First-Order ARMA Type Fuzzy Time Series Method Based on Fuzzy Logic Relation Tables

• Published in: Mathematical problems in engineering Vol. 2013; no. 2013; pp. 1 - 12
• Main Author: Kocak, Cem
• Format: Journal Article
• Language: English
• Published: Cairo, Egypt Hindawi Publishing Corporation 01.01.2013; John Wiley & Sons, Inc
• Subjects: Autoregressive models; Autoregressive processes; Engineering; Forecasting; Forecasting techniques; Fractals; Fuzzy; Fuzzy logic; Fuzzy set theory; Fuzzy sets; Gold; Mathematical analysis; Mathematical models; Mathematical problems; Methods; Neural networks; Noise; Pricing; Statistics; Stock exchanges; Studies; Tables; Time series; Variables
• ISSN: 1024-123X; 1026-7077; 1563-5147; 1563-5147
• DOI: 10.1155/2013/769125

Fuzzy time series approaches have an important deficiency according to classical time series approaches. This deficiency comes from the fact that all of the fuzzy time series models developed in the literature use autoregressive (AR) variables, without any studies that also make use of moving averages (MAs) variables with the exception of only one study (Egrioglu et al. (2013)). In order to eliminate this deficiency, it is necessary to have many of daily life time series be expressed with Autoregressive Moving Averages (ARMAs) models that are based not only on the lagged values of the time series (AR variables) but also on the lagged values of the error series (MA variables). To that end, a new first-order fuzzy ARMA(1,1) time series forecasting method solution algorithm based on fuzzy logic group relation tables has been developed. The new method proposed has been compared against some methods in the literature by applying them on Istanbul Stock Exchange national 100 index (IMKB) and Gold Prices time series in regards to forecasting performance.