Application of Fuzzy Time Series Techniques in Wind and Wave Data Forecasting

2014 ◽  
Author(s):  
Christos N. Stefanakos ◽  
Orestis Schinas ◽  
Grim Eidnes
Keyword(s):  
Time Series ◽  
Stock Prices ◽  
Mean Squared Error ◽  
Offshore Structures ◽  
Fuzzy Time Series ◽  
Great Success ◽  
Peak Period ◽  
Wave Data ◽  
Forecasting Performance

This work explores the applicability of widely known fuzzy time series forecasting techniques for the prediction of wind and wave data. These techniques have extensively been used with great success to the forecasting of stock prices. In the present work, long-term time series of wind speed, significant wave height, and peak period are examined and used for the verification of the forecasting performance of the fuzzy models. To examine the forecasting accuracy, the root mean squared error (RMSE) is used as an evaluation criterion to compare the forecasting performance of the listing models. As the importance of quality of wind and wave data increases, effective forecasting could further benefit designers of offshore structures and environmental researchers.

Absolute and relative measures for evaluating the forecasting performance of time series models for daily streamflows

2006 ◽  
Vol 37 (3) ◽  
pp. 205-215 ◽  
Author(s):  
T. Astatkie
Keyword(s):  
Time Series ◽  
Mean Squared Error ◽  
Model Performance ◽  
Absolute Error ◽  
Time Series Models ◽  
Streamflow Forecasting ◽  
Daily Streamflow ◽  
Forecasting Performance ◽  
Competing Models

Root Mean Squared Error (RMSE) and Mean Absolute Error (MAE) are widely used measures for evaluating the forecasting performance of time series models. Although these absolute measures can be used to compare the performance of competing models, one needs a reference to judge the goodness of the forecasts. In this paper, two relative measures, coefficient of efficiency (E) and index of agreement (d), and their modified versions (EM, EMP, dM and dMP) with desired values of closer to one are presented. These measures are illustrated by comparing the modeling ability and validation forecasting performance of a Nonlinear Additive Autoregressive with Exogenous variables (NAARX), Nested Threshold Autoregressive (NeTAR), and Multiple Nonlinear Inputs Transfer Function (MNITF) models developed for the Jökulsá eystri daily streamflow data. The results suggest that NeTAR describes the system best, and gives better 1- and 2-day ahead validation forecasts. MNITF gives better forecasts for 3-day ahead, and NeTAR and NAARX give comparable performance for 4- and 5-day ahead forecasting. The values of E and d were larger than those of the modified versions, giving a false sense of model performance, and unlike the modified versions, they decreased as forecast lead times increased. Differences among the values of these six relative measures can reveal the sensitiveness of competing models to outliers, and their potential for long-term forecasting. Accordingly, NeTAR was the least sensitive to outliers and NAARX was the most sensitive, with MNITF in between; and NAARX showed the most potential for long-term streamflow forecasting.

scholarly journals Novel FTLRNN with Gamma Memory for Short-Term and Long-Term Predictions of Chaotic Time Series

2009 ◽  
Vol 2009 ◽  
pp. 1-21
Author(s):  
Sanjay L. Badjate ◽  
Sanjay V. Dudul
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Mean Squared Error ◽  
Chaotic Time Series ◽  
Nonstationary Time Series ◽  
Medium Term ◽  
Short Term ◽  
Squared Error ◽  
Wide Range

Multistep ahead prediction of a chaotic time series is a difficult task that has attracted increasing interest in the recent years. The interest in this work is the development of nonlinear neural network models for the purpose of building multistep chaotic time series prediction. In the literature there is a wide range of different approaches but their success depends on the predicting performance of the individual methods. Also the most popular neural models are based on the statistical and traditional feed forward neural networks. But it is seen that this kind of neural model may present some disadvantages when long-term prediction is required. In this paper focused time-lagged recurrent neural network (FTLRNN) model with gamma memory is developed for different prediction horizons. It is observed that this predictor performs remarkably well for short-term predictions as well as medium-term predictions. For coupled partial differential equations generated chaotic time series such as Mackey Glass and Duffing, FTLRNN-based predictor performs consistently well for different depths of predictions ranging from short term to long term, with only slight deterioration after k is increased beyond 50. For real-world highly complex and nonstationary time series like Sunspots and Laser, though the proposed predictor does perform reasonably for short term and medium-term predictions, its prediction ability drops for long term ahead prediction. However, still this is the best possible prediction results considering the facts that these are nonstationary time series. As a matter of fact, no other NN configuration can match the performance of FTLRNN model. The authors experimented the performance of this FTLRNN model on predicting the dynamic behavior of typical Chaotic Mackey-Glass time series, Duffing time series, and two real-time chaotic time series such as monthly sunspots and laser. Static multi layer perceptron (MLP) model is also attempted and compared against the proposed model on the performance measures like mean squared error (MSE), Normalized mean squared error (NMSE), and Correlation Coefficient (r). The standard back-propagation algorithm with momentum term has been used for both the models.

