Equivalences between neural-autoregressive time series models and fuzzy systems

  • Authors:
  • José Luis Aznarte;José Manuel Benítez

  • Affiliations:
  • Renewable Energy Research Group, Center for Energy and Processes of MINES ParisTech, Paris, France;Department of Computer Science and Artificial Intelligence, CITIC, University of Granada, Granada, Spain

  • Venue:
  • IEEE Transactions on Neural Networks
  • Year:
  • 2010

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Abstract

Soft computing (SC) emerged as an integrating framework for a number of techniques that could complement one another quite well (artificial neural networks, fuzzy systems, evolutionary algorithms, probabilistic reasoning). Since its inception, a distinctive goal has been to dig out the deep relationships among their components. This paper considers two wide families of SC models. On the one hand, the regime-switching autoregressive paradigm is a recent development in statistical time series modeling, and it includes a set of models closely related to artificial neural networks. On the other hand, we consider fuzzy rule-based systems in the framework of time series analysis. This paper discloses original results establishing functional equivalences between models of these two classes, and hence opens the door to a productive line of research where results and techniques from one area can be applied in the other. As a consequence of the equivalences presented in this paper, we prove the asymptotic stationarity of a class of fuzzy rule-based systems. Simulations based on information criteria show the importance of the selection of the proper membership function.