Fuzzy time series model using weighted least square estimation

  • سال انتشار: 1401
  • محل انتشار: مجله سیستم های فازی، دوره: 19، شماره: 2
  • کد COI اختصاصی: JR_IJFS-19-2_006
  • زبان مقاله: انگلیسی
  • تعداد مشاهده: 165
دانلود فایل این مقاله

نویسندگان

G. Hesamian

Department of Statistics, Payame Noor University Tehran ۱۹۳۹۵-۳۶۹۷, Iran

M. G. Akbar

Department of Statistics, University of Birjand, Birjand, Iran

چکیده

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.

کلیدواژه ها

Fuzzy semi-parametric time series, weight, kernel method, optimal bandwidth, Outliers, Control chart, goodness-of-fit measure

اطلاعات بیشتر در مورد COI

COI مخفف عبارت CIVILICA Object Identifier به معنی شناسه سیویلیکا برای اسناد است. COI کدی است که مطابق محل انتشار، به مقالات کنفرانسها و ژورنالهای داخل کشور به هنگام نمایه سازی بر روی پایگاه استنادی سیویلیکا اختصاص می یابد.

کد COI به مفهوم کد ملی اسناد نمایه شده در سیویلیکا است و کدی یکتا و ثابت است و به همین دلیل همواره قابلیت استناد و پیگیری دارد.