A Bayesian Multiple Models Combination Method for Time Series Prediction
Journal of Intelligent and Robotic Systems
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We introduce the so-called predictive modular fuzzy system (PREMOFS) which performs time-series classification. A PREMOFS consists of 1) a bank of prediction modules and 2) a fuzzy decision module. It is assumed that the time series is generated by a source belonging to a finite search set (universal set); then the classification problem is to select the source that best represents the observed data, Classification is based on a membership function which is updated recursively according to the predictive accuracy of each model. Two algorithms are presented for updating the membership function. The first is based on sum/product fuzzy inference and the second on max/min fuzzy inference. In short, PREMOFS is a fuzzy modular system that classifies time series to one of a finite number of classes using the full set of past data (without preprocessing) to perform a recursive competitive computation of membership function based on predictive accuracy. Convergence proofs are given for both PREMOFS algorithms; in both cases the membership grade tends to one for the source that best predicts the observed data and to less than one for the remaining sources; hence, correct classification is guaranteed. Simulation results are also presented: PREMOFS are applied to signal detection, system identification, and phoneme classification tasks