The SVM Approach for Box-Jenkins Models

Saeid Amiri; Dietrich von Rosen; Silvelyn Zwanzig

The SVM Approach for Box-Jenkins Models

Saeid Amiri
, Dietrich von Rosen
, Silvelyn Zwanzig

Department of Energy and Technology

Publication: Contribution to journal › Journal article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	23-36
Number of pages	14
Journal	REVSTAT-Statistical Journal
Volume	7
Issue number	1
Publication status	Published - 2009

Keywords

Support Vector Machine
time series analysis
unit root

Cite this

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title = "The SVM Approach for Box-Jenkins Models",

abstract = "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.",

keywords = "Support Vector Machine, time series analysis, unit root, Support Vector Machine, time series analysis, unit root",

author = "Saeid Amiri and \{von Rosen\}, Dietrich and Silvelyn Zwanzig",

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language = "English",

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AU - von Rosen, Dietrich

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AB - 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.

KW - Support Vector Machine

KW - time series analysis

KW - unit root

KW - Support Vector Machine

KW - time series analysis

KW - unit root

UR - https://res.slu.se/id/publ/48812

M3 - Journal article

SN - 1645-6726

VL - 7

SP - 23

EP - 36

JO - REVSTAT-Statistical Journal

JF - REVSTAT-Statistical Journal

IS - 1

ER -

The SVM Approach for Box-Jenkins Models

Abstract

Keywords

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Cite this