A Parameter Choosing Method of SVR for Time Series Prediction

It is important to choose good parameters in support vector regression (SVR) modeling. Choosing different parameters will influence the accuracy of SVR models. This paper proposes a parameter choosing method of SVR models for time series prediction. In the light of data features of time series, the paper improves the traditional cross-validation method, and combines the improved cross-validation with epsilon-weighed SVR in order to get good parameters of models. The experiments show that the method is effective for time series prediction.