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Fuzzy time series model using weighted least square estimation | ||
| Iranian Journal of Fuzzy Systems | ||
| مقاله 6، دوره 19، شماره 2، خرداد و تیر 2022، صفحه 63-81 اصل مقاله (2.97 M) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22111/ijfs.2022.6788 | ||
| نویسندگان | ||
| G. Hesamian* 1؛ M. G. Akbari2 | ||
| 1Department of Statistics, Payame Noor University Tehran 19395-3697, Iran | ||
| 2Department 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. | ||
| کلیدواژه‌ها | ||
| Fuzzy semi-parametric time series؛ weight؛ kernel method؛ optimal bandwidth؛ outliers؛ control chart؛ goodness-of-fit measure | ||
| مراجع | ||
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