A FCM-based deterministic forecasting model for fuzzy time series

  • Authors:

  • Sheng-Tun Li;Yi-Chung Cheng;Su-Yu Lin

  • Affiliations:

  • Institute of Information Management, National Cheng Kung University, Taiwan, ROC and Department of Industrial and Information Management, National Cheng Kung University, Taiwan, ROC;Department of Industrial and Information Management, National Cheng Kung University, Taiwan, ROC and Department of International Business Management, Tainan University of Technology, Taiwan, ROC;Institute of Information Management, National Cheng Kung University, Taiwan, ROC

  • Venue:
  • Computers & Mathematics with Applications
  • Year:
  • 2008

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Abstract

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 Li and Cheng [S.-T. Li, Y.-C. Cheng, Deterministic Fuzzy time series model for forecasting enrollments, Computers and Mathematics with Applications 53 (2007) 1904-1920] using a deterministic forecasting method. In this paper, 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.