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A temporal neuro-fuzzy approach for time-series analysis

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2003
Yılmaz (Şişman), Nuran Arzu
The subject of this thesis is to develop a temporal neuro-fuzzy system for fore- casting the future behavior of a multivariate time series data. The system has two components combined by means of a system interface. First, a rule extraction method is designed which is named Fuzzy MAR (Multivari- ate Auto-regression). The method produces the temporal relationships between each of the variables and past values of all variables in the multivariate time series system in the form of fuzzy rules. These rules may constitute the rule-base in a fuzzy expert system. Second, a temporal neuro-fuzzy system which is named ANFIS unfolded in - time is designed in order to make the use of fuzzy rules, to provide an environment that keeps temporal relationships between the variables and to forecast the future behavior of data. The rule base of ANFIS unfolded in time contains temporal TSK(Takagi-Sugeno-Kang) fuzzy rules. In the training phase, Back-propagation learning algorithm is used. The system takes the multivariate data and the num- ber of lags needed which are the output of Fuzzy MAR in order to describe a variable and predicts the future behavior. Computer simulations are performed by using synthetic and real multivariate data and a benchmark problem (Gas Furnace Data) used in comparing neuro- fuzzy systems. The tests are performed in order to show how the system efficiently model and forecast the multivariate temporal data. Experimental results show that the proposed model achieves online learning and prediction on temporal data. The results are compared by other neuro-fuzzy systems, specifically ANFIS.