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A heuristic method for parameter selection in LS-SVM: Application to time series prediction

  • Rubio, Ginés
  • Pomares, Héctor
  • Rojas, Ignacio
  • Herrera, Luis Javier
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    Least Squares Support Vector Machines (LS-SVM) are the state of the art in kernel methods for regression. These models have been successfully applied for time series modelling and prediction. A critical issue for the performance of these models is the choice of the kernel parameters and the hyperparameters which define the function to be minimized. In this paper a heuristic method for setting both the [sigma] parameter of the Gaussian kernel and the regularization hyperparameter based on information extracted from the time series to be modelled is presented and evaluated.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0169207010000440
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    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 27 (2011)
    Issue (Month): 3 (July)
    Pages: 725-739

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    Handle: RePEc:eee:intfor:v:27:y::i:3:p:725-739
    Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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    1. Timo Teräsvirta & Marcelo C. Medeiros & Gianluigi Rech, 2006. "Building neural network models for time series: a statistical approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(1), pages 49-75.
    2. Zhang, Guoqiang & Eddy Patuwo, B. & Y. Hu, Michael, 1998. "Forecasting with artificial neural networks:: The state of the art," International Journal of Forecasting, Elsevier, vol. 14(1), pages 35-62, March.
    3. Guy Melard & Jean-Michel Pasteels, 2000. "Automatic ARIMA modeling including interventions, using time series expert software," ULB Institutional Repository 2013/13744, ULB -- Universite Libre de Bruxelles.
    4. Jursa, René & Rohrig, Kurt, 2008. "Short-term wind power forecasting using evolutionary algorithms for the automated specification of artificial intelligence models," International Journal of Forecasting, Elsevier, vol. 24(4), pages 694-709.
    5. Balkin, Sandy D. & Ord, J. Keith, 2000. "Automatic neural network modeling for univariate time series," International Journal of Forecasting, Elsevier, vol. 16(4), pages 509-515.
    6. Tay, Francis E. H. & Cao, Lijuan, 2001. "Application of support vector machines in financial time series forecasting," Omega, Elsevier, vol. 29(4), pages 309-317, August.
    7. Alves da Silva, Alexandre P. & Ferreira, Vitor H. & Velasquez, Roberto M.G., 2008. "Input space to neural network based load forecasters," International Journal of Forecasting, Elsevier, vol. 24(4), pages 616-629.
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