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

Ginés Rubio, Héctor Pomares, Ignacio Rojas and Luis Javier Herrera

International Journal of Forecasting, 2011, vol. 27, issue 3, 725-739

Abstract: 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.

Keywords: Least; squares; support; vector; machines; Gaussian; kernel; parameters; Hyperparameters; optimization; Time; series; prediction (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (17)

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