Prediction of nonlinear nonstationary time series data

A Digital Filter and Support Vector Regression
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ISBN-13:
9783659894084
Einband:
Paperback
Seiten:
212
Autor:
Bhusana Premanode
Gewicht:
332 g
Format:
220x150x13 mm
Sprache:
Englisch
Beschreibung:
Volatility is a critical parameter when measuring the size of the errors made in modelling returns and other nonlinear nonstationary time series data. The Autoregressive Integrated Moving-Average (ARIMA) model is a linear process in time series; whilst in the nonlinear system, the Generalised Autoregressive Conditional Heteroskedasticity (GARCH) and Markov Switching GARCH (MS-GARCH) models have been widely applied. In statistical learning theory, Support Vector Regression (SVR) plays a significant role in predicting nonlinear and nonstationary time series data. The book contains a new class model comprised a combination of a novel derivative Empirical Mode Decomposition (EMD), averaging intrinsic mode function (aIMF) and a novel of multiclass SVR using mean reversion and coefficient of variance (CV) to predict financial data i.e. EUR-USD exchange rates. The novel aIMF is capable of smoothing and reducing noise, whereas the novel of multiclass SVR model can predict exchange rates.

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