Fuzzy time series model using weighted least square estimation
Publish place: Iranian Journal of Fuzzy Systems، Vol: 19، Issue: 2
Publish Year: 1401
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IJFS-19-2_006
تاریخ نمایه سازی: 18 فروردین 1401
Abstract:
The conventional fuzzy least-squares time series models show undesirable performance when the fuzzy data set involves the outliers. By introducing a strategy to detect the outliers, this paper introduced a method for reducing the influence of outliers on the future predictions. For this purpose, according to the weighted square distance error, an estimation procedure was suggested for determining the exact coefficients in the presence of outliers. The parameters of the fuzzy time series model were then estimated using an iterative algorithm. In order to identify the potential outliers of the fuzzy data, a quality control chart was employed based on the center of gravity criterion of fuzzy data. The defuzzification method was also employed to examine the performance of the proposed method via some scatter plots. Several common goodness-of-fit criteria used in traditional time series models were also extended to compare the performance of the proposed fuzzy time series method to an existing method. The effectiveness of the proposed method was illustrated through two numerical examples including a simulation study. The results clearly indicated that the proposed model performs well in terms of the both scatter plot criteria and goodness-of-fit evaluations in cases where the potential outliers exist among the fuzzy data.
Keywords:
Fuzzy semi-parametric time series , weight , kernel method , optimal bandwidth , Outliers , Control chart , goodness-of-fit measure
Authors
G. Hesamian
Department of Statistics, Payame Noor University Tehran ۱۹۳۹۵-۳۶۹۷, Iran
M. G. Akbar
Department of Statistics, University of Birjand, Birjand, Iran