Adaptive kernel algorithms for time series prediction

Marcin Michalak


The article describes two kernel algorithms of the regression function estimation, that are used for the time series prediction. First of them (HASKE) has its own heuristic of the h parameter evaluation. The second (HKSVR) connects SVM and the HASKE in such way that it is based on the HASKE heuristic of local neighborhood evaluation.


time series prediction; kernel estimators; nonparametric regression; support vectors machines

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