[pt] Por definição, a série temporal representa o comportamento de uma variável em função do tempo. Para o processo de previsão de séries, o modelo deve ser capaz de aprender a dinâmica temporal das variáveis para obter valores futuros. Contudo, prever séries temporais com exatidão é uma tarefa que vai além de escolher o modelo mais complexo, e portanto a etapa de análise é um processo fundamental para orientar o ajuste do modelo. Especificamente em problemas multivariados, o AutoMFIS é um modelo baseado na lógica fuzzy, desenvolvido para introduzir uma explicabilidade dos resultados através de regras semanticamente compreensíveis. Mesmo com características promissoras e positivas, este sistema possui limitações que tornam sua utilização impraticável em problemas com bases de dados com alta dimensionalidade. E com a presença cada vez maior de bases de dados mais volumosas, é necessário que a síntese automática de sistemas fuzzy seja adaptada para abranger essa nova classe de problemas de previsão. Por conta desta necessidade, a presente dissertação propõe a extensão do modelo AutoMFIS para a previsão de séries temporais com alta dimensionalidade, chamado de e-AutoMFIS. Apresentase uma nova metodologia, baseada em comitê de previsores, para o aprendizado distribuído de geração de regras fuzzy. Neste trabalho, são descritas as características importantes do modelo proposto, salientando as modificações realizadas para aprimorar tanto a previsão quanto a interpretabilidade do sistema. Além disso, também é avaliado o seu desempenho em problemas reais, comparando-se a acurácia dos resultados com as de outras técnicas descritas na literatura. Por fim, em cada problema selecionado também é considerado o aspecto da interpretabilidade, discutindo-se os critérios utilizados para a análise de explicabilidade. / [en] By definition, the time series represents the behavior of a variable as a time function. For the series forecasting process, the model must be able to learn the temporal dynamics of the variables in order to obtain consistent future values. However, an accurate time series prediction is a task that goes beyond choosing the most complex (or promising) model that is applicable to the type of problem, and therefore the analysis step is a fundamental procedure to guide the adaptation of a model. Specifically, in multivariate problems, AutoMFIS is a model based on fuzzy logic, developed not only to give accurate forecasts but also to introduce the explainability of results through semantically understandable rules. Even with such promising characteristics, this system has shown practical limitations in problems that involve datasets of high dimensionality. With the increasing demand formethods to deal with large datasets, it should be great that approaches for the automatic synthesis of fuzzy systems could be adapted to cover a new class of forecasting problems. This dissertation proposes an extension of the base model AutoMFIS modeling method for time series forecasting with high dimensionality data, named as e-AutoMFIS. Based on the Ensemble learning theory, this new methodology applies distributed learning to generate fuzzy rules. The main characteristics of the proposed model are described, highlighting the changes in order to improve both the accuracy and the interpretability of the system. The proposed model is also evaluated in different case studies, in which the results are compared in terms of accuracy against the results produced by other methods in the literature. In addition, in each selected problem, the aspect of interpretability is also assessed, which is essential for explainability evaluation.

