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  Predicting time series with support vector machines

Müller, K.-R., Smola, A., Rätsch, G., Schölkopf, B., Kohlmorgen, J., & Vapnik, V. (1997). Predicting time series with support vector machines. In W. Gerstner, A. Germond, M. Hasler, & J.-D. Nicoud (Eds.), Artificial Neural Networks — ICANN'97: 7th International Conference Lausanne, Switzerland, October 8–10, 1997 (pp. 999-1004). Berlin, Germany: Springer.

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Item Permalink: http://hdl.handle.net/11858/00-001M-0000-0013-E9D4-0 Version Permalink: http://hdl.handle.net/21.11116/0000-0006-D134-3
Genre: Conference Paper

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 Creators:
Müller, K-R, Author              
Smola, AJ, Author              
Rätsch, G, Author              
Schölkopf, B1, 2, Author              
Kohlmorgen, J, Author
Vapnik, V, Author              
Affiliations:
1Department Human Perception, Cognition and Action, Max Planck Institute for Biological Cybernetics, Max Planck Society, Spemannstrasse 38, 72076 Tübingen, DE, ou_1497797              
2Max Planck Institute for Biological Cybernetics, Max Planck Society, Spemannstrasse 38, 72076 Tübingen, DE, ou_1497794              

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 Abstract: Support Vector Machines are used for time series prediction and compared to radial basis function networks. We make use of two different cost functions for Support Vectors: training with (i) an e insensitive loss and (ii) Huber's robust loss function and discuss how to choose 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.

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 Dates: 1997-10
 Publication Status: Published in print
 Pages: -
 Publishing info: -
 Table of Contents: -
 Rev. Type: -
 Identifiers: DOI: 10.1007/BFb0020283
BibTex Citekey: 416
 Degree: -

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Title: 7th International Conference on Artificial Neural Networks (ICANN 1997)
Place of Event: Lausanne, Switzerland
Start-/End Date: 1997-10-08 - 1997-10-10

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Title: Artificial Neural Networks — ICANN'97: 7th International Conference Lausanne, Switzerland, October 8–10, 1997
Source Genre: Proceedings
 Creator(s):
Gerstner, W, Editor
Germond, A, Editor
Hasler, M, Editor
Nicoud, J-D, Editor
Affiliations:
-
Publ. Info: Berlin, Germany : Springer
Pages: - Volume / Issue: - Sequence Number: - Start / End Page: 999 - 1004 Identifier: ISBN: 3-540-63631-5

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Title: Lecture Notes in Computer Science
Source Genre: Series
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Publ. Info: -
Pages: - Volume / Issue: 1327 Sequence Number: - Start / End Page: - Identifier: -