Predicting Time Series with Support Vector Machines

Authors: Klaus-Robert Müller, Alexander J. Smola, Gunnar Rätsch, Bernhard Schölkopf, Jens Kohlmorgen, Vladimir Vapnik - Lecture notes in computer science 1997 cited by 985

Abstract. Support Vector Machines are used for time series prediction and compared to radial basis function networks. We make use of two di erent cost functions for Support Vectors: training with (i) an insensitive loss and (ii) Huber's robust loss function and discuss how tochoose the regularization parameters in these models. Two applications are considered: data from (a) a noisy (normal and uniform noise) Mackey Glass equation and (b) the Santa Fe competition (set D). In both cases Support Vector Machines show an excellent performance. In case (b) the Support Vector approach improves the best known result on the benchmark by a factor of 29%. 1