARMA, Box Jenkins, Output Error were modeled and compared with one another. Finally, it was proven that time series modelings are also a desirable and reliable algorithm than the other conventional methods(FFT) for the calculation of the chatter mode in turning operation. Also, the spectrum of times series methods is a little bit more powerful than the FFT fer the detection of a high noisy and weak chatter mode. The radial cutting force Fy has been used for spectrum and chatter stability lobe analysis in this study.

• Proceedings of the Korea Contents Association Conference
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• 2003.11a
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• pp.290-297
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• 2003

A time-series database is a set of data sequences, each of which is a list of changing values corresponding to an object. Subsequence matching under time warping is defined as an operation that finds such subsequences whose time warping distance to a given query sequence are below a tolerance from a time-series database. In this paper, we first point out the characteristics of the previous methods for time-series sequence matching under time warping, and then discuss the approaches for applying them to whole matching as well as subsequence matching. Also, we perform quantitative performance evaluation via a series of experiments with real-life data. There have not been such researches in the literature that compare the performances of all the previous methods of subsequence matching under time warping. Thus, our results would be used as a good reference for showing their relative performances.

• Proceedings of the Korea Information Processing Society Conference
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• 2023.05a
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• pp.377-379
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• 2023

Concept drift detection on data stream is the major issue to maintain the performance of the machine learning model. Since the online stream is to be a function of time, the classical statistic methods are hard to apply. In particular case of seasonal time series, a novel window strategy with Fourier analysis however, gives a chance to adapt the classical methods on the series. We explore the KS-test for an adaptation of the periodic time series and show that this strategy handles a complicate time series as an ordinary tabular dataset. We verify that the detection with the strategy takes the second place in time delay and shows the best performance in false alarm rate and detection accuracy comparing to that of arbitrary window sizes.

• Electronics and Telecommunications Trends
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• v.36 no.4
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• pp.145-153
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• 2021

Data imputation is a crucial issue in data analysis because quality data are highly correlated with the performance of AI models. Particularly, it is difficult to collect quality time-series data for uncertain situations (for example, electricity blackout, delays for network conditions). Thus, it is necessary to research effective methods of time-series data imputation. Many studies on time-series data imputation can be divided into 5 parts, including statistical based, matrix-based, regression-based, deep learning (RNN and GAN) based methodologies. This study reviews and organizes these methodologies. Recently, deep learning-based imputation methods are developed and show excellent performance. However, it is associated to some computational problems that make it difficult to use in real-time system. Thus, the direction of future work is to develop low computational but high-performance imputation methods for application in the real field.