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arXiv · 2004.12554

Forecasting in Non-stationary Environments with Fuzzy Time Series

Petrônio Cândido de Lima e Silva·Carlos Alberto Severiano Junior·Marcos Antonio Alves·Rodrigo Silva·Miri Weiss Cohen·Frederico Gadelha Guimarães
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Abstract

In this paper we introduce a Non-Stationary Fuzzy Time Series (NSFTS) method with time varying parameters adapted from the distribution of the data. In this approach, we employ Non-Stationary Fuzzy Sets, in which perturbation functions are used to adapt the membership function parameters in the knowledge base in response to statistical changes in the time series. The proposed method is capable of dynamically adapting its fuzzy sets to reflect the changes in the stochastic process based on the residual errors, without the need to retraining the model. This method can handle non-stationary and heteroskedastic data as well as scenarios with concept-drift. The proposed approach allows the model to be trained only once and remain useful long after while keeping reasonable accuracy. The flexibility of the method by means of computational experiments was tested with eight synthetic non-stationary time series data with several kinds of concept drifts, four real market indices (Dow Jones, NASDAQ, SP500 and TAIEX), three real FOREX pairs (EUR-USD, EUR-GBP, GBP-USD), and two real cryptocoins exchange rates (Bitcoin-USD and Ethereum-USD). As competitor models the Time Variant fuzzy time series and the Incremental Ensemble were used, these are two of the major approaches for handling non-stationary data sets. Non-parametric tests are employed to check the significance of the results. The proposed method shows resilience to concept drift, by adapting parameters of the model, while preserving the symbolic structure of the knowledge base.

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Petrônio Cândido de Lima e Silva, Carlos Alberto Severiano Junior, Marcos Antonio Alves, Rodrigo Silva, Miri Weiss Cohen, Frederico Gadelha Guimarães. 2020-04-27. Forecasting in Non-stationary Environments with Fuzzy Time Series. https://arxiv.org/abs/2004.12554

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