Universiti Teknologi Malaysia Institutional Repository

Time series forecasting using least square support vector machine for Canadian Lynx data

Shabri, Ani and Ismail, Shuhaida (2014) Time series forecasting using least square support vector machine for Canadian Lynx data. Jurnal Teknologi, 70 (5). pp. 11-15. ISSN 0127-9696

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Official URL: https://dx.doi.org/10.11113/jt.v70.3510

Abstract

Time series analysis and forecasting is an active research area over the last few decades. There are various kinds of forecasting models have been developed and researchers have relied on statistical techniques to predict the future. This paper discusses the application of Least Square Support Vector Machine (LSSVM) models for Canadian Lynx forecasting. The objective of this paper is to examine the flexibility of LSSVM in time series forecasting by comparing it with other models in previous research such as Artificial Neural Networks (ANN), Auto-Regressive Integrated Moving Average (ARIMA), Feed-Forward Neural Networks (FNN), Self-Exciting Threshold Auto-Regression (SETAR), Zhang’s model, Aladang’s hybrid model and Support Vector Regression (SVR) model. The experiment results show that the LSSVM model outperforms the other models based on the criteria of Mean Absolute Error (MAE) and Mean Square Error (MSE). It also indicates that LSSVM provides a promising alternative technique in time series forecasting.

Item Type:Article
Uncontrolled Keywords:support vector regression, time series forecasting
Subjects:Q Science
Divisions:Science
ID Code:63088
Deposited By: Siti Nor Hashidah Zakaria
Deposited On:14 Jun 2017 11:12
Last Modified:14 Jun 2017 11:12

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