Fuzzy rule-based ensemble for time series prediction: The application of linguistic associations mining

As there are many various methods for time series prediction developed but none of them generally outperforms all the others, there always exists a danger of choosing a method that is inappropriate for a given time series. To overcome such a problem, distinct ensemble techniques, that combine more individual forecasts, are being proposed. In this contribution, we employ the so called fuzzy rule-based ensemble. This method is constructed as a linear combination of a small number of forecasting methods where the weights of the combination are determined by fuzzy rule bases based on time series features such as trend, seasonality, or stationarity. For identification of fuzzy rule base, we use linguistic association mining. An exhaustive experimental justification is provided.