Fuzzy Sets and Systems 54 (1993) 269-277 269

North-Holland

Fuzzy time series and its models

Qiang Song and Brad S. Chissom
College of Education, The University of Alabama, Tuscaloosa, AL, USA

Received June 1991

Revised August 1991

Abstract: Based upon the works by Zadeh (1973, 1975), in this paper, a special dynamic process with linguistic values as its
observations is defined and studied. This dynamic process is called fuzzy time series. To describe fuzzy time series, fuzzy
relational equations are employed as the models. There are two classes of fuzzy time series: time-variant and time-invariant. The
definition of fuzzy time series is given, some properties of fuzzy time series are explored, and procedures to develop fuzzy time
series models are discussed. Finally, a procedure for using fuzzy time series for forecasting is suggested.

Keywords: Fuzzy time series; fuzzy conditional statements; fuzzy sets; fuzzy relational equations; forecasting; linguistic values;
linguistic variables; models.

1. Introduction

Since its creation in 1965 by Z a d e h [3], fuzzy set theory has enjoyed fruitful achievements both in
theory and applications. The motivation of fuzzy set theory is mainly to provide a formal, powerful and
quantitative f r a m e w o r k to cope with the vagueness of h u m a n knowledge as it is expressed by means of
natural languages [5]. It is because of this that fuzzy set theory has proved a powerful tool different
from traditional methodologies.
As fuzzy set theory is being applied into wider and wider areas, such as decision making, planning,
logic, systems theory, artificial intelligence, economics, control theory and so on, m o r e and m o r e
realistic problems and accordingly methods have been presented and studied in depth by scholars. Yet,
in reviewing the literature carefully, one would find that little work has been done formally about a
special dynamic process whose observations are linguistic values. This kind of dynamic process has a
very important role in making practical applications. Later in this paper, it will be shown that a
universal forecasting m e t h o d using fuzzy sets can be derived from the models of this process. This
process will be defined as f u z z y time series. The goal of this p a p e r is to provide a theoretic framework,
based on Z a d e h ' s works [1, 2], to model this dynamic process and apply the models for forecasting
under these fuzzy environments in which historical data are of linguistic values.
This p a p e r is organized as follows: in Section 2, two examples and the definition of fuzzy time series
will be given; in Section 3, various models will be introduced; in Section 4, the calculation of the
models will be discussed; in Section 5, extensions of the models will be presented; in Section 6, some
properties of time-invariant fuzzy time series will be explored; and in Section 7, a brief forecasting
procedure using fuzzy time series will be suggested.

2. Fuzzy time series

To understand what fuzzy time series is, let us first consider two examples which are very c o m m o n in
daily life.

Correspondence to: Qiang Song, The University of Alabama, Area of Behavioral Studies, College of Education, Box 870231,
Tuscaloosa, AL 35487-0231, USA.
0165-0114/93/$06.00 © 1993---ElsevierScience Publishers B.V. All rights reserved
270 Q. Song, B.S. Chissom / Fuzzy time series and its models

Example 1. Let us observe the weather of a certain place in north America, beginning from the first
day and ending with the last day of a year. Instead of using numerical values like degrees centigrade,
we will apply linguistic values, i.e., the common daily words used to describe the weather conditions.
These words may be good, very good, quite good, very very good, cool, very cool, quite cool, hot, very
hot, cold, very cold, very very cold and so on. On each day, the temperature changes with time t. In the
morning, in the afternoon, and at night, the temperatures are different. Humans evaluate a day using
these vocabularies primarily based on their own subjective views of point and experience knowledge.
There are two points that should be noticed: (1) on different days, the ranges of temperature may
be different; (2) on different days, the possible words used to describe the weather conditions may be
different. For example, temperatures have different ranges in winter and in summer. In addition,
generally in winter, we use very cold, cold, quite cold and other words, and it is hard to believe that we
could use very hot. If we record the observations of the weather in terms of linguistic values every day,
we obtain a special series whose values are linguistic values or words with fuzzy meanings, and as time
changes, these observations values may change too. Since these linguistic values can be translated into
fuzzy sets [2], this kind of series has fuzzy sets as its observations in nature. Clearly, this kind of series
is completely different from the traditional time series and no models employed in time series can be
applicable here.

