Prediction of time series using Yule-Walker equations with kernels.
Maya KallasPaul HoneineCédric RichardClovis FrancisHassan AmoudPublished in: ICASSP (2012)
Keyphrases
- autoregressive
- moving average
- financial time series
- prediction accuracy
- prediction model
- extreme values
- box jenkins
- non stationary
- exponential smoothing
- chaotic time series
- prediction algorithm
- linear equations
- prediction error
- neural network
- differential equations
- stock market
- linear combination
- hidden markov models
- data sets
- temporal patterns
- random fields
- predictive model
- numerical solution
- kernel function
- support vector
- arima model
- learning algorithm
- mackey glass