In this paper, we will illustrate the F-transform based on generalized fuzzy partitions as a tool for expectile smoothing. This allows to represent a time series in terms of a fuzzy-valued function whose level-cuts are modeled by F-transform and estimated by expectile regression. The proposed methodology is illustrated on real economic and …-nancial time series.Keywords: Fuzzy Transform, Expectile Smoothing, Fuzzy Time Series
F-transform and its propertiesThe fuzzy transform (F-transform) We brie ‡y recall the basic de…nitions and properties of the F-transform (see [3], [10]).Given a continuous function f : [a; b] ! R and given a …nite family of fuzzy sets (in particular fuzzy numbers) A = fA 1 ; A 2 ; :::; A n g forming a fuzzy partition of [a; b], the F-transform produces a vector of real numbers F = (F 1 ; F 2 ; :::; F n ) (called the direct F-transform). Each F k is the minimizer of a weighted squared error between the values f (x) and F k on the k th subinterval of [a; b]. The direct F-transform F is then used to de…ne the inverse Ftransform function b f : [a; b] ! R and the main result is that b f is an approximating function of f on [a; b].In the basic setting, each basic function A k of the fuzzy partition (P; A) has been considered to be zero outside the union of the two adjacent subintervalswe can generalize (see details in [10]) the concept of a fuzzy partition by taking basic functions that cover more than two consecutive subintervals. Consider an integer r 1 and 2r + 1 consecutive points (and consequently 2r subintervals) of P, x k r ; :::; x k ; :::; x k+r for all k = 1; 2; :::; n; to complete the notation, we extend the points to x 1 r < ::: < x 0 < a and b < x n+1 < ::: < x n+r . given by a pair (P; A (r) ) where P = fa = x 1 < x 2 < ::: < x n = bg is a decomposition of [a; b], and A (r) is a family of n + 2r 2 continuous, normal, convex fuzzy numbersr + 2; :::; n + r 1g such that a. for k = 1; 2; :::; n, Ak is a continuous fuzzy number with A