The hybrid model of autoregressive integrated moving average and fuzzy time series Markov chain on long-memory data
IntroductionThe price of crude oil as an essential commodity in the world economy shows a pattern and identifies the component factors that influence it in the short and long term. The long pattern of the price movement of crude oil is identified by a fractionally time series model where the accurac...
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Frontiers Media S.A.
2022-12-01
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| Series: | Frontiers in Applied Mathematics and Statistics |
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| Online Access: | https://www.frontiersin.org/articles/10.3389/fams.2022.1045241/full |
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| author | Dodi Devianto Kiki Ramadani Maiyastri Yudiantri Asdi Mutia Yollanda |
| author_facet | Dodi Devianto Kiki Ramadani Maiyastri Yudiantri Asdi Mutia Yollanda |
| author_sort | Dodi Devianto |
| collection | DOAJ |
| description | IntroductionThe price of crude oil as an essential commodity in the world economy shows a pattern and identifies the component factors that influence it in the short and long term. The long pattern of the price movement of crude oil is identified by a fractionally time series model where the accuracy can still be improved by making a hybrid residual model using a fuzzy time series approach.MethodsTime series data containing long-memory elements can be modified into a stationary model through the autoregressive fractional integrated moving average (ARFIMA). This fractional model can provide better accuracy on long-memory data than the classic autoregressive integrated moving average (ARIMA) model. The long-memory data are indicated by a high level of fluctuation and the autocorrelation value between lags that decreases slowly. However, a more accurate model is proposed as a hybridization time series model with fuzzy time series Markov chain (FTSMC).ResultsThe time series data collected from the monthly period of West Texas Intermediate (WTI) oil price as the standard for world oil prices for the 2003–2021 time period. The data of WTI oil price has a long-memory data pattern to be modeled fractionally, and subsequently their hybrids. The times series model of crude oil price is obtained as the new target model of hybrid ARIMA and ARFIMA with FTSMC, denoted as ARIMA-FTSMC and ARFIMA-FTSMC, respectively.DiscussionThe accuracy model measured by MAE, RMSE, and MAPE shows that the hybrid model of ARIMA-FTSMC has better performance than ARIMA and ARFIMA, but the hybrid model of ARFIMA-FTSMC provides the best accuracy compared to all models. The superiority of the hybrid time series model of ARFIMA-FTSMC on long-memory data provides an opportunity for the hybrid model as the best and more precise forecasting method. |
| first_indexed | 2024-04-11T07:15:29Z |
| format | Article |
| id | doaj.art-5f28942d401a4982b38f82abfd2b3db1 |
| institution | Directory Open Access Journal |
| issn | 2297-4687 |
| language | English |
| last_indexed | 2024-04-11T07:15:29Z |
| publishDate | 2022-12-01 |
| publisher | Frontiers Media S.A. |
| record_format | Article |
| series | Frontiers in Applied Mathematics and Statistics |
| spelling | doaj.art-5f28942d401a4982b38f82abfd2b3db12022-12-22T04:38:00ZengFrontiers Media S.A.Frontiers in Applied Mathematics and Statistics2297-46872022-12-01810.3389/fams.2022.10452411045241The hybrid model of autoregressive integrated moving average and fuzzy time series Markov chain on long-memory dataDodi DeviantoKiki Ramadani MaiyastriYudiantri AsdiMutia YollandaIntroductionThe price of crude oil as an essential commodity in the world economy shows a pattern and identifies the component factors that influence it in the short and long term. The long pattern of the price movement of crude oil is identified by a fractionally time series model where the accuracy can still be improved by making a hybrid residual model using a fuzzy time series approach.MethodsTime series data containing long-memory elements can be modified into a stationary model through the autoregressive fractional integrated moving average (ARFIMA). This fractional model can provide better accuracy on long-memory data than the classic autoregressive integrated moving average (ARIMA) model. The long-memory data are indicated by a high level of fluctuation and the autocorrelation value between lags that decreases slowly. However, a more accurate model is proposed as a hybridization time series model with fuzzy time series Markov chain (FTSMC).ResultsThe time series data collected from the monthly period of West Texas Intermediate (WTI) oil price as the standard for world oil prices for the 2003–2021 time period. The data of WTI oil price has a long-memory data pattern to be modeled fractionally, and subsequently their hybrids. The times series model of crude oil price is obtained as the new target model of hybrid ARIMA and ARFIMA with FTSMC, denoted as ARIMA-FTSMC and ARFIMA-FTSMC, respectively.DiscussionThe accuracy model measured by MAE, RMSE, and MAPE shows that the hybrid model of ARIMA-FTSMC has better performance than ARIMA and ARFIMA, but the hybrid model of ARFIMA-FTSMC provides the best accuracy compared to all models. The superiority of the hybrid time series model of ARFIMA-FTSMC on long-memory data provides an opportunity for the hybrid model as the best and more precise forecasting method.https://www.frontiersin.org/articles/10.3389/fams.2022.1045241/fullautoregressive integrated moving averageautoregressive fractionally integrated moving averagefuzzy time series Markovhybrid time series modelmodel accuracy |
| spellingShingle | Dodi Devianto Kiki Ramadani Maiyastri Yudiantri Asdi Mutia Yollanda The hybrid model of autoregressive integrated moving average and fuzzy time series Markov chain on long-memory data Frontiers in Applied Mathematics and Statistics autoregressive integrated moving average autoregressive fractionally integrated moving average fuzzy time series Markov hybrid time series model model accuracy |
| title | The hybrid model of autoregressive integrated moving average and fuzzy time series Markov chain on long-memory data |
| title_full | The hybrid model of autoregressive integrated moving average and fuzzy time series Markov chain on long-memory data |
| title_fullStr | The hybrid model of autoregressive integrated moving average and fuzzy time series Markov chain on long-memory data |
| title_full_unstemmed | The hybrid model of autoregressive integrated moving average and fuzzy time series Markov chain on long-memory data |
| title_short | The hybrid model of autoregressive integrated moving average and fuzzy time series Markov chain on long-memory data |
| title_sort | hybrid model of autoregressive integrated moving average and fuzzy time series markov chain on long memory data |
| topic | autoregressive integrated moving average autoregressive fractionally integrated moving average fuzzy time series Markov hybrid time series model model accuracy |
| url | https://www.frontiersin.org/articles/10.3389/fams.2022.1045241/full |
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