A New Time-Invariant Fuzzy Time Series Forecasting Method Based on Genetic Algorithm

In recent years, many fuzzy time series methods have been proposed in the literature. Some of these methods use the classical fuzzy set theory, which needs complex matricial operations in fuzzy time series methods. Because of this problem, many studies in the literature use fuzzy group relationship tables. Since the fuzzy relationship tables use order of fuzzy sets, the membership functions of fuzzy sets have not been taken into consideration. In this study, a new method that employs membership functions of fuzzy sets is proposed. The new method determines elements of fuzzy relation matrix based on genetic algorithms. The proposed method uses first-order fuzzy time series forecasting model, and it is applied to the several data sets. As a result of implementation, it is obtained that the proposed method outperforms some methods in the literature

PSO-based high order time invariant fuzzy time series method:Application to stock exchange data

Fuzzy time series methods are effective techniques to forecast time series. Fuzzy time series methods are based on fuzzy set theory. In the early years, classical fuzzy set operations were used in the fuzzy time series methods. In recent years, artificial intelligence techniques have been used in different stages of fuzzy time series methods. In this paper, a novel fuzzy time series method which is based on particle swarm optimization is proposed. A high order fuzzy time series forecasting model is used in the proposed method. In the proposed method, determination of fuzzy relations is performed by estimating the optimal fuzzy relation matrix. The performance of the proposed method is compared to some methods in the literature by using three real world time series. It is shown that the proposed method has better performance than other methods in the literature

An ensemble of single multiplicative neuron models for probabilistic prediction

Yolcu U, Jin Y, Egrioglu E. An ensemble of single multiplicative neuron models for probabilistic prediction. In: 2016 IEEE Symposium Series on Computational Intelligence (SSCI). IEEE; 2016: 1-8.Inference systems basically aim to provide and present the knowledge (outputs) that decision-makers can take advantage of in their decision-making process. Nowadays one of the most commonly used inference systems for time series prediction is the computational inference system based on artificial neural networks. Although they have the ability of handling uncertainties and are capable of solving real life problems, neural networks have interpretability issues with regard to their outputs. For example, the outputs of neural networks that are difficult to interpret compared to statistical inference systems' outputs that involve a confidence interval and probabilities about possible values of predictions on top of the point estimations. In this study, an ensemble of single multiplicative neuron models based on bootstrap technique has been proposed to get probabilistic predictions. The main difference of the proposed ensemble model compared to conventional neural network models is that it is capable of getting a bootstrap confidence interval and probabilities of predictions. The performance of the proposed model is demonstrated on different time series. The obtained results show that the proposed ensemble model has a superior prediction performance in addition to having outputs that are more interpretable and applicable to probabilistic evaluations than conventional neural network

Bootstrapped Holt Method with Autoregressive Coefficients Based on Harmony Search Algorithm

Exponential smoothing methods are one of the classical time series forecasting methods. It is well known that exponential smoothing methods are powerful forecasting methods. In these methods, exponential smoothing parameters are fixed on time, and they should be estimated with efficient optimization algorithms. According to the time series component, a suitable exponential smoothing method should be preferred. The Holt method can produce successful forecasting results for time series that have a trend. In this study, the Holt method is modified by using time-varying smoothing parameters instead of fixed on time. Smoothing parameters are obtained for each observation from first-order autoregressive models. The parameters of the autoregressive models are estimated by using a harmony search algorithm, and the forecasts are obtained with a subsampling bootstrap approach. The main contribution of the paper is to consider the time-varying smoothing parameters with autoregressive equations and use the bootstrap method in an exponential smoothing method. The real-world time series are used to show the forecasting performance of the proposed method

Picture fuzzy regression functions approach for financial time series based on ridge regression and genetic algorithm

WOS: 000510957900007Recent years, fuzzy inference systems are efficient tools for solving forecasting problems. Fuzzy inference systems are based on fuzzy sets and use membership values besides original data so a data augmentation mechanism is employed in the fuzzy inference. Picture fuzzy sets provide additional information to original data via positive degree membership, negative degree membership, neutral degree membership and refusal degree membership apart from fuzzy sets. The data augmentation with this additional information will be provided to build a better inference system than fuzzy inference systems. In this study, picture fuzzy inference system is proposed for forecasting purpose by using ridge regression and genetic algorithm. Ridge regression method is used to obtain picture fuzzy functions and genetic algorithm is used to emerge different information coming from systems which are designed for positive degree membership, negative degree membership and neutral degree membership. In the proposed method, picture fuzzification is provided by picture fuzzy clustering. The proposed inference system is tested by various stock exchange data sets. The forecasting of the proposed method is compared with well-known forecasting methods. The obtained results are evaluated according to different error measures such as root of mean square error and mean of absolute percentage error. (C) 2019 Published by Elsevier B.V

An ensemble of single multiplicative neuron models for probabilistic prediction

Inference systems basically aim to provide and present the knowledge (outputs) that decision-makers can take advantage of in their decision-making process. Nowadays one of the most commonly used inference systems for time series prediction is the computational inference system based on artificial neural networks. Although they have the ability of handling uncertainties and are capable of solving real life problems, neural networks have interpretability issues with regard to their outputs. For example, the outputs of neural networks that are difficult to interpret compared to statistical inference systems' outputs that involve a confidence interval and probabilities about possible values of predictions on top of the point estimations. In this study, an ensemble of single multiplicative neuron models based on bootstrap technique has been proposed to get probabilistic predictions. The main difference of the proposed ensemble model compared to conventional neural network models is that it is capable of getting a bootstrap confidence interval and probabilities of predictions. The performance of the proposed model is demonstrated on different time series. The obtained results show that the proposed ensemble model has a superior prediction performance in addition to having outputs that are more interpretable and applicable to probabilistic evaluations than conventional neural networks

A hybrid algorithm based on artificial bat and backpropagation algorithms for multiplicative neuron model artificial neural networks

WOS: 000526229000001In the literature, the multiplicative neuron model artificial neural networks are trained by gradient-based or some artificial intelligence optimization algorithms. It is well known that the hybrid algorithms give successful results than classical algorithms in the literature and the use of hybrid systems increase day by day. From this point of view, different from other studies contribute to multiplicative neuron model artificial neural networks, the properties of an artificial intelligence optimization technique, artificial bat algorithm, and a gradient-based algorithm, backpropagation learning algorithm, is used together firstly by using the proposed method in this study. Thus, both a derivative and a heuristic algorithm were used together firstly for multiplicative neuron model artificial neural networks. The proposed method is applied to three well-known different real-world time series data. The performance of the proposed method is both compared with gradient-based optimization algorithms, some artificial optimization algorithms used for the training of artificial neural networks and some popular analyze methods. The analysis results show that the proposed hybrid method has superior performance than other methods

The CSS and the two-staged methods for parameter estimation in SARFIMA models

Seasonal Autoregressive Fractionally Integrated Moving Average (SARFIMA) models are used in the analysis of seasonal long memory-dependent time series. Two methods, which are conditional sum of squares (CSS) and two-staged methods introduced by Hosking (1984), are proposed to estimate the parameters of SARFIMA models. However, no simulation study has been conducted in the literature. Therefore, it is not known how these methods behave under different parameter settings and sample sizes in SARFIMA models. The aim of this study is to show the behavior of these methods by a simulation study. According to results of the simulation, advantages and disadvantages of both methods under different parameter settings and sample sizes are discussed by comparing the root mean square error (RMSE) obtained by the CSS and two-staged methods. As a result of the comparison, it is seen that CSS method produces better results than those obtained from the two-staged method