scholarly journals First-Order ARMA Type Fuzzy Time Series Method Based on Fuzzy Logic Relation Tables

2013 ◽  
Vol 2013 ◽  
pp. 1-12 ◽  
Author(s):  
Cem Kocak
Keyword(s):  
Time Series ◽  
Fuzzy Logic ◽  
Stock Exchange ◽  
Life Time ◽  
Fuzzy Time Series ◽  
Moving Averages ◽  
First Order ◽  
Forecasting Method ◽  
Forecasting Performance ◽  
Time Series Method

Fuzzy time series approaches have an important deficiency according to classical time series approaches. This deficiency comes from the fact that all of the fuzzy time series models developed in the literature use autoregressive (AR) variables, without any studies that also make use of moving averages (MAs) variables with the exception of only one study (Egrioglu et al. (2013)). In order to eliminate this deficiency, it is necessary to have many of daily life time series be expressed with Autoregressive Moving Averages (ARMAs) models that are based not only on the lagged values of the time series (AR variables) but also on the lagged values of the error series (MA variables). To that end, a new first-order fuzzy ARMA(1,1) time series forecasting method solution algorithm based on fuzzy logic group relation tables has been developed. The new method proposed has been compared against some methods in the literature by applying them on Istanbul Stock Exchange national 100 index (IMKB) and Gold Prices time series in regards to forecasting performance.

scholarly journals Comparison of Fuzzy Time Series and ARIMA to Forecast Tourist Arrivals to Homestay in Pahang

2021 ◽  
Vol 6 (4) ◽  
pp. 80-89
Author(s):  
Maizatul Akhmar Jafridin ◽  
Nur Fatihah Fauzi ◽  
Rohana Alias ◽  
Huda Zuhrah Ab Halim ◽  
Nurizatul Syarfinas Ahmad Bakhtiar ◽  
...  
Keyword(s):  
Time Series ◽  
Moving Average ◽  
Demand Forecasting ◽  
Secondary Data ◽  
Fuzzy Time Series ◽  
Percentage Error ◽  
Strategic Decisions ◽  
Forecasting Performance ◽  
Future Events ◽  
Time Series Method

Predictions of future events must be incorporated into the decision-making process. For tourism demand, forecasting is very important to help directors and investors to make decisions in operational, tactical, and strategic decisions. This study focuses on forecasting performance between Fuzzy Time Series and ARIMA to forecast the tourist arrivals in homestays in Pahang. The main objective of this study is to compare and identify the best method between Fuzzy Time Series and Autoregressive Integrated Moving Average (ARIMA) in forecasting the arrival of tourists based on the secondary data of tourist arrivals to homestay in Pahang from January 2015 to December 2018. ARIMA models are flexible and widely used in time-series analysis and Fuzzy Time Series which do not need large samples and long past time series. These two methods have been compared by using the mean square error (MSE) and mean absolute percentage error (MAPE) as the forecast measures of accuracy. The results show that Fuzzy Time Series outperforms the ARIMA. The lowest value of MSE and MAPE was obtained from using the Fuzzy Time Series method at values 2192305.89 and 11.92256, respectively.

