A new intuitionistic fuzzy time series method based on the bagging of decision trees and principal component analysis

Intuitionistic fuzzy time series methods provide a good alternative to the forecasting problem. It is possible to use the historical values of the time series as well as the membership and non-membership values obtained for the historical values as effective factors in improving the forecasting performance. In this study, a high order single variable intuitionistic fuzzy time series reduced forecasting model is first introduced. A new forecasting method is proposed for the solution of the forecasting problem in which the functional structure between the historical information of the intuitionistic time series and the forecast is obtained by bagging of decision trees based on the high order single variable intuitionistic fuzzy time series reduced forecasting model. In this study, intuitionistic clustering is employed to create intuitionistic fuzzy time series. To create a simpler functional structure with Bagging of decision trees, the input data from lagged variables, memberships, and non-membership values are subjected to dimension reduction by principal component analysis. The performance of the proposed method is compared with popular forecasting methods in the literature for ten different time series randomly obtained from the S&P500 stock market. According to the results of the analyses, the forecasting performance of the proposed method is better than both classical forecasting methods and some popular shallow and deep neural networks.