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A new hybrid approach based on SARIMA and partial high order bivariate fuzzy time series forecasting model

Research output: Contribution to journalJournal articlepeer-review

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  • Erol Egrioglu
  • Cagdas Hakan Aladag
  • Ufuk Yolcu
  • Murat A. Basaran
  • Vedide R. Uslu
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<mark>Journal publication date</mark>1/05/2009
<mark>Journal</mark>Expert Systems with Applications
Issue number4
Volume36
Number of pages11
Pages (from-to)7424-7434
Publication StatusPublished
<mark>Original language</mark>English

Abstract

In the literature, there have been many studies using fuzzy time series for the purpose of forecasting. The most studied model is the first order fuzzy time series model. In this model, an observation of fuzzy time series is obtained by using the previous observation. In other words, only the first lagged variable is used when constructing the first order fuzzy time series model. Therefore, this model can not be sufficient for some time series such as seasonal time series which is an important class in time series models. Besides, the time series encountered in real life have not only autoregressive (AR) structure but also moving average (MA) structure. The fuzzy time series models available in the literature are AR structured and are not appropriate for MA structured time series. In this paper, a hybrid approach is proposed in order to analyze seasonal fuzzy time series. The proposed hybrid approach is based on partial high order bivariate fuzzy time series forecasting model which is first introduced in this paper. The order of this model is determined by utilizing Box-Jenkins method. In order to show the efficiency of the proposed hybrid method, real time series are analyzed with this method. The results obtained from the proposed method are compared with the other methods. As a result, it is observed that more accurate results are obtained from the proposed hybrid method.