@inproceedings{4f512f5047a3478f93ca32ac0a81983d,
title = "Predicting time series with support vector machines",
abstract = "Support Vector Machines are used for time series prediction and compared to radial basis function networks. We make use of two different cost functions for Support Vectors: training with (i) an ε insensitive loss and (ii) Huber's robust loss function and discuss how to choose the regularization parameters in these models. Two applications are considered: data from (a) a noisy (normal and uniform noise) Mackey Glass equation and (b) the Santa Fe competition (set D). In both cases Support Vector Machines show an excellent performance. In case (b) the Support Vector approach improves the best known result on the benchmark by a factor of 29%.",
author = "Klaus Muller and Smo{\l}a, {A. J.} and G. R{\"a}tsch and B. Sch{\"o}lkopf and J. Kohlmorgen and V. Vapnik",
year = "1997",
language = "English",
isbn = "3540636315",
volume = "1327",
series = "Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)",
publisher = "Springer Verlag",
pages = "999--1004",
booktitle = "Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)",
note = "7th International Conference on Artificial Neural Networks, ICANN 1997 ; Conference date: 08-10-1997 Through 10-10-1997",
}