Improving TAIEX forecasting using fuzzy time series with Box--Cox power transformation

M. H. Lee, H. J. Sadaei and Suhartono

Journal of Applied Statistics, 2013, vol. 40, issue 11, 2407-2422

Abstract: Box--Cox together with our newly proposed transformation were implemented in three different real world empirical problems to alleviate noisy and the volatility effect of them. Consequently, a new domain was constructed. Subsequently, universe of discourse for transformed data was established and an approach for calculating effective length of the intervals was then proposed. Considering the steps above, the initial forecasts were performed using frequently used fuzzy time series (FTS) methods on transformed data. Final forecasts were retrieved from initial forecasted values by proper inverse operation. Comparisons of the results demonstrate that the proposed method produced more accurate forecasts compared with existing FTS on original data.

Date: 2013
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DOI: 10.1080/02664763.2013.817548

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