Formulation of Possibility Grade-Based Fuzzy Autocorrelation Model and Its Application to Forecasting

Yoshiyuki Yabuuchi ； Junzo Watada

《International Journal of Intelligent Technologies and Applied Statistics》 5卷3期 (2012/09) Pp. 321-335

https://doi.org/10.6148/IJITAS.2012.05.03.06

並列摘要

The objective of economic analysis is to interpret the past, present or future economic state by analyzing economical data. In many cases an economic analysis is pursued based on the timeseries data or is analyzed the structure of the target system by multivariate data. Time-series analysis and regression analysis are central tools to analyze economics data. Nevertheless, economic systems are a complex system resulted from human behaviors and related to many factors. When the system includes much uncertainty such as ones of human behaviors, it is better to employ methodologies of a fuzzy system in the analysis. Yabuuchi and Watada proposed a fuzzy autocorrelation model to describe the system possibility which focal timeseries system has. However, sometimes, this model has a large width this is identified with a ambiguity of a model. In this paper, we propose a fuzzy autocorrelation model by using a possibility grade to improve this problem, and the proposed model will be compared with a fuzzy autocorrelation model by a analyzed result of the tick-by-tick data of stocks.

並列關鍵字

Fuzzy time series model ； Auto correlation ； Possibility maximization ； Fuzzy data ； Tick-by-tick data