Probabilistic Forecasting With Fuzzy Time Series

In recent years, the demand for developing low computational cost methods to deal with uncertainties in forecasting has been increased. Probabilistic forecasting is a class of forecasting in which the method provides intervals or probability distributions as outcomes of its forecasting. The aim of this paper is, therefore, proposing a new forecasting approach based on fuzzy time series (FTS) that takes advantage of fuzzy and stochastic patterns on data and is capable to deal with point, interval, and distribution forecasts. The method proposed was empirically tested with typical financial time series, and the results were compared with other standard FTS and statistical methods. The results show that the proposed method obtained accurate results and outperformed standard FTS methods. The proposed method also combines versatility, scalability, and low computational cost, making it useful on a wide range of application scenarios.