xftsp: A tool for time series prediction by means of fuzzy inference systems

A new software tool for time series prediction by means of fuzzy inference systems is reported. This tool, named xftsp, implements a novel methodology for time series prediction based on methods for automatic fuzzy systems identification and supervised learning combined with statistical methods for nonparametric residual variance estimation. xftsp is designed as a tool integrated in the Xfuzzy development environment for fuzzy systems. Experiments carried out on a number of time series benchmarks show the advantages of xftsp in terms of both accuracy and computational requirements as compared against Least-Squared Support Vector Machines, an established technique in the field of time series prediction.