Comparison of Interval Type-3 Mamdani and Sugeno Models for Fuzzy Aggregation Applied to Ensemble Neural Networks for Mexican Stock Exchange Time Series Prediction

In this work, interval type-2 and type-3 fuzzy systems were designed, of Mamdani and Sugeno types, for time series prediction. The aggregation performed by the type-2 and type-3 fuzzy systems was carried out by using the results of an optimized ensemble neural network (ENN) obtained with the particle swarm optimization algorithm. The time series data that were used were of the Mexican stock exchange. The method finds the best prediction error. This method consists of the aggregation of the responses of the ENN with type-2 and type-3 fuzzy systems. In this case, the systems consist of five inputs and one output. Each input is made up of two membership functions and there are 32 possible fuzzy if-then rules. The simulation results show that the approach with type-2 and type-3 fuzzy systems provides a good prediction of the Mexican stock exchange. Statistical tests of the comparison of type-1, type-2, and type-3 fuzzy systems are also presented.