An autoregressive model with fuzzy random variables

Abstract

An autoregressive model is defined for fuzzy random variables under the concept of Fréchet variance and covariance as well as Gaussian fuzzy random variable. In some special case, by using the Hukuhara difference between fuzzy sets, the conditions for stationary solution of a p-order autoregressive process (AR (p)) are extended to the case of fuzzy data in the manner of conventional stochastic setting. © 2008 Springer-Verlag Berlin Heidelberg.