Affiliations: [a] Department of Econometrics, Faculty of Economic and Administrative Sciences, Forecast Research Laboratory, Giresun University, Giresun, Turkey
| [b] Department of Statistics, Faculty of Arts and Sciences, Forecast Research Laboratory, Giresun University, Giresun, Turkey
Correspondence:
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Corresponding author. Ufuk Yolcu, Department of Econometrics, Faculty of Economic and Administrative Sciences, Forecast Research Laboratory, Giresun University, 28200 Giresun, Turkey. Tel.: +90 454 3101320; Fax: +90 454 3101350; E-mail: varyansx@hotmail.com.
Abstract: Recent years, fuzzy inference systems have been commonly used for time series forecasting. It is well known that fuzzy inference systems can produce good forecasting. Although fuzzy inference systems like adaptive network fuzzy inference system have been preferred by many of researchers, these systems have many of problems. If data set contains many explanatory variables, the number of rules will increase dramatically. Classical fuzzy inference systems need to estimate too many parameters for a reasonable forecasting performance. In this study, a new fuzzy inference system is proposed for time series forecasting. The proposed inference system uses fuzzy c-means method for clustering and pi-sigma neural network for fuzzy modelling. Moreover, the proposed system can generate probabilistic outputs (forecasts) under favour of subsampling block bootstrap method. The performance of the proposed method was investigated by using some data sets. It is understood that the proposed inference system can produce better forecast results.
