TREND-CYCLE ESTIMATION USING FUZZY TRANSFORM OF HIGHER DEGREE

Authors

  • Linh Nguyen Institute for Research and Applications of Fuzzy Modelling, NSC IT4Innovations, University of Ostrava, 30. dubna 22, 701 03 Ostrava 1, Czech Republic
  • Michal Holcapek Institute for Research and Applications of Fuzzy Modelling, NSC IT4Innovations, University of Ostrava, 30. dubna 22, 701 03 Ostrava 1, Czech Republic
Abstract:

In this paper, we provide theoretical justification for the application of higher degree fuzzy transform in time series analysis. Under the assumption that a time series can be additively decomposed into a trend-cycle, a seasonal component and a random noise, we demonstrate that the higher degree fuzzy transform technique can be used for the estimation of the trend-cycle, which is one of the basic tasks in time series analysis. We prove that  high frequencies appearing in the seasonal component can be  arbitrarily suppressed and that random noise, as a stationary process, can be successfully decreased  using the fuzzy transform of higher degree with a reasonable adjustment of parameters of a generalized uniform fuzzy partition.

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Journal title

volume 15  issue 7

pages  23- 54

publication date 2018-10-30

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