Example 2. Let us observe the mood of a person with normal mental conditions during a period of
time. Usually in daily life, the mood of a person can be expressed according to his own feelings as
good, very good, very very good, really good, bad, very bad, not too bad, and so forth. They are the
possible values of mood if mood is taken as a lingustic variable [2]. Now, define an interval [0, 10] and
try to develop some relationships of this interval with all the possible values of mood. It is easier and
more realistic to define a fuzzy set on this interval using a possible value of mood than to assign a
number from this interval to a possible value of mood. Therefore, we will define some fuzzy sets upon
this interval using the possible values of mood. We can record the person's self-evaluation of mood
each day in terms of the words mentioned above and then we can obtain a dynamic process whose
values are fuzzy sets defined on the interval [0, 10]. As time changes, the values change too. This
dynamic process cannot be modeled by means of the conventional time series.

These two examples have some common characteristics: (1) they are dynamic processes; (2) their
observations are fuzzy sets; (3) the universes of discourse for the fuzzy sets are subsets of R 1, either
naturally or artificially defined; and (4) conventional time series models are no longer applicable to
describe these processes.
We have now encountered a new phenomenon, a new dynamic process. We call this process fuzzy
time series. But, for the sake of accuracy, it is necessary to provide a definition of fuzzy time series.

Definition 1. Let Y(t) (t = . . . , 0, 1, 2 . . . . ), a subset of R1, be the universe of discourse on which

fuzzy sets f//(t) (i = 1, 2, . . . ) are defined and F(t) is the collection of f/(t) (i -- 1, 2 . . . . ). Then F(t) is
called a fuzzy time series on Y(t) (t = . . . , O, 1, 2 . . . . ).

Referring to the above examples, in Definition 1, F(t) can be understood as a linguistic variable and
fi(t) (i = 1, 2 . . . . ) as the possible linguistic values of F(t). Because at different times, the values of F(t)
can be different, F(t) is a function of time t. Also, since the universes of discourse can be different at
different times, we use Y(t) for the universe at time t.
The main difference between the conventional time series and fuzzy time series is that the
observations of the former are real numbers while those of the latter are fuzzy sets.
It should be pointed out that a fuzzy time series is not fuzzy.
 Q. Song, B.S. Chissom [ Fuzzy time series and its models 271

3. Models of fuzzy time series

Like the conventional time series, we hope to develop models to describe fuzzy time series. There
might be more than one approach to modeling fuzzy time series. But, in this paper, we will employ
fuzzy relational equations as the models, because first the values of fuzzy time series are fuzzy sets, and
second we assume that the observations at time t are the accumulated results of the observation(s) at
the previous times. That is to say, there is a causal relationship between the observations at time t and
those at previous times. Thus, the modeling process is, in essence, to develop fuzzy relations among the
observations at different times of interests.
Suppose I and J are indices sets for F ( t - 1) and F ( t ) respectively. For convenience, the following
definitions are necessary.

Definition 2. If for any fj(t) • F ( t ) where j • J, there exists an fi(t - 1) • F ( t - 1) where i • I such that
there exists a fuzzy relation Rq(t, t - 1 ) and f j ( t ) = f i ( t - 1 ) o R o ( t , t - l ) where 'o' is the max-min
composition, then F ( t ) is said to be caused by F ( t - 1) only. Denote this as
fii(t - 1)--* fj(t) (1)
or equivalently
F ( t - 1)---> F ( t ) . (la)

Definition 3. If for any fj(t) e F ( t ) where j e J there exist an f/(t - 1) • F ( t - 1) where i • I and a fuzzy
relation Rij(t, t - 1) such that fj(t) =f/(t - 1 ) o R q ( t , t - 1), let R ( t , t - 1) = U ~ , j R q ( t , t - 1) where ' U ' is
the union operator. Then R ( t , t - 1) is called the fuzzy relation between F ( t ) and F ( t - 1) and define
this as the following fuzzy relational equation:
F ( t ) = F ( t - 1)oR(t, t - 1). (2)

Definition 4. Suppose F ( t ) is a fuzzy time series (t = . . . , 0, 1, 2 . . . . ) and t I #= t 2. If for any f/(tl) • F ( t l )

there exists an fi(t2)• F(t2) such that f/,-(tl)=fj(t2) and vice versa, then define F ( t l ) = F(t2).

