A Bayesian nonlinear support vector machine error correction model
Published in Journal of Forecasting • Jan 1, 2006
NobleIDNI8P60W70R16S22
Authors:,,
Tony Van Gestel
Marcelo Espinoza
Bart Baesens
Abstract
The use of linear error correction models based on stationarity and cointegration analysis, typically estimated with least squares regression, is a common technique for financial time series prediction. In this paper, the same formulation is extended to a nonlinear error correction model using the i...
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