Abstract

This paper is devoted to the investigation and application of fuzzy inductive modeling method group method of data handling (GMDH) in problems of forecasting in the financial sphere. GMDH method belongs to self-organizing methods and allows to discover internal hidden laws in the appropriate object area. The advantage of GMDH algorithms is the possibility of constructing optimal models. In the generalization of GMDH in case of uncertainty, new method fuzzy GMDH is described which enables to construct fuzzy models almost automatically. The algorithms of fuzzy GMDH for different membership functions are considered. The extensions of fuzzy GMDH for different partial descriptions—orthogonal polynomials of Chebyshev and trigonometric polynomials of Fourier—are considered. The problem of adaptation of fuzzy models obtained by FGMDH is considered, and the corresponding adaptation algorithm is described. The experimental investigations of the suggested FGMDH in the problem of forecasting macroeconomic indicators of Ukraine are carried out, and comparison with classic GMDH and neural network BP is performed.

Keywords: fuzzy GMDH, orthogonal partial descriptions, model adaptation, forecasting
