JACIII Vol.21 No.6 pp. 1009-1016
doi: 10.20965/jaciii.2017.p1009


Fuzzification Methods and Prediction Accuracy of Fuzzy Autocorrelation Model

Yoshiyuki Yabuuchi

Faculty of Economics, Shimonoseki City University
2-1-1 Daigaku-cho, Shimonoseki, Yamaguchi 751-8510, Japan

December 27, 2016
April 20, 2017
October 20, 2017
fuzzy time-series model, Box–Jenkins model, fuzzification, autocorrelation, economic analysis

The fuzzy autocorrelation model is a fuzzified autoregressive (AR) model. The aim of the fuzzy autocorrelation model is to describe the possible states of the system with high accuracy. This model uses autocorrelation similar to the Box–Jenkins model. The fuzzy autocorrelation model occasionally increases the vagueness. Although the problem can be mitigated using fuzzy confidence intervals instead of fuzzy time-series data, the unnatural estimations do not improve. Subsequently, an alternate method was used to fuzzify the time-series data and mitigate the unnatural estimation problem. This method also improved the model prediction accuracy. This paper focuses on fuzzification method, and discusses the prediction accuracy of the model and fuzzification of the time-series data. The analysis of the Nikkei stock average shows a high prediction accuracy and manageability of a fuzzy autocorrelation model. In this pape, a quartile is employed as an alternate fuzzification method. The model prediction accuracy and estimation behavior are verified through an analysis. Finally, the proposed method was found to be successful in mitigating the problems.

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Last updated on Dec. 16, 2017