Autoregressive time series prediction by means of fuzzy inference systems using nonparametric residual variance estimation

We propose an automatic methodology framework for short- and long-term prediction of time series by means of fuzzy inference systems. In this methodology, fuzzy techniques and statistical techniques for nonparametric residual variance estimation are combined in order to build autoregressive predictive models implemented as fuzzy inference systems. Nonparametric residual variance estimation plays a key role in driving the identification and learning procedures. Concrete criteria and procedures within the proposed methodology framework are applied to a number of time series prediction problems. The learn from examples method introduced by Wang and Mendel (W&M) is used for identification. The Levenberg–Marquardt (L–M) optimization method is then applied for tuning. The W&M method produces compact and potentially accurate inference systems when applied after a proper variable selection stage. The L–M method yields the best compromise between accuracy and interpretability of results, among a set of alternatives. Delta test based residual variance estimations are used in order to select the best subset of inputs to the fuzzy inference systems as well as the number of linguistic labels for the inputs. Experiments on a diverse set of time series prediction benchmarks are compared against least-squares support vector machines (LS-SVM), optimally pruned extreme learning machine (OP-ELM), and k-NN based autoregressors. The advantages of the proposed methodology are shown in terms of linguistic interpretability, generalization capability and computational cost. Furthermore, fuzzy models are shown to be consistently more accurate for prediction in the case of time series coming from real-world applications.Ministerio de Ciencia e Innovación TEC2008-04920Junta de Andalucía P08-TIC-03674, IAC07-I-0205:33080, IAC08-II-3347:5626

Neutro-Connectedness Theory, Algorithms and Applications

Connectedness is an important topological property and has been widely studied in digital topology. However, three main challenges exist in applying connectedness to solve real world problems: (1) the definitions of connectedness based on the classic and fuzzy logic cannot model the “hidden factors” that could influence our decision-making; (2) these definitions are too general to be applied to solve complex problem; and (4) many measurements of connectedness are heavily dependent on the shape (spatial distribution of vertices) of the graph and violate the intuitive idea of connectedness. This research focused on solving these challenges by redesigning the connectedness theory, developing fast algorithms for connectedness computation, and applying the newly proposed theory and algorithms to solve challenges in real problems. The newly proposed Neutro-Connectedness (NC) generalizes the conventional definitions of connectedness and can model uncertainty and describe the part and the whole relationship. By applying the dynamic programming strategy, a fast algorithm was proposed to calculate NC for general dataset. It is not just calculating NC map, and the output NC forest can discover a dataset’s topological structure regarding connectedness. In the first application, interactive image segmentation, two approaches were proposed to solve the two most difficult challenges: user interaction-dependence and intense interaction. The first approach, named NC-Cut, models global topologic property among image regions and reduces the dependence of segmentation performance on the appearance models generated by user interactions. It is less sensitive to the initial region of interest (ROI) than four state-of-the-art ROI-based methods. The second approach, named EISeg, provides user with visual clues to guide the interacting process based on NC. It reduces user interaction greatly by guiding user to where interacting can produce the best segmentation results. In the second application, NC was utilized to solve the challenge of weak boundary problem in breast ultrasound image segmentation. The approach can model the indeterminacy resulted from weak boundaries better than fuzzy connectedness, and achieved more accurate and robust result on our dataset with 131 breast tumor cases

Epileptic Seizure Detection And Prediction From Electroencephalogram Using Neuro-Fuzzy Algorithms

This dissertation presents innovative approaches based on fuzzy logic in epileptic seizure detection and prediction from Electroencephalogram (EEG). The fuzzy rule-based algorithms were developed with the aim to improve quality of life of epilepsy patients by utilizing intelligent methods. An adaptive fuzzy logic system was developed to detect seizure onset in a patient specific way. Fuzzy if-then rules were developed to mimic the human reasoning and taking advantage of the combination in spatial-temporal domain. Fuzzy c-means clustering technique was utilized for optimizing the membership functions for varying patterns in the feature domain. In addition, application of the adaptive neuro-fuzzy inference system (ANFIS) is presented for efficient classification of several commonly arising artifacts from EEG. Finally, we present a neuro-fuzzy approach of seizure prediction by applying the ANFIS. Patient specific ANFIS classifier was constructed to forecast a seizure followed by postprocessing methods. Three nonlinear seizure predictive features were used to characterize changes prior to seizure. The nonlinear features used in this study were similarity index, phase synchronization, and nonlinear interdependence. The ANFIS classifier was constructed based on these features as inputs. Fuzzy if-then rules were generated by the ANFIS classifier using the complex relationship of feature space provided during training. In this dissertation, the application of the neuro-fuzzy algorithms in epilepsy diagnosis and treatment was demonstrated by applying the methods on different datasets. Several performance measures such as detection delay, sensitivity and specificity were calculated and compared with results reported in literature. The proposed algorithms have potentials to be used in diagnostics and therapeutic applications as they can be implemented in an implantable medical device to detect a seizure, forecast a seizure, and initiate neurostimulation therapy for the purpose of seizure prevention or abortion

Forecasting Long-Term Government Bond Yields: An Application of Statistical and AI Models

This paper evaluates several artificial intelligence and classical algorithms on their ability of forecasting the monthly yield of the US 10-year Treasury bonds from a set of four economic indicators. Due to the complexity of the prediction problem, the task represents a challenging test for the algorithms under evaluation. At the same time, the study is of particular significance for the important and paradigmatic role played by the US market in the world economy. Four data-driven artificial intelligence approaches are considered, namely, a manually built fuzzy logic model, a machine learned fuzzy logic model, a self-organising map model and a multi-layer perceptron model. Their performance is compared with the performance of two classical approaches, namely, a statistical ARIMA model and an econometric error correction model. The algorithms are evaluated on a complete series of end-month US 10-year Treasury bonds yields and economic indicators from 1986:1 to 2004:12. In terms of prediction accuracy and reliability of the modelling procedure, the best results are obtained by the three parametric regression algorithms, namely the econometric, the statistical and the multi-layer perceptron model. Due to the sparseness of the learning data samples, the manual and the automatic fuzzy logic approaches fail to follow with adequate precision the range of variations of the US 10-year Treasury bonds. For similar reasons, the self-organising map model gives an unsatisfactory performance. Analysis of the results indicates that the econometric model has a slight edge over the statistical and the multi-layer perceptron models. This suggests that pure data-driven induction may not fully capture the complicated mechanisms ruling the changes in interest rates. Overall, the prediction accuracy of the best models is only marginally better than the prediction accuracy of a basic one-step lag predictor. This result highlights the difficulty of the modelling task and, in general, the difficulty of building reliable predictors for financial markets.interest rates; forecasting; neural networks; fuzzy logic.