A fuzzy set-valued autoregressive moving average model and its applications
Summary: Autoregressive moving average (ARMA) models are important in many fields and applications, although they are most widely applied in time series analysis. Expanding the ARMA models to the case of various complex data is arguably one of the more challenging problems in time series analysis and mathematical statistics. In this study, we extended the ARMA model to the case of linguistic data that can be modeled by some symmetric fuzzy sets, and where the relations between the linguistic data of the time series can be considered as the ordinary stochastic correlation rather than fuzzy logical relations. Therefore, the concepts of set-valued or interval-valued random variables can be employed, and the notions of Aumann expectation, Fréchet variance, and covariance, as well as standardized process, were used to construct the ARMA model. We firstly determined that the estimators from the least square estimation of the ARMA \((1,1)\) model under some \(L_2\) distance between two sets are weakly consistent. Moreover, the justified linguistic data-valued ARMA model was applied to forecast the linguistic monthly Hang Seng Index (HSI) as an empirical analysis. The obtained results from the empirical analysis indicate that the accuracy of the prediction produced from the proposed model is better than that produced from the classical one-order, two-order, three-order autoregressive (AR(1), AR(2), AR(3)) models, as well as the \((1,1)\)-order autoregressive moving average (ARMA\((1,1)\)) model.
- A generalization of Hukuhara difference and division for interval and fuzzy arithmetic
- A note on autoregressive models with fuzzy random variables
- A note on fuzzy set-valued Brownian motion
- A unified approach to asymptotic behaviors for the autoregressive model with fuzzy data
- Deterministic vector long-term forecasting for fuzzy time series
- Estimation of a simple multivariate linear model for fuzzy random sets
- Fuzzy random variables
- Fuzzy set-valued Gaussian processes and Brownian motions
- Fuzzy time series and its models
- scientific article; zbMATH DE number 861670 (Why is no real title available?)
- Least-squares fuzzy regression with fuzzy random variables
- On random fuzzy variables of second order and their application to linear statistical inference with fuzzy data.
- Probability theory in fuzzy sample spaces
- Set-valued and interval-valued stationary time series
- Statistics with vague data
- The concept of a linguistic variable and its application to approximate reasoning. I
- The concept of normality for fuzzy random variables
- The variance and covariance of fuzzy random variables and their applications
- Time series: theory and methods.
This page was built for publication: A fuzzy set-valued autoregressive moving average model and its applications
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2333646)
