Journal of the Korean Institute of Intelligent Systems (한국지능시스템학회논문지)

Korean Institute of Intelligent Systems (한국지능시스템학회)
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Nonlinear Time Series Prediction Modeling by Weighted Average Defuzzification Based on NEWFM

NEWFM 기반 가중평균 역퍼지화에 의한 비선형 시계열 예측 모델링

  • Chai, Soo-Han (Department of E-Commerce Software, Kyungwon University) ;
  • Lim, Joon-Shik (Department of E-Commerce Software, Kyungwon University)
  • 채수한 (경원대학교 소프트웨어학부) ;
  • 임준식 (경원대학교 소프트웨어학부)
  • Published : 2007.08.25
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Abstract

This paper presents a methodology for predicting nonlinear time series based on the neural network with weighted fuzzy membership functions (NEWFM). The degree of classification intensity is obtained by bounded sum of weighted fuzzy membership functions extracted by NEWFM, then weighted average defuzzification is used for predicting nonlinear time series. The experimental results demonstrate that NEWFM has the classification capability of 92.22% against the target class of GDP. The time series created by NEWFM model has a relatively close approximation to the GDP which is a typical business cycle indicator, and has been proved to be a useful indicator which has the turning point forecasting capability of average 12 months in the peak point and average 6 months in the trough point during 5th to 8th cyclical period. In addition, NEWFM measures the efficiency of the economic indexes by the feature selection and enables the users to forecast with reduced numbers of 7 among 10 leading indexes while improving the classification rate from 90% to 92.22%.

본 논문은 가중 퍼지소속함수 기반 신경망(Neural Network with Weighted Fuzzy Membership Functions, NEWFM)을 이용하여 클래스의 분류강도를 구하고 비선형 시계열 추이선을 예측하는 방안을 제안하고 있다. NEWFM에 의하여 추출된 가중퍼지 소속함수(BSWFM)를 이용하여 입력값에 대한 분류강도를 구하게 되고, 이들에 대한 가중평균 역퍼지화를 통하여 비선형 시계열 추이선을 작성한다. 실증분석결과 NEWFM은 목표 클래스로 설정된 GDP에 대하여 92.22%의 분류성능을 보여 주었다. 따라서 동 비선형 시계열 추이선은 대표적인 경기지표인 GDP 추이에 비교적 높은 유사도를 나타내는 가운데 분석대상기간인 제5순환기-제8순환기 중 정점(peak)에서 평균 12개월, 저점(trough)에서 평균 6개월의 선행성(look-ahead)을 보여 줌으로써 경기변동에 앞서 상당기간의 시차를 둔 예측지표로서 활용가능성이 입증되었다. NEWFM은 그 특징선택(feature selection)에 의하여 선행지표 10개 중 3개의 축소를 기할 수 있게 해 줌으로써 보다 적은 수의 경제지표를 가지고도 분류성능을 90.0%에서 92.22%로 향상을 기하는 가운데 효율적인 예측기능을 수행할 수 있음이 입증되었다.

Keywords

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