Autoregressive Time Series Prediction by Means of Fuzzy Inference Systems using Nonparametric Residual Variance Estimation

Abstract

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. © 2009 Elsevier B.v. All Rights Reserved.

Department(s)

Engineering Management and Systems Engineering

Comments

Seventh Framework Programme, Grant 237450

Keywords and Phrases

Fuzzy inference systems; Nonparametric regression; Nonparametric residual variance estimation; Supervised learning; Time series prediction

International Standard Serial Number (ISSN)

0165-0114

Document Type

Article - Journal

Document Version

Citation

File Type

text

Language(s)

English

Rights

© 2024 Elsevier, All rights reserved.

Publication Date

16 Feb 2010

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