The focus of this study explores the adaptations of the Lag-Llama univariate time series forecasting approach [8] to handle multivariate time series, named LSTM2Lag-Llama. This extension is motivated by the increasing necessity to deal with datasets containing many variables of interest, particularly in the healthcare sector. A novel approach is introduced that harnesses the capabilities of the Long Short-Term Memory (LSTM) model. The baseline LSTM model takes multivariate input data and has been used widely to capture long-range dependencies within time series data. These features make it an ideal candidate for our task of expanding the Lag-Llama model to handle multivariate time series. The research process involves a detailed and systematic LSTM2Lag-Llama model to accommodate multiple input and output variables. This adaptation process is not a straightforward task. It requires careful consideration of the model architecture, loss function, and training methodologies. The performance of the LSTM2Lag-Llama model is then evaluated using a real-world dataset on early sepsis predictions. This dataset presents a challenging yet practical scenario for time series forecasting, making it an ideal testbed for our LSTM2Lag-Llama model. The results of this research demonstrate the feasibility and effectiveness of the proposed approach, representing a significant step towards exploring multivariate adaptations of the Lag-Llama model. The LSTM2Lag-Llama model not only handles multivariate data but also leverages the LSTM model’s ability to capture multivariate relationships in its hidden states. While the study does not directly implement the model in a practical healthcare setting, it underscores the potential of such advancements in time series forecasting techniques. This research represents a significant contribution to the field of time series forecasting in healthcare. It opens up new avenues for future research and has the potential to significantly impact the way healthcare professionals use time series data for prediction and decision-making. / L'objectif de cette étude est d'explorer les adaptations de l'approche de prévision univariée des séries temporelles Lag-Llama [8] pour traiter les séries temporelles multivariées, nommée LSTM2Lag-Llama. Cette extension est motivée par la nécessité croissante de traiter des ensembles de données contenant de nombreuses variables d'intérêt, notamment dans le secteur de la santé. Une nouvelle approche est introduite qui exploite les capacités du modèle Long Short-Term Memory (LSTM). Le modèle LSTM de base prend des données d'entrée multivariées et a été largement utilisé pour capturer les dépendances à long terme dans les données de séries temporelles. Ces caractéristiques en font un candidat idéal pour notre tâche d'extension du modèle Lag-Llama pour gérer les séries temporelles multivariées. Le processus de recherche implique un modèle LSTM2Lag-Llama détaillé et systématique pour accueillir plusieurs variables d'entrée et de sortie. Ce processus d'adaptation n'est pas une tâche simple. Il nécessite une considération minutieuse de l'architecture du modèle, de la fonction de perte et des méthodologies d'apprentissage. Les performances du modèle LSTM2Lag-Llama sont ensuite évaluées à l'aide d'un ensemble de données du monde réel sur les prédictions précoces de septicémie. Cet ensemble de données présente un scénario difficile mais pratique pour la prévision de séries temporelles, ce qui en fait un banc d'essai idéal pour notre modèle LSTM2Lag-Llama. Les résultats de cette recherche démontrent la faisabilité et l'efficacité de l'approche proposée, ce qui représente une étape importante vers l'exploration des adaptations multivariées du modèle Lag-Llama. Le modèle LSTM2Lag-Llama gère non seulement les données multivariées, mais tire également parti de la capacité du modèle LSTM à capturer les relations multivariées dans ses états cachés. Bien que l'étude n'implémente pas directement le modèle dans un contexte pratique de soins de santé, elle souligne le potentiel de telles avancées dans les techniques de prévision des séries temporelles. Cette recherche représente une contribution significative au domaine de la prévision des séries temporelles dans le domaine de la santé. Elle ouvre de nouvelles voies pour la recherche future et a le potentiel d'impact significatif sur la manière dont les professionnels de la santé utilisent les données de séries temporelles pour la prédiction et la prise de décision.

Foreign exchange market is the largest financial market in the world and thus prediction of foreign exchange rate values is of interest to millions of people. In this research, I evaluated the performance of Long Short Term Memory (LSTM), Gated Recurrent Unit (GRU), Autoregressive Integrated Moving Average (ARIMA) and Moving Average (MA) on the USD/CAD and USD/AUD exchange pairs for 1-day, 1-week and 2-weeks predictions. For LSTM and GRU, twelve macroeconomic indicators along with past exchange rate values were used as features using data from January 2001 to December 2019. Predictions from each model were then integrated with uncertainty modeling to find out the chance of a model’s prediction being greater than or less than a user-defined target value using the error distribution from the test dataset, Monte-Carlo simulation trials and ChancCalc excel add-in. Results showed that ARIMA performs slightly better than LSTM and GRU for 1-day predictions for both USD/CAD and USD/AUD exchange pairs. However, when the period is increased to 1-week and 2-weeks, LSTM and GRU outperform both ARIMA and moving average for both USD/CAD and USD/AUD exchange pair.