A novel intuitionistic fuzzy time series method based on bootstrapped combined pi-sigma artificial neural network

Abstract

Intuitionistic fuzzy time series forecasting methods have been started to solve the forecasting problems in the literature. Intuitionistic fuzzy time series methods use both membership and non-membership values as auxiliary variables in their models. Because intuitionistic fuzzy sets take into consideration the hesitation margin and so the intuitionistic fuzzy time series models use more information than fuzzy time series models. The background of this study is about intuitionistic fuzzy time series forecasting methods. The study aims to propose a novel intuitionistic fuzzy time series method. It is expected that the proposed method will produce better forecasts than some selected benchmarks. The proposed method uses bootstrapped combined Pi-Sigma artificial neural network and intuitionistic fuzzy c-means. The combined Pi-Sigma artificial neural network is proposed for modelling the intuitionistic fuzzy relations. The proposed method is applied to different sets of SP&500 stock exchange time series. The proposed method can provide more accurate forecasts than established benchmarks for the SP&500 stock exchange time series. The most important contribution of the proposed method is that it creates statistical inference: probabilistic forecasting, confidence intervals and the empirical distribution of the forecasts. Moreover, the proposed method is better than the selected benchmarks for the SP&500 data set.