Definition 5. Suppose R l ( t , t - 1 ) --- ~-Ji,j Rij(t,

1 t - 1) and R2(t, t - 1) = U i j Rq(t,
2 t - 1) are two fuzzy
relations between F ( t ) and F ( t - 1). If for any fj(t) e F ( t ) where j • J there exist an f~(t - 1) • F ( t - 1)
where i • I and fuzzy relations R~(t, t - 1) and R2(t, t - 1) such that
fj(t) = f / ( t - 1)og~j(t, t - 1) and fj(t) =f,-(t - l)ogZ(t, t - 1),
then define R l ( t , t - 1) = R2(t, t - 1).

Definition 6. If for any fj(t) • F ( t ) , there exist an integer m > 0 and a fuzzy relation RP(t, t - m ) such
that
fj(t) -- (fil(t - 1) x fi2(t - 2) × . - . × f/m(t - m))oRP(t, t - m )
where ' × ' is the Cartesian product, ] • J and ik • Ig where Ik is the index set for F ( t - k) (k = 1 to m),
then F ( t ) is said to be caused by F ( t - 1 ) , F ( t - 2 ) . . . . . and F ( t - m ) simultaneously. Define
Ra(t, t - m ) = [_.JpRP(t, t - m ) as the fuzzy relation between F ( t ) and F ( t - 1 ) , F(t-2) ..... and
F ( t - m ) . Denote this relation as
fi,(t - 1) n f/2(t - 2) n.-. n f~m(t - m ) - - > f j ( t ) (3)
or equivalently
F ( t - 1) n F ( t - 2) n F ( t - 3) N . - - n F ( t - m)----> F ( t ) (3a)
where ' n ' is the intersection operator and the following fuzzy relational equation:
F(t) = (F(t - 1) x F(t - 2) x... X F(t - m ) ) °Ra(t, t - m). (4)
272 Q. Song, B.S. Chissom / Fuzzy time series and its models

Definition 7. In Definition 6, with other conditions the same, if there exists a fuzzy relation
RPo(t, t - m ) such that

fj(t) = (fil(t - 1) U fi2(t - 2) O . . - U fim(t - m ) ) oRP(t, t - m ) ,

then F ( t ) is said to be caused by either F ( t - 1) or F ( t - 2) o r . . . or F ( t - m ) . Denote this relation as
f/l(t - 1) Ofi2(t - 2) U - . . Ufim(t - m)---~f;(t) (5)
or equivalently
F ( t - 1) tO F ( t - 2) tO F ( t - 3) U . . . tO F ( t - m ) - - * F ( t ) (5a)
and the following fuzzy relational equation:
F ( t ) = ( F ( t - 1) t_JF ( t - 2) U - . . U V ( t - m ) ) o R o ( t , t - m ) (6)
where

Ro(t, t - m ) = (_J RPo(t, t - m )

p

and Ro(t, t - m ) is defined the fuzzy relation between F ( t ) and F ( t - 1) or F ( t - 2) or . . . or F ( t - m ) .

With the above definitions, we can define the concepts of order of models and classify two different
fuzzy time series.

Definition 8. Suppose F ( t ) is caused by F ( t - 1 ) only or by F ( t - 1 ) or F ( t - 2 ) or . . . or F ( t - m )

(m > 0). This relation can be expressed as the following fuzzy relational equation:
F ( t ) -- F ( t - 1) o R ( t , t - 1) (7)
or
F ( t ) = ( F ( t - 1) U F ( t - 2) t O . " U F ( t - m ) ) o R o ( t , t - m ) . (8)
Then equation (7) or (8) is called the first-order model of F ( t ) .

Definition 9. Suppose F ( t ) is caused by F ( t - 1), F ( t - 2) . . . . . and F ( t - m) (m > 0) simultaneously.

This relation can be expressed as the following fuzzy relational equation:
F(t) = (F(t - 1) × F(t - 2) × - - . × F(t - m))°Ra(t , t - m). (9)
Then equation (9) is called the m-th-order model of F ( t ) .

Definition 1O. If in (7) or (8) or (9), the fuzzy relation R ( t , t - 1) or Ra(t, t - m ) or Ro(t, t - m ) of F ( t )
is independent of time t, that is to say, for different times tl and t2, R ( t l , tl -- 1) ----R ( t 2 , t 2 - 1), or
Ra(tl, tl - m ) = Ra(t2, t2 - m ) , or Ro(tl, tl - m) = Ro(t2, te - m), then F ( t ) is called a time-invariant
fuzzy time series. Otherwise it is called a time-variant fuzzy time series.

