A Best-Match Forecasting Model for High-Order Fuzzy Time Series

Yi Chung Cheng, Sheng-Tun Li

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

An area of Fuzzy time series has attracted increasing interest in the past decade since Song and Chissom's pioneering work and Chen's milestone study. Various enhancements and generalizations have been subsequently proposed, including high-order fuzzy time series. One of the key steps in the Chen's framework is to derive fuzzy relationships existing in a fuzzy time series and to encode the relationships as IF-THEN production rules. A generic exact-match strategy is then applied to the forecasting process. However, the uncertainty and fuzziness characteristics inherent to the fuzzy relationships tend to be overlooked due to the nature of the matching strategies. This omission could lead to inferior forecasting outcomes, particularly in the case of high-order fuzzy time series. In this study, to overcome this shortcoming we propose a best-match strategy forecasting method based on the fuzzy similarity measure. The experiments concerning Taiwan Weighted Stock Index and Dow Jones Industrial Average are reported. We show the effectiveness of the model by running some comparative analysis using some models well-known in the literature.

Original languageEnglish
Title of host publicationTime Series Analysis, Modeling and Applications
Subtitle of host publicationA Computational Intelligence Perspective
Pages331-345
Number of pages15
Volume47
DOIs
Publication statusPublished - 2013

Publication series

NameIntelligent Systems Reference Library
Volume47
ISSN (Print)1868-4394
ISSN (Electronic)1868-4408

Fingerprint

time series
Time series
song
Taiwan
uncertainty
experiment
Experiments

All Science Journal Classification (ASJC) codes

  • Computer Science(all)
  • Information Systems and Management
  • Library and Information Sciences

Cite this

Cheng, Y. C., & Li, S-T. (2013). A Best-Match Forecasting Model for High-Order Fuzzy Time Series. In Time Series Analysis, Modeling and Applications: A Computational Intelligence Perspective (Vol. 47, pp. 331-345). (Intelligent Systems Reference Library; Vol. 47). https://doi.org/10.1007/1007/978-3-642-33439-9_15
Cheng, Yi Chung ; Li, Sheng-Tun. / A Best-Match Forecasting Model for High-Order Fuzzy Time Series. Time Series Analysis, Modeling and Applications: A Computational Intelligence Perspective. Vol. 47 2013. pp. 331-345 (Intelligent Systems Reference Library).
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Cheng, YC & Li, S-T 2013, A Best-Match Forecasting Model for High-Order Fuzzy Time Series. in Time Series Analysis, Modeling and Applications: A Computational Intelligence Perspective. vol. 47, Intelligent Systems Reference Library, vol. 47, pp. 331-345. https://doi.org/10.1007/1007/978-3-642-33439-9_15

A Best-Match Forecasting Model for High-Order Fuzzy Time Series. / Cheng, Yi Chung; Li, Sheng-Tun.

Time Series Analysis, Modeling and Applications: A Computational Intelligence Perspective. Vol. 47 2013. p. 331-345 (Intelligent Systems Reference Library; Vol. 47).

Research output: Chapter in Book/Report/Conference proceedingChapter

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Cheng YC, Li S-T. A Best-Match Forecasting Model for High-Order Fuzzy Time Series. In Time Series Analysis, Modeling and Applications: A Computational Intelligence Perspective. Vol. 47. 2013. p. 331-345. (Intelligent Systems Reference Library). https://doi.org/10.1007/1007/978-3-642-33439-9_15