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Fuzzy-time-series network used to forecast linear and nonlinear time series

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<mark>Journal publication date</mark>27/09/2015
<mark>Journal</mark>Applied Intelligence
Issue number2
Volume43
Number of pages13
Pages (from-to)343-355
Publication StatusPublished
<mark>Original language</mark>English

Abstract

Non-probabilistic forecasting methods are commonly used in various scientific fields. Fuzzy-time-series methods are well-known non-probabilistic and nonlinear forecasting methods. Although these methods can produce accurate forecasts, linear autoregressive models can produce forecasts that are more accurate than those produced by fuzzy-time-series methods for some real-world time series. It is well known that hybrid forecasting methods are useful techniques for forecasting time series and that they have the capabilities of their components. In this study, a new hybrid forecasting method is proposed. The components of the new hybrid method are a high-order fuzzy-time-series forecasting model and autoregressive model. The new hybrid forecasting method has a network structure and is called a fuzzy-time-series network (FTS-N). The fuzzy c-means method is used for the fuzzification of time series in FTS-N, which is trained by particle swarm optimization. Istanbul Stock Exchange daily data sets from 2009 to 2013 and the Taiwan Stock Exchange Capitalization Weighted Stock Index data sets from 1999 to 2004 were used to evaluate the performance of FTS-N. The applications reveal that FTS-N produces more accurate forecasts for the 11 real-world time-series data sets.