The nature of statistical learning theory
The nature of statistical learning theory
A Tutorial on Support Vector Machines for Pattern Recognition
Data Mining and Knowledge Discovery
Predicting Time Series with Support Vector Machines
ICANN '97 Proceedings of the 7th International Conference on Artificial Neural Networks
Local Learning for Iterated Time-Series Prediction
ICML '99 Proceedings of the Sixteenth International Conference on Machine Learning
A tutorial on support vector regression
Statistics and Computing
Methodology for long-term prediction of time series
Neurocomputing
Online prediction model based on support vector machine
Neurocomputing
Local prediction of non-linear time series using support vector regression
Pattern Recognition
LIBSVM: A library for support vector machines
ACM Transactions on Intelligent Systems and Technology (TIST)
Support vector machine with adaptive parameters in financial time series forecasting
IEEE Transactions on Neural Networks
Support Vector Echo-State Machine for Chaotic Time-Series Prediction
IEEE Transactions on Neural Networks
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Support vector regression (SVR) model has been widely applied to time series prediction. In general iterative methods, the multi-step-ahead prediction is based on the iteration of the exact one-step prediction. Even if the one-step prediction model is very exact, the iteration procedure would accumulate prediction errors when repeating one-step-ahead prediction, which results in bad prediction performance. This paper deals with iterated time series prediction problem by using multiple SVR models, which are trained independently based on the same training data with different targets. In other words, the n-th SVR model performs an n-step-ahead prediction. The prediction outputs of these models are considered as the next input state variables to perform further prediction. Since each SVR model is an exact prediction model, the accumulate prediction error would be reduced by using multiple SVR models possibly. Actually, the MSVR method can be taken as a compromise of the iterative method and the direct method. Experimental results on time series data show that the multiple SVR model method is effective.