AutoMFIS: Fuzzy Inference System for multivariate time series forecasting

A time series is the most commonly used representation for the evolution of a given variable over time. In a time series forecasting problem, a model aims at predicting the series' future values, assuming that all information needed to do so is contained in the series' past behavior. Since the phenomena described by the time series does not always exist in isolation, it is possible to enhance the model with historical data from other related time series. The structure formed by several different time series occurring in parallel, each featuring the same interval and dimension, is called a multivariate time series. This paper presents a methodology for the generation of a Fuzzy Inference System (FIS) for multivariate time series forecasting from historical data, aiming at good performance in both forecasting accuracy and rule base interpretability - in order to extract knowledge about the relationship between the modeled time series. Several aspects related to the operation and construction of such a FIS are investigated regarding complexity and semantic clarity. The model is evaluated by applying it to multivariate time series obtained from the complete M3 competition database and by comparing it to other methods in terms of accuracy. In addition knowledge extraction possibilities from the resulting rule base are explored.

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