Predicting time series with support vector machines

Müller, K-R; Smola, AJ; Rätsch, G; Schölkopf, B; Kohlmorgen, J; Vapnik, V

doi:10.1007/BFb0020283

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Predicting time series with support vector machines

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Schölkopf, B
Department Human Perception, Cognition and Action, Max Planck Institute for Biological Cybernetics, Max Planck Society;
Max Planck Institute for Biological Cybernetics, Max Planck Society;

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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.

Cite as: https://hdl.handle.net/11858/00-001M-0000-0013-E9D4-0

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.