Interval Time Series Forecasting: An Innovative Approach Transforming Interval to Single Time Series

ABSTRACT Interval Time Series are present in everyday life. An example is the opening and closing value of some stock in a market for certain time intervals. The forecasting plays an essential role in many financial organisations. The development of new mathematical tools or improving the existing ones will lead to more accurate forecasting techniques. Interval Arithmetic is a mathematical field that uses intervals by nature and algorithms that use it are involved in the solution of Interval Time Series. Another classical algorithm is VAR models. In this paper, a method that comes from the insurance sector is used to forecast Brent Oil monthly values. The innovation of what we propose is that it converts the Interval Time Series system into a single time series and can propagate the results back to each time series of the system. This way the researcher works with only one time series instead of two (or more). The forecasting algorithm is a choice of the researcher, expediting the development of forecasting (even ARIMA can be applied). We demonstrate our methodology in forecasting the Brent Oil monthly prices by applying the ANFIS algorithm.