A Comparative Simulation Study of ARIMA and Fuzzy Time Series Model for Forecasting Time Series Data

Authors(3) :-Haji A. Haji, Kusman Sadik, Agus Mohamad Soleh

Simulation study is used when real world data is hard to ?nd or time consuming to gather and it involves generating data set by specific statistical model or using random sampling. A simulation of the process is useful to test theories and understand behavior of the statistical methods. This study aimed to compare ARIMA and Fuzzy Time Series (FTS) model in order to identify the best model for forecasting time series data based on 100 replicates on 100 generated data of the ARIMA (1,0,1) model.There are 16 scenarios used in this study as a combination between 4 data generation variance error values (0.5, 1, 3,5) with 4 ARMA(1,1) parameter values. Furthermore, The performances were evaluated based on three metric mean absolute percentage error (MAPE),Root mean squared error (RMSE) and Bias statistics criterion to determine the more appropriate method and performance of model. The results of the study show a lowest bias for the chen fuzzy time series model and the performance of all measurements is small then other models. The results also proved that chen method is compatible with the advanced forecasting techniques in all of the consided situation in providing better forecasting accuracy.

Authors and Affiliations

Haji A. Haji
Department of Statistics, Bogor Agricultural University, IPB Bogor, 16680, Indonesia
Kusman Sadik
Department of Statistics, Bogor Agricultural University, IPB Bogor, 16680, Indonesia
Agus Mohamad Soleh
Department of Statistics, Bogor Agricultural University, IPB Bogor, 16680, Indonesia

ARIMA, Bias, Chen, Fuzzy Time Series, MAPE, RMSE, Simulation,Yu FTS

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Publication Details

Published in : Volume 4 | Issue 11 | November-December 2018
Date of Publication : 2018-11-30
License:  This work is licensed under a Creative Commons Attribution 4.0 International License.
Page(s) : 49-56
Manuscript Number : IJSRSET1184112
Publisher : Technoscience Academy

Print ISSN : 2395-1990, Online ISSN : 2394-4099

Cite This Article :

Haji A. Haji, Kusman Sadik, Agus Mohamad Soleh, " A Comparative Simulation Study of ARIMA and Fuzzy Time Series Model for Forecasting Time Series Data, International Journal of Scientific Research in Science, Engineering and Technology(IJSRSET), Print ISSN : 2395-1990, Online ISSN : 2394-4099, Volume 4, Issue 11, pp.49-56, November-December-2018. Available at doi : https://doi.org/10.32628/IJSRSET1184112
Journal URL : http://ijsrset.com/IJSRSET1184112

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