In the case of time-invariant fuzzy time series,

g ( t , t - 1) = R, (10)
Ra(t, t - m) = Ra(m ), (11)
Ro(t, t - m ) = R o ( m ) . (12)
It should be noted that generally at different times t I and t2, R ( h , tg - 1) 4: R ( t 2 , t2 - 1), R a ( q , tl -
m)4:Ra(tz, tz-m) and R o ( t l , t l - m ) 4 = R o ( t 2 , t 2 - m ) . There are two reasons for this: first, the
universes of discourse on which the fuzzy sets are defined may be different at different times; second,
the values of F ( t ) at different times may be different. Therefore, the classifications of fuzzy time series
are meaningful.
 Q. Song, B.S. Chissom / Fuzzy time series and its models 273

4. Calculations of the fuzzy relations

It can be seen from the above that in the models, the most important factors are R(t, t - 1),
R a ( t - m ) and R o ( t - m ) , the fuzzy relations. Since there are a n u m b e r of calculation methods to
determine these fuzzy relations [5, 6], different methods will yield different results. In this paper, we
will follow Mamdani's m e t h o d to determine these relations [4].
Suppose F(t) is a fuzzy time series (t = . . . , 0, 1, 2 , . . . ) . For the first-order model R(t, t - 1) of F(t),
according to Definition 3, for any fj(t) e F(t) where j e J there exist an fi(t - 1) e F(t - 1) where i e I and
a fuzzy relation Rij(t, t - 1) such that fj(t) = f / ( / - 1) oRij(t, t - 1) and R(t, t - 1) = [,_J~.jRq(t, t - 1). For
simplicity, in the following discussion, we will also use fj(t) and f~(t - 1) as the membership functions for
fuzzy sets fj(t) and f/(t - 1) respectively. Since fj(t) = f i ( t - 1)oRij(t, t - 1) is equivalent to "IF f/(t -- 1)
THEN fj(t)", we have Rij(t, t - 1) = f//(t- 1) x fj(t) and therefore [6, 7]
R(t, t - 1) = m a x { m i n ( f / ( / - 1), fj(t))}. (13)
t,J

For the first-order model Ro(t, t - m ) of F(t), according to Definition 7,

fj(t) = (f/,(t - 1) U f//2(t - 2) t.J • • • U f/m(t - m))oRPo(t, t - m).
This is equivalent to "tF f/,(t -- 1) OR fi2(t -- 2) O R . . . ORf/m(t -- m) THEN fj(t)" and we have
RPo(t, t - m ) = f/,(t - 1) x fj(/) U f/2(/- 2) x fj(t) U . . . U f//~(/- m) x fj(/). (14)
Therefore,
RPo(t,t - m ) = max {min (f/k(t- k), fj(t))} (15)
,. ik, j

and

Ro(t,t- m ) = max {max ,/minik,/(fik(t--k)' fj(t))}}. (16)

For the m-th-order model Ra(t - m ) of F(t), according to Definition 6,

fj(t) = (fi,(t - 1) X f,=(t - 2) X . . . ×f,m(t - m))oRPa(t, t - m )
where j e J and ik ~Ik with Ik the index set for F(t - k) (k = 1 to m). This is equivalent to "iF f~,(t -- 1)
AND f/2(t -- 2) A N D . . . AND fi,.(t -- m ) THEN f j ( t ) " and we have

RPa(t, t - m ) = f//,(t- 1) x f i : ( t - 2) x . . . x f / ~ ( t - m) x f~(r). (17)

Therefore,
RP(t, t - m ) = min (fj(t), f/l(t - 1), f//2(t - 2 ) , . . . , f/m(t - m)), (18)
],il ..... im

Ra(t, t - m ) = max {,.im!ni, (fj(t), f i , ( t - 1), f,-2(t - 2) . . . . , f//~(t - m ) ) } . (19)

