A time-dependent enhanced support vector machine for time series regression

Abstract

Support Vector Machines (SVMs) are a leading tool in machine learning and have been used with considerable success for the task of time series forecasting. However, a key challenge when using SVMs for time series is the question of how to deeply integrate time elements into the learning process. To address this challenge, we investigated the distribution of errors in the forecasts delivered by standard SVMs. Once we identified the samples that produced the largest errors, we observed their correlation with distribution shifts that occur in the time series. This motivated us to propose a time-dependent loss function which allows the inclusion of the information about the distribution shifts in the series directly into the SVM learning process. We present experimental results which indicate that using a time-dependent loss function is highly promising, reducing the overall variance of the errors, as well as delivering more accurate predictions.