THE SVM APPROACH FOR BOX-JENKINS MODELS

被引：0

作者：

Amiri, Saeid ^{[1
]}

von Rosen, Dietrich ^{[1
]}

Zwanzig, Silvelyn ^{[2
]}

机构：

[1] Swedish Univ Agr Sci, Dep Energy & Technol, SE-75007 Uppsala, Sweden

[2] Uppsala Univ, Dept Math, SE-75106 Uppsala, Sweden

来源：

REVSTAT-STATISTICAL JOURNAL | 2009年 / 7卷 / 01期

关键词：

Support Vector Machine; time series analysis; unit root;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Support Vector Machine (SVM) is known in classification and regression modeling. It has been receiving attention in the application of nonlinear functions. The aim is to motivate the use of the SVM approach to analyze the time series models. This is an effort to assess the performance of SVM in comparison with ARMA model. The applicability of this approach for a unit root situation is also considered.

引用

页码：23 / 36

页数：14

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