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A FCM-based deterministic forecasting model for fuzzy time series. (English) Zbl 1165.62342

Summary: The study of fuzzy time series has increasingly attracted much attention due to its salient capabilities of tackling uncertainty and vagueness inherent in the data collected. A variety of forecasting models, including high-order models, have been devoted to improving forecasting accuracy. However, the high-order forecasting approach is accompanied by the crucial problem of determining an appropriate order number. Consequently, such a deficiency was recently solved by the first two authors [Comput. Math. Appl. 53, No. 12, 1904–1920 (2007; Zbl 1121.62078)] using a deterministic forecasting method.
We propose a novel forecasting model to enhance forecasting functionality and allow processing of two-factor forecasting problems. In addition, this model applies fuzzy \(c\)-means (FCM) clustering to deal with interval partitioning, which takes the nature of data points into account and produces unequal-sized intervals. Furthermore, in order to cope with the randomness of initially assigned membership degrees of FCM clustering, Monte Carlo simulations are used to justify the reliability of the proposed model. The superior accuracy of the proposed model is demonstrated by experiments comparing it to other existing models using real-world empirical data.

MSC:

62M20 Inference from stochastic processes and prediction
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C05 Monte Carlo methods

Citations:

Zbl 1121.62078
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References:

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