Proposal of Additional Fuzzy Membership Functions in Smoothing Transition Autoregressive Models

In this paper we present, propose and examine additional membership functions for the Smoothing Transition Autoregressive (STAR) models. More specifically, we present the tangent hyperbolic, Gaussian and Generalized bell functions. Because Smoothing Transition Autoregressive (STAR) models follow fuzzy logic approach, more fuzzy membership functions should be tested. Furthermore, fuzzy rules can be incorporated or other training or computational methods can be applied as the error backpropagation or genetic algorithm instead to nonlinear squares. We examine two macroeconomic variables of US economy, the inflation rate and the 6-monthly treasury bills interest rates.

Authors:

• Ε. Giovanis

Keywords:

• Forecast
• Fuzzy membership functions
• Smoothingtransition
• Time-series

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