Time Series Prediction Based on Linear Regression and SVR

Abstract

The application of SVR in the time series prediction is increasingly popular. Because some time series prediction based on SVR wasn 't very nice in the efficiency of the forecast, this article presents a new regression based on linear regression and SVR. The new regression separates time series into linear part and nonlinear part, then predicts the two parts respectively, and finally integrates the two parts to forecast. Experiments show that the new regression advances the precision of the forecasting compared to the common SVR.