Enhanced accuracy of fuzzy time series model using ordered weighted aggregation

Abstract

Accuracy is one of the most vital factors when dealing with forecast using time series models. Accuracy depends on relative weight of past observations used to predict forecasted value. Method of aggregation of past observations is significant aspect in time series analysis where determination of next observation depends only on past observations. Previous research on fuzzy time series for forecasting treated fuzzy relationship equally important which might not have properly reflected the importance of each individual fuzzy relationship in forecasting that introduced inaccuracy in results. In this paper, we propose ordered weighted aggregation (OWA) for fuzzy time series and further design forecasting model signifying efficacy of the proposed concept. Objective of using fuzzy time series is to deal with forecasting under the fuzzy environment that contains uncertainty, vagueness and imprecision. OWA is utilized to generate weights of past fuzzy observations; thereby eliminating the need for large number of historical observations required to forecast value. OWA weights are determined by employing regularly increasing monotonic (RIM) quantifiers on the basis of fuzzy set importance using priority matrix. Experimental study reveals how OWA coalesced with fuzzy time series for designing of forecasting model. It can be observed from comparative study that use of OWA considerably reduces mean square error (MSE) and average forecasting error rate (AFER). Robustness of proposed model is ascertained by demonstrating its sturdy nature and correctness.