5. Some extensions

In the former sections, we have studied only one fuzzy time series F(t) and derived its models. In
practice, there are still these situations in which two or more fuzzy times series exist and these fuzzy
time series have relations with each other. In this case, we need to derive the relations a m o n g them.
For simplicity, we will only consider two fuzzy times series.
Suppose F(t) and G ( t ) are two different fuzzy time series defined on Y(t) and W ( t ) respectively
(t = . . . , 0, 1, 2 . . . . ) where Y(t) and W ( t ) are subsets of R 1. It is not difficult to obtain definitions
similar to those in Section 3. But we are more interested in constructing models under three different
274 Q. Song, B.S. Chissom / Fuzzy time series and its models

conditions. For simplicity, we will also use gi(t) as the membership functions of the fuzzy sets gi(t)
( i = 1 , 2 . . . . ).
(1) Suppose G ( t - 1)-+ F ( t ) , i.e., F ( t ) is caused by G ( t - 1) only. Then, following Section 4 yields

Rgr(t, t - 1) = U (gi(t - 1) x f,.(t)) (20)

i,j

where Rgy(t, t - 1 ) is defined the fuzzy relation between F ( t ) and G ( t - 1 ) , and G ( t - 1 ) is the
collection of fuzzy sets gi(t - 1)'s defined on W ( t - 1). Then, the above relation can be expressed as the
following fuzzy relational equation:
F ( t ) = G ( t - 1)o Rgf(t, t - 1). (21)
To calculate Rgr(t, t - 1), following Section 4 yields

Rgt(t, t - 1) = m a x { m i n ( g i ( t - 1), fj(t))}. (22)

I,]

(2) Suppose G ( t - 1) O G ( t - 2) n . • • n G ( t - m ) - - + F ( t ) , i.e., F ( t ) is caused by G ( t - 1), G ( t -

2) . . . . . and G ( t - m) (m > 0) simultaneously. Then this fuzzy relation can be expressed as
RPgfa(t, t - m ) = g i , ( t - 1) x g i 2 ( t - 2) × . . . x g i m ( t - m ) x fj(t) (23)
and
F ( t ) = ( G ( t - 1) × G ( t - 2) x . . . x G ( t - m ) ) ° Rgfa( t, t - m ) (24)
where Rgta(t, t - m ) = U p R ~ a ( t, t - m ) . To calculate Rgta(t, t - m ) , use the following formula:

R~a(t, t - m) = mpax "],ill

minim ( f j ( t ) , & l ( t - 1 ) , g i 2 ( t - 2) . . . . ,gim(t-m))}. (25)

(3) Suppose G ( t - 1) U G ( t - 2) U G ( t - 3) U . . . U G ( t - m ) - - + F ( t ) , i.e., F ( t ) is caused by either

G ( t - 1) or G ( t - 2) or G ( t - 3) or . . . or G ( t - m ) . Then the fuzzy relation is as follows:

R ~ o ( t , t - m ) = gi,(t - 1) x fj(t) U giz(t - 2) x fj(t) U . . . U gim(t - m ) x fj(t) (26)

and
F ( t ) = ( G ( t - 1) tO G ( t - 2) O G ( t - 3) O - - - O G ( t - m ) ) oRgro(t, t - m ) (27)
where Rgro(t, t - m ) = U p R~ro(t, t - m ) . To calculate Rgro(t, t - m ) , use the following formula:

R~o(t, t-m)=max { m ! n ( g i k ( t - 1), f/(t))}

and
Rgyo(t,t-m) = max maxk t/minik,j(gik(t - 1), fj(t))}. (28)

6. Some properties of time-invariant fuzzy time series

Since the models of time-invariant fuzzy times series are independent of time t, it can be seen that
the time-invariant fuzzy time series is simpler than the time-variant fuzzy time series. But, it has some
good and simple properties which will make the time-invariant fuzzy time series more widely used.
Given a fuzzy time series, the first question is when it is time-invariant. The following theorem will give
an answer:

Theorem 1. I f F ( t ) is a f u z z y time series, f o r any t, F ( t ) has only finite e l e m e n t s fi(t) (i = 1, 2 . . . . . n)

a n d F ( t ) = F ( t - 1), then F ( t ) is a time-invariant f u z z y time series.
 Q. Song, B.S. Chissom / Fuzzy time series and its models 275

Proof. Since for any t, F ( t ) has only finite elements and F ( t ) = F ( t - 1), without loss of generality,
rearrange the subscript of each element of F ( t ) (t = . . . , 0, 1, 2 , . . . ) such that these with the same
values at different time t's have the same subscript. For simplicity, we will use double subscripts for
each element. The first one stands for the relative position within F ( t ) and the second one for the
relative time t. According to Definition 4, the following is true:
=rio(t) =fn(t - 1) =f12(t - 2) . . . . . fl,(t - n) . . . .
= f20(t) = f2,(t - 1) = f22(t - 2) . . . . . f2n(t - n) . . . . (29)

.... f , o ( t ) = f , l ( t - 1) = f , 2 ( t - 2) . . . . . f,,(t - n) ....