Nonstationary Stochastic Modelling of Multivariate Long-Term Wind and Wave Data

2005 ◽  
Author(s):  
Christos N. Stefanakos ◽  
Konstandinos A. Belibassakis
Keyword(s):  
Time Series ◽  
Standard Deviation ◽  
Multivariate Time Series ◽  
Stochastic Modelling ◽  
Mean Value ◽  
Wave Data ◽  
Available Information ◽  
Periodic Components ◽  
Box Cox Transformation

In the present work, a nonstationary stochastic model, which is suitable for the analysis and simulation of multivariate time series of wind and wave data, is being presented and validated. This model belongs to the class of periodically correlated stochastic processes with yearly periodic mean value and standard deviation (periodically correlated or cyclostationary stochastic process). First, the time series is appropriately transformed to become Gaussian using the Box-Cox transformation. Then, the series is decomposed, using an appropriate seasonal standardization procedure, to a periodic (deterministic) mean value and a (stochastic) residual time series multiplied by a periodic (deterministic) standard deviation. The periodic components are estimated using appropriate time series of monthly data. The residual stochastic part, which is proved to be stationary, is modelled as a VARMA process. This way the initial process can be given the structure of a multivariate periodically correlated process. The present methodology permits a reliable reproduction of available information about wind and wave conditions, which is required for a number of applications.

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

2018 ◽  
pp. 49-56
Author(s):  
Haji A. Haji ◽  
Kusman Sadik ◽  
Agus Mohamad Soleh
Keyword(s):  
Time Series ◽  
Simulation Study ◽  
Time Series Data ◽  
Mean Squared Error ◽  
Time Series Model ◽  
Fuzzy Time Series ◽  
Series Data ◽  
Percentage Error ◽  
Data Generation ◽  
Data Set

Simulation study is used when real world data is hard to find 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.

On Efficient Long-Term Extreme Response Estimation for a Moored Floating Structure

2018 ◽  
Author(s):  
HyeongUk Lim ◽  
Lance Manuel ◽  
Ying Min Low
Keyword(s):  
Wave Train ◽  
Offshore Structures ◽  
Offshore Structure ◽  
Floating Structure ◽  
Sea State ◽  
Peak Period ◽  
Frequency Wave ◽  
Extreme Response ◽  
Term Response

This study investigates the use of efficient surrogate model development with the help of polynomial chaos expansion (PCE) for the prediction of the long-term extreme surge motion of a simple moored offshore structure. The structure is subjected to first-order and second-order (difference-frequency) wave loading. Uncertainty in the long-term response results from the contrasting sea state conditions, characterized by significant wave height, Hs, and spectral peak period, Tp, and their relative likelihood of occurrence; these two variables are explicitly included in the PCE-based uncertainty quantification (UQ). In a given sea state, however, response simulations must be run for any sampled Hs and Tp; in such simulations, typically, a set of random phases (and deterministic amplitudes) define a wave train consistent with the defined sea state. These random phases for all the frequency components in the wave train introduce additional uncertainty in the simulated waves and in the response. The UQ framework treats these two sources of uncertainty — from Hs and Tp on the one hand, and the phase vector on the other — in a nested manner that is shown to efficiently yield long-term surge motion extreme predictions consistent with more expensive Monte Carlo simulations, which serve as the truth system. Success with the method suggests that similar inexpensive surrogate models may be developed for assessing the long-term response of various offshore structures.

The Long-Term Wind and Wave Spectra of the Mediterranean Sea

2005 ◽  
Author(s):  
Christos N. Stefanakos
Keyword(s):  
Time Series ◽  
Standard Deviation ◽  
Stochastic Processes ◽  
Mediterranean Sea ◽  
Mean Value ◽  
Residual Time ◽  
Wave Data ◽  
The Mediterranean ◽  
Periodic Components

It is a well-known fact that long-term time series of wind and wave data are modelled as nonstationary stochastic processes with yearly periodic mean value and standard deviation (periodically correlated or cyclostationary stochastic processes). Using this model, the initial nonstationary series are decomposed to a seasonal (periodic) mean value m(t) and a residual time series W(t) multiplied by a seasonal (periodic) standard deviation s(t), of the form Y(t) = m(t) + s(t)W(t). The periodic components m(t) and s(t) are estimated using mean monthly values, and the residual time series W(t) is examined for stationarity. For this purpose, spectral densities of W(t) are obtained from different seasonal segments, calculated and compared with each other. It is shown that W(t) can indeed be considered stationary, and thus Y(t) can be considered periodically correlated. This analysis has been applied to model wind and wave data from several locations in the Mediterranean Sea. It turns out that the spectrum of W(t) is very weakly dependent on the site, a fact that might be useful for the geographic parameterization of wind and wave climate.

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