Home > Research > Publications & Outputs > An ARMA type fuzzy time series forecasting meth...

Links

Text available via DOI:

View graph of relations

An ARMA type fuzzy time series forecasting method based on particle swarm optimization

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Published
Close
Article number935815
<mark>Journal publication date</mark>19/08/2013
<mark>Journal</mark>Mathematical Problems in Engineering
Volume2013
Number of pages12
Publication StatusPublished
<mark>Original language</mark>English

Abstract

In the literature, fuzzy time series forecasting models generally include fuzzy lagged variables. Thus, these fuzzy time series models have only autoregressive structure. Using such fuzzy time series models can cause modeling error and bad forecasting performance like in conventional time series analysis. To overcome these problems, a new first-order fuzzy time series which forecasting approach including both autoregressive and moving average structures is proposed in this study. Also, the proposed model is a time invariant model and based on particle swarm optimization heuristic. To show the applicability of the proposed approach, some methods were applied to five time series which were also forecasted using the proposed method. Then, the obtained results were compared to those obtained from other methods available in the literature. It was observed that the most accurate forecast was obtained when the proposed approach was employed.