Let R ( t , t - 1) = [.--Ji,j(Rij(t, t - 1)) and R ( t - 1, t - 2) = U i j ( R i j ( t - 1, t - 2)). For any j ~ J and i 6 I,

suppose R e ( t , t - 1) = f / l ( t - 1) × fio(t) which is equivalent to rio(t) = f~l(t - 1)o R q ( t , t - 1). According to
(29), there exist an f / 2 ( t - 2 ) and an f ] l ( t - 1 ) such that r i o ( t ) = f j l ( t - 1 ) and f,l(t-1)=f,-2(t-2).
Therefore,
Rij(t, t - 1) = f//,(t- 1) x rio(t)= f//2(t- 2) x f j , ( t - 1 ) = R i j ( t - 1, t - 2 ) .

This means that Rij(t, t - 1) ~_ Rij(t - 1, t - 2). Suppose Rij(t - 1, t - 2) =f~2(t - 2) x fj~(t - 1).
According to (29), there exist an rio(t) and an f//l(t- 1) such that f i o ( t ) = f ~ l ( t - 1) and f , ( t - 1 ) =
f/2(t - 2). Therefore,
Rij(t- 1, t - 2 ) =f~2(t- 2) x f j l ( t - 1) = f , ( t - 1) x rio(t) = R q ( t , t - 1).
This implies that R q ( t - 1, t - 2) ~_ R q ( t , t - 1). Therefore, R ( t , t - 1) = R ( t - 1, t - 2). Similarly, we
can prove that for any t, Ra(t, t - m ) = R a ( t - 1, t - 1 - m ) , and R o ( t , t - m ) = R o ( t - 1, t - 1 - m ) .
According to Definition 10, F ( t ) is a time-invariant fuzzy time series. This finishes the proof.

For time-invariant fuzzy time series, the calculation of the fuzzy relations becomes very simple.
Unlike time-variant fuzzy time series, where when calculting the fuzzy relation R ( t , t - 1), according to
Definition 3, we must consider all the possible fuzzy relations between any possible pairs of the
elements of F ( t ) and F ( t - 1), for time-invariant fuzzy time series, we need only to consider one
possible pair of the elements of F ( t ) and F ( t - 1) with all possible t's. That is to say, we can use
different pair of elements of F ( t ) and F ( t - 1) at different time t to calculate the fuzzy relation. This
property can be expressed as follows:

Theorem 2. I f F ( t ) is a f u z z y t i m e series, f o r a n y t, F ( t ) = F ( t - 1) a n d F ( t ) h a s o n l y f i n i t e e l e m e n t s fii(t)

(i = 1, 2, . . . , n ) , t h e n R ( t , t - 1) c a n b e e x p r e s s e d as

R = R ( t , t - 1) . . . . O f//,(t - 1) x fj0(t ) U f/2(t - 2) Xfjl(t -- 1) U . . . U f/m(t - m) x fjm_l(t -- m + 1) U . . .

(30)
w h e r e rn > 0 a n d e a c h p a i r o f f u z z y sets are different.

Proof. Obviously, from Theorem 1, F ( t ) is a time-invariant fuzzy time series. According to Definition
10, R ( t , t - 1) is independent of t and therefore R ( t , t - 1) = R. Because of this, the following holds:
.... R(t+ l, t)=R(t,t-1)=R(t-l,t-2)=R(t-2, t-3) .... (31)
Since
R ( t , t - 1) = U (Rij(t, t - 1)) = I._3(f~(t - 1) x fj(t)) (t = . . . , 0, 1, 2 . . . . )
l,I i,j

and F ( t ) has only n elements, the maximum number of different components, R e ( t , t - 1)'s, of
R ( t , t - 1), is n 2. Obviously, all R ( t , t - 1)'s have the same components. To prove (30), let us conduct a
276 Q. Song, B.S. Chissom / Fuzzy time series and its models

