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

Published in

Revstat Statistical Journal
2009, Volume: 7, number: 1, pages: 23-36
Publisher: INST NACIONAL ESTATISTICA-INE

SLU Authors

• Amiri, Saeid

  • Department of Energy and Technology, Swedish University of Agricultural Sciences
    

• von Rosen, Dietrich

  • Department of Energy and Technology, Swedish University of Agricultural Sciences
    

UKÄ Subject classification

Probability Theory and Statistics


Permanent link to this page (URI)

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