A study on the ability of Support Vector Regression and Neural Networks to Forecast Basic Time Series Patterns

  • Sven F. Crone
  • Jose Guajardo
  • Richard Weber
Part of the IFIP International Federation for Information Processing book series (IFIPAICT, volume 217)

Abstract

Recently, novel learning algorithms such as Support Vector Regression (SVR) and Neural Networks (NN) have received increasing attention in forecasting and time series prediction, offering attractive theoretical properties and successful applications in several real world problem domains. Commonly, time series are composed of the combination of regular and irregular patterns such as trends and cycles, seasonal variations, level shifts, outliers or pulses and structural breaks, among others. Conventional parametric statistical methods are capable of forecasting a particular combination of patterns through ex ante selection of an adequate model form and specific data preprocessing. Thus, the capability of semi-parametric methods from computational intelligence to predict basic time series patterns without model selection and preprocessing is of particular relevance in evaluating their contribution to forecasting. This paper proposes an empirical comparison between NN and SVR models using radial basis function (RBF) and linear kernel functions, by analyzing their predictive power on five artificial time series: stationary, additive seasonality, linear trend, linear trend with additive seasonality, and linear trend with multiplicative seasonality. Results obtained show that RBF SVR models have problems in extrapolating trends, while NN and linear SVR models without data preprocessing provide robust accuracy across all patterns and clearly outperform the commonly used RBF SVR on trended time series.

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Copyright information

© International Federation for Information Processing 2006

Authors and Affiliations

  • Sven F. Crone
    • 1
  • Jose Guajardo
    • 2
  • Richard Weber
    • 2
  1. 1.Department of Management Science, LancasterLancaster UniversityLancasterUK
  2. 2.Department of Industrial Engineering, RepublicaUniversity of ChileSantiagoChile

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