selection process. First, at an arbitrary and fixed time t, select a pair of elements of F ( t ) and F ( t - 1),
say, fj0(t) and f//l(t- 1), and then calculate f/,(t - 1) × rio(t). At t - 1, select a different pair of elements of
F ( t - 1) and F ( t - 2), say fjl(t - 1) and f//2(t - 2) and then calculte f/2(t - 2) x f j , ( / - 1). Suppose at time
t - k (k > 1), we have selected a pair of elements, say, fJk ,(t - k + 1) and f~k(t - k), of F ( t - k + 1) and
F ( t - k ) which are different from any pairs selected before, and then calculate f ~ ( t - k)×fj~ ~(t- k +
1). Since R has at most n 2 components, following the above procedure, at most n 2 steps are needed to
select all the different components needed to calculate R. This finishes the proof.

Obviously, these theorems can be extended to other cases of fuzzy time series without difficulty.
Theorem 2 has practical significance. To construct a model for a time-invariant fuzzy time series, we
do not need to consider all the observations at two consecutive times. Instead, we can sample only one
observation at each time and set up the fuzzy relations for each pair of observations at consecutive
times. The summation of all the fuzzy relationships over time t then will be the model. This property is
extremely useful in forecasting where at each time t we have only one piece of historical data. In fact, in
applications, we can define only finite fuzzy sets and mostly the fuzzy sets and universes of discourse are
selected to be the same for different time t. Thus, time-invariant fuzzy time series is quite common.

7. Forecasting procedures using fuzzy time series

One of the possible applications of fuzzy time series is forecasting in a fuzzy environment, that is to
say, forecasting when the historical data are only linguistic values. Let us take Example 1 in Section 2
as an example. Suppose we have collected the past month's weather conditions in terms of linguistic
values. What we wish to do is to predict the next week's weather conditions. In this case, the
conventional time series can never be applicable but fuzzy time series can. Although fuzzy sets
methodology has been applied to weather forecasting [8] and some other areas [7], fuzzy time series
will provide a universal method for forecasting under fuzzy environments.
The main point of applying fuzzy time series to forecasting is to use fuzzy approximate reasoning. If
we have set up the model of a fuzzy time series using historical data, the model being F ( t ) =
F ( t - 1)oR(t, t - 1), when given an f ' ( t - 1) which is different from any f ( t - 1) • F ( t - 1), the output
of the model is f ' ( t ) which might be different from any f ( t ) • F ( t ) . There is no reason to reject that the
output f ' ( t ) can be taken as the projected value from f ' ( t - 1). In this process, fuzzy approximate
reasoning has an important role.
At this stage, we will only give some outlines to apply fuzzy time series to forecasting in fuzzy
environments. More details will be given in [9]. For simplicity, we will only consider time-invariant
fuzzy time series. Usually, the procedures are as follows:
Step 1. Define the universes of discourse on which some fuzzy sets will be defined.
Step 2. Collect historical data (usually linguistic values).
Step 3. Define fuzzy sets on the universes of discourse using the historical linguistic data.
Step 4. Set up fuzzy relationships using historical data.
Step 5. Sum up all the relationships defined in Step 4. According to Theorem 2, the summation will
be the model.
Step 6. Apply the input to the model and calculate the output for forecast. The output will be the
forecasted value.
Step 7. Defuzzify the output of the model (sometimes this step is not necessary).

8. Concluding remarks

In this paper, we have defined and studied fuzzy time series. In general, the difference between the
traditional time series and fuzzy time series is that the values of the former are numbers while the
 Q. Song, B.S. Chissom / Fuzzy time series and its models 277

values of the latter are fuzzy sets or linguistic values. One of the possible application of fuzzy time
series is a forecasting problem under fuzzy environments, in which the historical data are only fuzzy sets
or linguistic values. We have defined two classes of fuzzy time series: time-invariant and time-variant.
Since one can only define fuzzy sets on a universe, and mostly the universes of discourse are the same
at different times, time-invariant fuzzy time series is common. To apply time-invariant fuzzy time
series, a simple procedure for forecasting has been proposed. Since there are many methods available
to calculate the fuzzy relationships, different methods will yield different results. In this paper, we have
applied Mamdani's method to compute fuzzy relations.

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