Forecasting seasonal time series based on fuzzy techniques

Abstract

This paper is devoted to a method for the forecasting of seasonal time series. The core of our approach is based on the fuzzy transform and fuzzy natural logic (FNL) techniques. Under the assumption that a time series can be additively decomposed into a trend-cycle, a seasonal component and an irregular fluctuation, the forecasting is a combination of individual forecasting of each of these constituents. More precisely, the trend-cycle and the seasonal component are predicted with the help of fuzzy transform, pattern recognition and fuzzy natural logic techniques. To model the irregular component, we apply the Box–Jenkins approach. In the paper, we compare the suggested method with two other well-known methods, namely STL (see [14]) and ARIMA ones.