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Fuzzy Autoregressive Rules: Towards Linguistic Time Series Modeling

Author

Listed:
  • Jose Luis Aznarte
  • Jesus Alcala-Fdez
  • Antonio Arauzo
  • Jose Manuel Benitez

Abstract

Fuzzy rule-based models, a key element in soft computing (SC), have arisen as an alternative for time series analysis and modeling. One difference with preexisting models is their interpretability in terms of human language. Their interactions with other components have also contributed to a huge development in their identification and estimation procedures. In this article, we present fuzzy rule-based models, their links with some regime-switching autoregressive models, and how the use of soft computing concepts can help the practitioner to solve and gain a deeper insight into a given problem. An example on a realized volatility series is presented to show the forecasting abilities of a fuzzy rule-based model.

Suggested Citation

  • Jose Luis Aznarte & Jesus Alcala-Fdez & Antonio Arauzo & Jose Manuel Benitez, 2011. "Fuzzy Autoregressive Rules: Towards Linguistic Time Series Modeling," Econometric Reviews, Taylor & Francis Journals, vol. 30(6), pages 646-668.
  • Handle: RePEc:taf:emetrv:v:30:y:2011:i:6:p:646-668
    DOI: 10.1080/07474938.2011.553569
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