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The Long-Term Prediction of Time Series: A Granular Computing-Based Design Approach

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In time-series forecasting, it is an important task to make an accurate and interpretable long-term prediction. In this article, we present a novel approach developed from the perspective of granular… Click to show full abstract

In time-series forecasting, it is an important task to make an accurate and interpretable long-term prediction. In this article, we present a novel approach developed from the perspective of granular computing (GrC) to realize the long-term prediction of time series. The proposed method first employs a sliding window strategy to smooth on the raw time series. Subsequently, the smoothed time series is transformed into the corresponding granular time series that is depicted by evolving shape with the aid of the clustering algorithm based on the dynamic time warping (DTW) distance. Finally, a Takagi–Sugeno (TS) architecture-like granular model (GrM) is formed by deriving the relations implying in the granular time series and offers the granular output in the numeric vector format. The GrM adopts the pattern-to-pattern inference mechanism to realize the long-term prediction of time series at the vector level. Experiments on several datasets demonstrate that the proposed method not only has the ability to circumvent the cumulative error but also makes the resulting GrM equip better interpretability.

Keywords: term prediction; long term; time; time series

Journal Title: IEEE Transactions on Systems, Man, and Cybernetics: Systems
Year Published: 2022

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