A Fuzzy Time Series-Markov Chain Model with an Application to Forecast the Exchange Rate between the Taiwan and US Dollar

機構典藏 > College of Business and Management > Department of Management Sciences > Journal Article > Item 987654321/90306

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/90306

Title:	A Fuzzy Time Series-Markov Chain Model with an Application to Forecast the Exchange Rate between the Taiwan and US Dollar
Authors:	Tsaur, Ruey-Chyn
Contributors:	淡江大學管理科學學系
Keywords:	Fuzzy time series model;Markov chain;Fuzzy logic group;Exchange rate
Date:	2012-07
Issue Date:	2013-06-10 15:46:19 (UTC+8)
Publisher:	Kumamoto: I C I C International
Abstract:	In this study, a fuzzy time series-Markov chain approach for analyzing the linguistic or a small sample time series data is proposed to further enhance the predictive accuracy. By transferring fuzzy time series data to the fuzzy logic group, and using the obtained fuzzy logic group to derive a Markov chain transition matrix, a set of adjusted enrollment forecasting values can be obtained with the smallest forecasting error of various fuzzy time series methods. Finally, an illustrated example for exchange rate forecasting is used to verify the effectiveness of the proposed model and confirms the potential benefits of the proposed approach with a very small MAPE.
Relation:	International Journal of Innovative Computing, Information and Control 8(7)pt.B, pp.4931-4942
Appears in Collections:	[Department of Management Sciences] Journal Article

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	424	View/Open